Global economic uncertainties and exchange rate shocks : transmission channels to the South African economy

목차 (Table of Contents)

• CONTENTS
• 1 Introduction = 1
• 1.1 Main Themes in the Book = 6
• 1.1.1 The Role of Economic Growth and Economic Policy Uncertainties and Channels of Transmission into the Domestic Economy = 6
• 1.1.2 The Transmission Channels of Exchange Rate, Foreign Demand and Domestic Uncertainty Shocks = 7
• 1.2 The Role of US Monetary Policy, Capital Flows Episodes, Business Confidence and the Rand Per US Dollar Exchange Rate Volatility = 18
• 1.2.1 The Interaction Between the Interest Differentials and the Exchange Volatilities = 19
• 1.2.2 Does the Distinction of Capital Flows Dynamics According to Foreign and Domestic Investors' Behaviour Matter? = 21
• 1.2.3 Does Elevated Exchange Rate Volatility Impact Foreigners' Purchases of Domestic Assets? = 22
• 1.2.4 Why Does the Persistence of Capital Flows Matter? = 23
• 1.2.5 Does the Exchange Rate Risk Restrain Exports Performance? = 24
• 1.2.6 The Implications of the Pricing-to-Market Model = 24
• References = 25
• Part Ⅰ The Role of Economic Growth, Economic Policy Uncertainty and the Channels of Transmission into the Domestic Economy
• 2 Heightened Foreign Economic Policy Uncertainty Shocks on the South African Economy : The Role of Credit Conditions and the Capital Flows Channels = 29
• 2.1 Introduction = 30
• 2.2 What Is the Nature of the Relationship Between Economic Policy Uncertainty, Equity Inflows and Credit Conditions? = 34
• 2.3 The Empirical Analysis = 34
• 2.3.1 How Does Domestic GDP Growth Respond to Heightened External Uncertainty? = 37
• 2.4 The Transmission of Uncertainty Shocks via Capital Flows = 39
• 2.5 Are There Asymmetries Related to the Size of Positive Uncertainty Shock? = 39
• 2.5.1 Do Equity and Debt Inflows Amplify the Response of the Credit Conditions Index? = 42
• 2.6 Does the Effect of Monetary Policy Tightening on GDP Depend on Equity Inflows and Credit Conditions? = 45
• 2.6.1 Do Credit Conditions Impact the Monetary Policy Response to Positive Inflation Shocks? = 47
• 2.7 Conclusion and Policy Implications = 47
• References = 49
• 3 UK Economic Policy Uncertainty Shock and the South African Economy ; Inferences from the Exchange Rate, Exports and Inflation Channels = 51
• 3.1 Introduction = 51
• 3.2 The Spillover Links Between US, Europe and UK Economic Policy Uncertainties = 55
• 3.3 How Does UK Policy Uncertainty Affect the Domestic Economy? Evidence from the Exchange Rate, Inflation and Exports Channels = 57
• 3.3.1 Does the 6 Percent Upper Part of Inflation Target Band Threshold Matter for the Effects of UK Economic Policy Uncertainty Shock on Inflation and the Exchange Rate? = 58
• 3.3.2 How Important are the Asymmetric Effects of UK Economic Policy Uncertainty? = 60
• 3.3.3 What do the Counterfactual Scenarios and Historical Contributions Suggest About the Propagation Effects? = 62
• 3.3.4 Evidence from the Historical Decomposition Approach = 65
• 3.3.5 The Relevance of Domestic Exports to the UK Uncertainty Channel = 67
• 3.4 Conclusion and Policy Implications = 70
• References = 71
• 4 Foreign GDP Growth Uncertainty Shocks and the South African Economy = 73
• 4.1 Introduction = 73
• 4.2 The Stylised Relationships = 76
• 4.3 What Would South African Economic Growth be in the Absence of Foreign Economic Growth Uncertainty? = 78
• 4.4 To What Extent Did Heightened Foreign Economic Growth Uncertainty Influence the Repo Rate? = 80
• 4.4.1 Evidence From Counterfactual VAR Perspective = 81
• 4.5 Conclusion and Policy Implications = 85
• References = 85
• 5 Interaction Between Economic Policy and GDP Growth Uncertainties : Implications for South African GDP Growth = 87
• 5.1 Introduction = 88
• 5.2 How Does Unexpected Heightened Economic Policy Uncertainty Impact Economic Growth? = 88
• 5.3 Should Domestic Policymakers Be Concerned About the Adverse Effects of Foreign Policy Uncertainties on Domestic Economic Growth? = 92
• 5.3.1 Does Domestic Economic Policy Uncertainty Pass Through the Shock in Foreign Economic Policy Uncertainty to South African Economic Activity? = 94
