تابع واکنش سیاست پولی بهینه در یک مدل با هدف مناطق و اولویت های نامتقارن برای آفریقای جنوبی

This paper estimates the optimal response of the SARB to deviations of inflation and output from their target values over the inflation targeting era. This is achieved using an empirical framework that allows the central bank's policy preferences to be zone-like and asymmetric. The first major finding is that the monetary authorities' response towards inflation is zone symmetric. That is, they react in a passive manner when inflation is within the target band whereas they become increasingly aggressive when it deviates from the target band. The monetary authorities also react with the same level of aggressiveness regardless of whether inflation overshoots or undershoots the inflation target band. The second major finding is that the monetary authorities' response to output fluctuations is asymmetric. That is, they react more aggressively to negative deviations of output from the potential so that they weigh business cycle recessions more than expansions.

Policy makers around the world have sought to improve transparency and accountability of their policy objectives by specifying explicit targets for variables such as inflation and output. An important development in the recent past has been the adoption of the inflation targeting framework by a growing number of developed and developing countries (Mishkin and Schmidt-Hebbel, 2001). Under this framework, monetary policy authorities make public announcements of the target inflation rate and use of interest rates to steer actual inflation towards the target with the objective of achieving price stability. This monetary policy framework is characterised by point targeting, which permits inflation to fluctuate by some margin around the specified target. Other central banks, including the South African Reserve Bank (SARB), have adopted a zone targeting monetary policy framework that allows some toleration to the fluctuation of inflation within a specified target range. When the monetary authorities are endowed with inflation and output stabilisation, they may have an inflation bias when inflation overshoots the target and an output bias during productivity declines (Orphanides and Wilcox, 2002). Thus the monetary authorities may behave in ways that reflect asymmetries when confronted by numerous competing objectives. This implies that their responses to inflation and output may be different depending on whether these variables undershoot or overshoot their target values. The monetary authorities may also exhibit zone-like behaviours by penalising more when inflation moves out of the target range and being passive when it is within the target range. Thus an empirical framework that allows for target zones and asymmetries in monetary policy preferences is more relevant to evaluate the monetary authorities' actual practice of monetary policy setting. However, as argued by Orphanides and Wieland (2000), the quantitative evaluations of monetary policy that are based on linear models that use the Taylor (1993) rule and its extensions by Clarida et al. (2000) may not fully capture the actual practice of inflation targeting. Empirical work on the analysis of monetary policy is dominated by studies that use the linear Taylor rule with relatively few studies that have estimated asymmetric monetary policy reaction functions. Cukierman and Gerlach, 2003, Ruge-Murcia, 2003, Dolado et al., 2004 and Dolado et al., 2005, and Surico, 2007a and Surico, 2007b have shown evidence supporting asymmetries by adopting a monetary policy reaction function that feature asymmetries in either inflation or the output gap for the US, UK, EU and OECD countries. Boinet and Martin (2008) also implemented a monetary policy reaction function that feature asymmetries and zone-like behaviours for the UK and found the evidence of zone-like responses to inflation. This paper estimates the monetary authorities' response to deviations of inflation and output from their target values using an empirical framework which allows central bank's policy preferences to be zone-like and asymmetric. Of particular interest is whether the monetary authorities' preferences are such that they react differently to deviations in inflation and output when they overshoot or are below their target values and/or when inflation is within or outside the target range. The modelling strategy is an adaptation of the New Keynesian framework, which is the intertemporal optimisation problem where the central bank minimises a loss function subject to the constraints given by the structure of the economy. The study is important in that it allows the evaluation of the SARB's monetary policy outcomes using an analytical framework that captures the authentic inflation target band monetary policy practice under which the SARB operates. The attempt to model South Africa's monetary policy using an optimal monetary policy reaction function with zone-like and asymmetric preferences is the first to our knowledge. This monetary policy reaction function is in line with the actual practice of inflation zone targeting by the SARB where the inflation target is 3 to 6%.2 The paper is organised as follows. The next section details the theoretical model where the optimal monetary policy rule is derived from the monetary authorities' optimisation problem. Section 3 discusses the data. In Section 4, the optimal monetary policy rule is estimated and the results are reported and discussed. Section 5 concludes.

This paper estimates the monetary authorities' response to deviations of inflation and output from their target values using an empirical framework that allows central bank's policy preferences to be zone-like and asymmetric. Of particular interest is whether the monetary authorities' preferences are such that they behave differently to deviations in inflation and output when they overshoot or are below their target values and/or when inflation is within or outside the target range. Monthly data for South Africa spanning the period since inflation targeting framework was adopted is used in the analysis. The optimal monetary policy response functions are estimated in a forward looking manner for linearities and nonlinearities, symmetries and asymmetries as well as zone-like responses to inflation and output gaps. The results show that the monetary authorities react in a passive manner when inflation is about 0.5% from the inflation target mid-point of 4.5% and become increasingly aggressive when it deviates from the target band. The monetary authorities increase the nominal interest rates by 0.4% when inflation hits the upper threshold of the inflation target band and they increase the nominal interest rates by 2.9% when inflation deviates by 1% outside the upper bound of the inflation target. The results also show that the monetary authorities react with the same level of aggressiveness regardless whether inflation overshoots or undershoots the inflation target band. With regard to output, the monetary authorities cut nominal interest rates by 1% when output undershoots the potential by 0.8% and they react differently to negative and positive deviations of output from the potential showing that they are more aggressive when output falls below that when it overshoots the potential. Future research can extend this analysis by evaluating the monetary authorities' reaction to other macroeconomic and financial variables such as asset prices and exchange rates.