This paper examines whether the transmission mechanism of monetary policy in South Africa has changed after the global financial crisis (GFC). We use a Bayesian vector autoregressive (BVAR) model with Minnesota priors and 15 monthly variables, extending the system of Christiano, Eichenbaum, with Evans (1999). The benefit of the BVAR approach is that it can accommodate a large cross section of variables without running out of degrees of freedom. To identify the change in the transmission process, we divide the sample size into two subsamples, namely the pre‐GFC period (March 2001 to August 2008) and the post‐GFC period (September 2008 to February 2016). The results indicate that a change in the transmission of monetary policy occurred after the GFC. The magnitude of the effect of a monetary policy shock on output is considerably greater in the pre‐GFC period compared to the post‐GFC period. Moreover, the impact of a policy shock on inflation is not statistically significant in the post‐GFC period. The variance decomposition shows that the interest‐rate channel has possibly weakened in the post‐GFC period.

中文翻译：

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全球金融危机前后南非的货币政策传导

本文探讨了在全球金融危机（GFC）之后，南非货币政策的传导机制是否已改变。我们使用明尼苏达州先验和15个月度变量的贝叶斯向量自回归（BVAR）模型，用Evans（1999）扩展了Christiano，Eichenbaum的系统。BVAR方法的好处是它可以容纳较大的变量横截面，而不会耗尽自由度。为了确定传播过程中的变化，我们将样本大小分为两个子样本，即GFC之前的时期（2001年3月至2008年8月）和GFC之后的时期（2008年9月至2016年2月）。结果表明，在全球金融危机之后，货币政策的传导发生了变化。与GFC后时期相比，GFC之前时期货币政策冲击对产出的影响程度要大得多。此外，在全球金融危机之后，政策冲击对通货膨胀的影响在统计上并不显着。方差分解表明，在GFC后时期，利率渠道可能已经减弱。