• 5.3.2 Does Foreign GDP Growth Uncertainty Pass Through the Shock in Foreign Economic Policy Uncertainty to South African GDP Growth? = 97
• 5.4 Does the Combination of Economic Growth Uncertainty and Economic Policy Uncertainty Impact Growth in Exports? = 100
• 5.4.1 The Role of Exports Growth and Foreign GDP Growth Uncertainties Post-2007Q2 = 102
• 5.4.2 Implications of Foreign Economic Policy Uncertainty and GDP Growth Uncertainty for the Equity Price Channel in the Inward Transmission of External Shocks = 105
• 5.5 Conclusion and Policy Implications = 108
• Reference = 109
• Part Ⅱ The Transmission Channels of Exchange Rate, Foreign Demand and Domestic Uncertainty Shocks
• 6 Real Exchange Rate Fluctuations, Exports and GDP Growth Dynamics = 113
• 6.1 Introduction = 113
• 6.2 Episodes of Massive REER Appreciation and Economic Growth = 115
• 6.3 Does the Data Capture Some Mostly Emphasised Stylised Relationships? = 119
• 6.4 Do the Responses of the Selected Macroeconomic Variables to the REER Appreciation Shock Conform to Theoretical Predictions? = 119
• 6.4.1 The Exchange Rate Appreciation Shock Effects = 120
• 6.4.2 Counterfactual Scenarios and the Role of Economic Policy Uncertainties = 122
• 6.5 Do Tightened Monetary Policy Effects on Exports and Economic Growth Vary from Those of the REER Appreciation Shock? = 124
• 6.5.1 How Would Macroeconomic Variables Have Evolved in the Absence of REER Shocks? = 125
• 6.6 What Would Have Happened to Domestic GDP Growth in the Absence of Foreign GDP Growth, Exports Growth and REER? = 127
• 6.7 Conclusion and Policy Implications = 129
• References = 130
• 7 The Real Exchange Rate and Sectoral Gross Value Added : The Role of Foreign Demand and Economic Policy Uncertainty = 131
• 7.1 Introduction = 131
• 7.2 How Does Sectoral Gross Value Added Respond to the REER Appreciation Shock? = 132
• 7.2.1 What Theories Explain the Sectorial Response Variations? = 134
• 7.3 Does the South African Economic Policy Uncertainty Matter for the Sectoral Gross Value Added? = 137
• 7.3.1 What Would Have Happened to Gross Value Added Contributions in the Absence of the REER and EU Economic Growth Rate Effects? = 139
• 7.4 Conclusion and Policy Implications = 142
• References = 142
• 8 Real Exchange Rate Depreciation Shock and Real Investment Growth : The Balance Sheet Channel = 143
• 8.1 Introduction = 143
• 8.2 What Is the Nature of the Relationship Between Investment and the Real Exchange Rate? = 148
• 8.3 What Are the Effects of the Real Rand Depreciation Shock on Investment? = 149
• 8.4 Does Foreign Debt Amplify or Reduce Investment Responses to Demand Shock? = 151
• 8.5 What Does the Killian and Vigfusson (2011) Approach Conclude About the Asymmetric Effects of the Real Rand Depreciation Shock? = 154
• 8.6 Conclusion and Policy Implications = 156
• References = 157
• 9 Rand Depreciation and Investment Dynamics : The Role of Imported Intermediate Inputs = 159
• 9.1 Introduction = 159
• 9.2 How Robust Is the Effect of the NEER Depreciation Shocks on Investment? = 161
• 9.3 Is the Cost of Intermediate Imports Impacted by the Persistence of Exchange Rate Depreciation Shocks? = 164
• 9.4 The Counterfactual Role of Imported Intermediate Inputs = 164
• 9.5 Conclusion and Policy Implications = 167
• References = 168
• 10 Exchange Rate Depreciation Shocks and Redistribution of Income : The Marginal Propensity to Consume Channel = 169
• 10.1 Introduction = 170
• 10.2 Does the Exchange Rate Depreciation Lead to Income Redistribution? = 172
• 10.3 Does the Persistence of the NEER Depreciation Shocks Matter? = 173
• 10.4 The Counterfactual Analysis = 176
• 10.4.1 The Role of the Inflation Channel in the Pass-Through of the NEER Depreciation Shocks = 176
• 10.4.2 The Role of Various Channels in the Pass-Through of the NEER Depreciation Shocks to Economic Growth = 179
• 10.4.3 The Implications for the Marginal Propensity to Consume and the Gini Coefficient = 181
• 10.4.4 The Implications for the Role of Consumer Price Inflation and the Exchange Rate Volatilities on the Marginal Propensity to Consume Dynamics = 182
