ABSTRACT

There is a new wave of monetary thought popularized in industrialized economies going under the banner of Neo-Fisherism. Proponents of this school of thought assume that there exists reverse causality in the conventional Fisher effect in which interest rates cause movements in expected inflation instead of interest rates being driven by inflation expectations. We examine whether the Neo-Fisherian hypothesis holds for the South African economy as an inflation-targeting emerging economy characterized by moderate inflation and policy rates. Using frequency-domain causality tests on quarterly repo rate and inflation expectations data collected between 2002:q3 and 2019:q2, we find evidence of uni-directional causality from repo rates to inflation expectations over the short- and long-run. Policy implications of these findings are discussed.

摘要

在新渔业主义的旗帜下，在工业化经济体中流行了一波新的货币思想浪潮。该学派的支持者假设传统的费雪效应中存在反向因果关系，即利率导致预期通胀的变动，而不是由通胀预期驱动的利率。我们研究了新菲舍尔假说是否适用于南非经济作为一个以通胀为目标的新兴经济体，其特点是温和的通胀和政策利率。使用对 2002 年第三季度和 2019 年第二季度收集的季度回购利率和通胀预期数据的频域因果关系检验，我们发现了短期和长期从回购利率到通胀预期的单向因果关系的证据。讨论了这些发现的政策含义。