Das, SonaliGupta, RKanda, PTReid, MTipoy, CKZerihun, MF2013-02-052013-02-052012-12Das, S, Gupta, R, Kanda, PT, Reid, M, Tipoy, CK and Zerihun, MF. 2012. Real interest rate persistence in South Africa: Evidence and implications. Economic Change and Restructuring, DOI 10.1007/s10644-012-9132-51573-94141574-0277http://link.springer.com/article/10.1007%2Fs10644-012-9132-5#http://web.up.ac.za/sitefiles/file/40/677/WP_2012_04.pdfhttp://hdl.handle.net/10204/6530Copyright: 2012 Springer Science+Business Media. This is the preprint version of the work. The definitive version is published in Economic Change and Restructuring, DOI 10.1007/s10644-012-9132-5The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties, surprisingly, there does not exist any study that delves into this issue for South Africa. Given this, using quarterly data (1960:Q2-2010:Q4) for South Africa, our paper endeavors to analyze the long-run properties of the ex post real rate by using tests of unit root, cointegration, fractional integration and structural breaks. In addition, we also analyze whether monetary shocks contribute to fluctuations in the real interest rate based on test of structural breaks of the rate of inflation, as well as, Bayesian change point analysis. Based on the tests conducted, we conclude that the South African EPPR can be best viewed as a very persistent but ultimately mean-reverting process. Also, the persistence in the real interest rate can be tentatively considered as a monetary phenomenon.enMonetary policiesReal interest ratesMicroeconomic modelsSouth African monetary policiesArticleDas, S., Gupta, R., Kanda, P., Reid, M., Tipoy, C., & Zerihun, M. (2012). Real interest rate persistence in South Africa: Evidence and implications. http://hdl.handle.net/10204/6530Das, Sonali, R Gupta, PT Kanda, M Reid, CK Tipoy, and MF Zerihun "Real interest rate persistence in South Africa: Evidence and implications." (2012) http://hdl.handle.net/10204/6530Das S, Gupta R, Kanda P, Reid M, Tipoy C, Zerihun M. Real interest rate persistence in South Africa: Evidence and implications. 2012; http://hdl.handle.net/10204/6530.TY - Article AU - Das, Sonali AU - Gupta, R AU - Kanda, PT AU - Reid, M AU - Tipoy, CK AU - Zerihun, MF AB - The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable literature that examines its long-run properties, surprisingly, there does not exist any study that delves into this issue for South Africa. Given this, using quarterly data (1960:Q2-2010:Q4) for South Africa, our paper endeavors to analyze the long-run properties of the ex post real rate by using tests of unit root, cointegration, fractional integration and structural breaks. In addition, we also analyze whether monetary shocks contribute to fluctuations in the real interest rate based on test of structural breaks of the rate of inflation, as well as, Bayesian change point analysis. Based on the tests conducted, we conclude that the South African EPPR can be best viewed as a very persistent but ultimately mean-reverting process. Also, the persistence in the real interest rate can be tentatively considered as a monetary phenomenon. DA - 2012-12 DB - ResearchSpace DP - CSIR KW - Monetary policies KW - Real interest rates KW - Microeconomic models KW - South African monetary policies LK - https://researchspace.csir.co.za PY - 2012 SM - 1573-9414 SM - 1574-0277 T1 - Real interest rate persistence in South Africa: Evidence and implications TI - Real interest rate persistence in South Africa: Evidence and implications UR - http://hdl.handle.net/10204/6530 ER -