• 10.5 Conclusion and Policy Implications = 182
• References = 184
• 11 Is Macroeconomic Uncertainty a Source of Subdued and Volatile Economic Recovery? = 187
• 11.1 Introduction = 187
• 11.2 The Relationship Between Uncertainty and Selected Macroeconomic Variables = 191
• 11.3 Do the Effects of the Repo Rate on Economic Growth Vary from Those of Uncertainty Shocks on Economic Growth? = 195
• 11.4 The Demand Side of the Economy and Uncertainty: How Sensitive Is Consumption to Various Uncertainties? = 198
• 11.5 Does Inflation Uncertainty Transmit Positive Domestic Policy Uncertainty Shocks to Consumption Categories? = 201
• 11.6 What Are the Effects of Persistent or Non-Persistent Uncertainty Shock? = 201
• 11.7 Did Uncertainty Worsen the Recession and Contribute to the Weak Economic Recovery? = 204
• 11.8 Conclusion and Policy Implications = 206
• References = 207
• 12 Real Exchange Rate and Implications for Monetary Policy = 209
• 12.1 Introduction = 209
• 12.2 How Has the REER Contributed to Inflation Dynamics? = 211
• 12.2.1 REER Changes and the Conduct of Monetary Policy Since 2004 = 214
• 12.2.2 Evidence from the Counterfactual VAR = 217
• 12.3 Is the Exchange Rate a Shock Absorber or a Source of Independent Shocks? = 217
• 12.4 Conclusion and Policy Implications = 219
• References = 220
• 13 Domestic Macroeconomic Uncertainty : What Are the Financial Stability Effects? = 223
• 13.1 Introduction = 223
• 13.2 Credit Supply and Uncertainty Shock Effects = 226
• 13.3 Does Uncertainty Impact Financial Stability Through the Loan-to-Deposit Ratio Channel? = 231
• 13.4 What Would the Debt Service Costs Be in the Absence of Various Uncertainties? = 235
• 13.4.1 How Different Are the Magnitudes of the Repo Rate Contributions Compared to Those of Uncertainty Towards the Evolution of Debt Service Costs? = 239
• 13.4.2 Is an Unexpected Rise in Debt Servicing Costs Detrimental to the Macroeconomy? = 239
• 13.5 What Are the Effects of Persistent or Non-Persistent (Transitory) Uncertainty Shocks? = 243
• 13.6 Conclusion and Policy Implications = 246
• References = 247
• 14 Financial Regulation Policy Uncertainty, Lending Rate Margins and Credit Growth = 249
• 14.1 Introduction = 249
• 14.2 Why Should Policymakers Be Concerned About Financial Regulatory Uncertainty Shocks? = 250
• 14.3 Stylised Effects of Interest Rate Margins, the FRPU and Key Macroeconomic Variables = 251
• 14.4 What Can the Policymaker Learn About the Effects of FRPU on the South African Economy? = 253
• 14.5 Do the Macroeconomic Effects of an Unexpected Increase in the FRPU Vary from Those of an Unexpected Rise in the Repo Rate and Lending Rate Margins Shocks? = 259
• 14.6 To What Extent is the Evolution of Lending Rate Margins due to Own and FRPU Contributions? = 261
• 14.7 Conclusion and Policy Implications = 267
• References = 268
• Part Ⅲ The Role of US Monetary Policy, Capital Flows, Business Confidence and Rand per US Dollar Volatility
• 15 The Macroeconomic Effects of the Expected US Monetary Policy Normalisation Shock on the South African Economy = 271
• 15.1 Introduction = 271
• 15.2 Why Should the Expected Fed Policy Rate Normalisation Be a Policy Concern to South African Policymakers? = 272
• 15.3 What are the Dynamics in the US Federal Funds Rate and Fed Balance Sheet? = 273
• 15.4 What Is the Nature of the Relationship Between the Actual US and South African Policy Rates Over Time? = 276
• 15.5 What Does the Data Reveal About the Effects of an Expected US Monetary Policy Normalisation Shock? = 278
• 15.6 How Reasonable Is the Estimated Expected US Policy Normalisation Shock and How Does It Relate to Various Episodes of Fed Quantitative Easing? = 283
• 15.6.1 Does the Expected Normalisation Shock Impact South African Economic Policy Uncertainty? = 286
• 15.7 Does the Expected US Monetary Policy Normalisation Shock Impact the South African Real Economy? = 288
• 15.8 Do the South African Stock and Bond Markets Activity Indicators React to Expected US Monetary Policy Normalisation Shock? = 290
• 15.9 What Can the Counterfactual Analysis Reveal About the Effects of US Monetary Policy Normalisation on the South African Economy? = 291
• 15.9.1 What Would Have Happened to the South African Monetary Policy Trajectory in the Absence of the Expected US Monetary Policy Normalisation Shock? = 292
• 15.10 How Much Fluctuations on the Repo Rate, Exports Growth, Exchange Rate and Stock Market Are Induced by the Expected US Monetary Policy Normalisation? = 295
• 15.11 Conclusion and Policy Implications = 295
• References = 297
• 16 Monetary Policy and Exchange Rate Volatilities : Implications for Output Dynamics = 299
• 16.1 Introduction = 300
• 16.2 Theoretical Models That Relate the Bilateral Interest Rate Differentials to the Exchange Rate Movements = 300
• 16.3 Stylised Patterns Between Exchange Rate Returns and the Interest Rate Differentials = 302
• 16.3.1 The Bilateral Spillover Between Exchange Rate and Monetary Policy Volatilities Using the Bivariate Conditional Variance Model = 303
• 16.3.2 Does the VAR Model Capture Some Stylized Effects? = 307
• 16.3.3 Does the Estimated Monetary Policy Volatility Affect the Economy? = 307
• 16.4 What are the Channels That Transmit Monetary Policy Volatility Shocks on the Economy? = 308
• 16.5 Evidence From the Counterfactual VAR Analysis = 311
• 16.6 Conclusion and Policy Implications = 314
• References = 315
• 17 Capital Flow Episodes and Real Economic Costs of Flow Episodes = 317
• 17.1 Introduction = 317
• 17.2 How Does Literature Classify Capital Flow Episodes and Does it Separate Between Foreign and Domestic Investor Activities? = 319
• 17.3 Are There any Economic Costs and Benefits of Capital Flow Wave Categories? = 320
• 17.4 Is There an Economic Policy Uncertainty Channel? = 324
• 17.5 What Are the Effects of Global Risk on Surges and Sudden Stop Episodes and What Are the Policy Implications? = 325
• 17.6 Does the South African Economic Policy Uncertainty Matter for Transmission of VTX Shocks to Surges and Sudden Stops Episodes? = 328
• 17.7 Conclusion and Policy Implications = 330
• References = 331
• 18 Transitory and Permanent Components of the Exchange Rate Volatility = 333
• 18.1 Introduction = 334
• 18.2 Is It Feasible to Decompose Overall Volatility into Permanent and Transitory Components? = 337
• 18.3 Why Separate the Overall Volatility into These Two Components? = 339
• 18.4 The Estimated Components of Exchange Rate Volatility and Their Relationship with Manufacturing Production Growth = 341
• 18.5 The Empirical Analysis = 343
• 18.5.1 What Are the Effects of the Three Volatilities on Economic Growth, Inflation and the Repo Rate? = 345
• 18.5.2 What Can Policymakers Learn About Volatility Effects When Periods of Financial Instability Are Included? = 347
• 18.6 The Counterfactual Analysis: The Exchange Rate Volatility Channel in Transmitting Positive Inflation Shock = 349
• 18.6.1 The Domestic Economic Policy Uncertainty Channel in Transmitting Positive Exchange Rate Volatility Shock = 349
• 18.6.2 The Exchange Rate Volatility Channel in the Transmission of Repo Rate-US Federal Funds Rate Diferential = 351
• 18.7 Which of These Three Categories Induce More Fluctuations in Economic Growth? = 354
• 18.8 Conclusion and Policy Implications = 356
• References = 357
• 19 Does the Rand Per US Dollar Exchange Rate Volatility Impact on Net Asset Purchases by Non-residents? = 359
• 19.1 Introduction = 359
• 19.2 Descriptive Statistics = 361
• 19.3 Which Category of Net Asset Purchases Is More Volatile? = 363
• 19.3.1 Do Net Asset Purchases by Non-residents Display Permanent or Transitory Trends? = 364
• 19.3.2 What Can Policymakers Infer from the Variance Ratio Test Regarding Net Asset Purchases Persistence? = 365
• 19.4 Are There Any Stylised Relationships? = 365
• 19.4.1 What Is the Nature of the Relationship Between Net Asset Purchases by Non-residents and the R／US$ Changes and Its Volatility Based on Scatterplots? = 367
• 19.4.2 Cross Correlations Between Rand Exchange Rate Changes and Net Asset Purchases = 372
• 19.4.3 Should Policymakers Be Concerned About Relationship Between Net Asset Purchases and Exchange Rate Volatility? = 373
• 19.5 Which Is the Dominant Driver of Net Equity Purchases by Non-residents Between Exchange Rate Volatility and a Rand Depreciation Shock? = 377
• 19.5.1 Are Spillover Dynamics Prevalent Between Exchange Rate Changes and Net Equity Purchases? = 378
• 19.6 Conclusion and Policy Implications = 379
• References = 381
• 20 Business Confidence Shocks and the Relevance of Exchange Rate Volatility and Economic Policy Uncertainty Channels = 383
• 20.1 Introduction = 383
• 20.2 Stylised Relationships = 386
• 20.3 Selected Shock Effects = 386
• 20.3.1 Is There An Economic Policy Uncertainty Channel? = 390
• 20.3.2 Does the Exchange Rate Volatility Matter for the Transmission of Negative Business Confidence Shocks? = 391
• 20.3.3 What Would Have Happened to South African GDP Growth Following a Positive Shock to the US and Chinese GDP Growth Impulse in the Absence of Changes in Business Confidence? = 395
• 20.4 Conclusion and Policy Implications = 398
• References = 398
• 21 Domestic Macroeconomic Uncertainty Shock and the Consumer Confidence Channel = 401
• 21.1 Introduction = 401
• 21.2 The Prevalence of the Animal Spirits Channel = 402
• 21.3 Conclusion and Policy Implications = 408
• Reference = 408
• 22 Asymmetrical Real Exchange Rate Risk Effects on South African and US Exports Growth = 409
• 22.1 Introduction = 409
• 22.2 Is There an Asymmetric Effect of the Depreciation or Appreciation Shocks on Future Exchange Rate Volatility? = 411
• 22.3 Do the Risk Measures Capture Known Periods of Heightened Volatility? = 414
• 22.4 What Is the Effect of the Exchange Rate Appreciation on the Impact of the Exchange Rate Risk on Exports Growth? = 415
• 22.5 Conclusion and Policy Implications = 420
• References = 421
• 23 Exchange Rate Depreciation, Risk and Exports : A Counterfactual VAR Approach = 423
• 23.1 Introduction = 423
• 23.2 The Exchange Rate Risk = 425
• 23.3 Assumptions Underpinning the Analysis of the Exchange Rate Risk on Exports = 427
• 23.3.1 The Interaction Between the Exchange Rate Depreciation and Risk : What Do Different Assumptions Suggest? = 428
• 23.4 Evidence from the VAR Approach = 434
• 23.4.1 The Impact of the Exchange Rate Risk on Exports = 434
• 23.4.2 The Role of the Exchange Rate Risk in Pass-through of Shocks = 434
• 23.4.3 Does the Exchange Rate Risk Matter for the Transmission of Positive US Economic Policy Uncertainty Shocks? = 437
• 23.4.4 The Effects of Other Shocks and the Role of the Exchange Rate Risk = 437
• 23.5 The Effects of a Rise in US Income on South African Growth : A Counterfactual VAR Approach = 440
• 23.6 Conclusion and Policy Implications = 442
• References = 442
• 24 South African Exporters and the Pricing-to-Market Strategy = 445
• 24.1 Introduction = 445
• 24.2 Brief Review of the Theoretical Long Run Relationship Between Export Prices and Pricing-to-Market Strategy = 447
• 24.3 The Relationship Between Changes in Export Prices and Other Variables = 448
• 24.4 Do Exporters Stabilise the Export Prices? = 449
• 24.5 What Is the Magnitude of the Pricing-to-Market Strategy in South Africa? Does It Depend on the Direction of the Exchange Rate Changes? = 451
• 24.6 Do Exchange Rate Appreciations and Depreciations Exert Similar Effects on the Pricing-to-Market Strategy? = 454
• 24.6.1 Are There Asymmetric Effects Emanating from Exchange Rate Appreciations and Depreciations? = 455
• 24.7 Conclusion and Policy Implications = 457
• References = 458
• 25 Does the Inflation Threshold Lead to Asymmetric Effects of the Rand Per US Dollar Exchange Rate Changes on Inflation? = 459
• 25.1 Introduction = 459
• 25.2 Does Asymmetric ERPT Matter? = 461
• 25.3 What can we Learn From Rand Per US Dollar Changes Between 2000M1 and 2015M6? = 462
• 25.4 What are the Implications of Appreciation and Depreciation Episodes for Inflation Dynamics Between 2000M1 to 2015M7? = 464
• 25.5 Are There Any Asymmetry Effects of Appreciation and Depreciations Subject to the Inflation Threshold? = 466
• 25.6 Conclusion and Policy Implications = 469
• References = 470
• References = 471
• Index = 479