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A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm
Thesis (MCom)--Stellenbosch University, 2019.
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| Format: | Thesis |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2019
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| _version_ | 1867613952111804416 |
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| access_status_str | Open Access |
| author | Erasmus, Ruan |
| author2 | Hollander, Hylton |
| author_browse | Erasmus, Ruan Hollander, Hylton |
| author_facet | Hollander, Hylton Erasmus, Ruan |
| author_sort | Erasmus, Ruan |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MCom)--Stellenbosch University, 2019. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/107163 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:44:18.862Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/107163 A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm Erasmus, Ruan Hollander, Hylton Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Economics. Monetary policy -- South Africa Text data mining -- South Africa Forward guidance -- South Africa Inflation targeting -- South Africa South African Reserve Bank UCTD Thesis (MCom)--Stellenbosch University, 2019. ENGLISH SUMMARY : The growing prevalence of forward guidance, in addition to central banks' efforts to improve and structure its use, has spawned growing interest among market participants and academics. Several scholars have endeavoured to develop quantitative tools to measure, or express on a numerical scale, qualitative forward guidance of central banks. In the context of South Africa, such studies are extremely scant. The expansion of central bank communications and technological advances has given rise to an area of research that analyses the words and phrases used by central banks, using semantic-modelling and other text-mining techniques. Using these techniques, we construct a novel forward guidance indicator (FGI) for the South African Reserve Bank (SARB). Specifically, we apply text-mining and text-analysis techniques to monetary policy committee (MPC) statements to generate an index measuring the stance of monetary policy. Using a series of applications, we establish that our FGis represent a useful tool to explain and predict future changes in the repo rate. Furthermore, our results indicate that our FGis are primarily driven by inflation expectations. AFRIKAANSE OPSOMMING : Die toonemende voorkoms van vooruitleiding, tesame met pogings van sentrale banke om dit te verbeter en die gebruik daarvan te struktureer, het ‘n groeiende belangstelling by markdeelnemers en akademici gewek. Verskeie geleerdes het probeer om kwantitatiewe instrumente te ontwikkel om kwalitatiewe vooruitleiding van sentrale banke te meet of op ‘n numeriese skaal uit te druk. In die konteks van Suid-Afrika is die studies uiters skaars. Die uitbreiding van sentrale bank kommunikasie en tegnologiese vooruitgang het gelei tot 'n navorsingsarea wat die woorde en frases wat deur die sentrale banke gebruik word, ontleed met behulp van semantiese modellering en ander ontginningstegnieke. Deur hierdie tegnieke te gebruik, stel ons ‘n nuwe vooruitleiding-indikator (FGI) vir die Suid-Afrikaanse Reserwebank (SARB) op. Ons pas spesifiek tegnieke vir ontginning van teks en teksanalise toe op die verklarings van die monetere beleidskomitee (MP C) om 'n indeks te genereer wat die standpunt van monetere beleid meet. Deur gebruik te maak van ‘n reeks toepassings, bepaal ons dat ons FGI's 'n nuttige instrument is om toekomstige veranderinge in die repokoers te verduidelik en te voorspel. Verder dui ons resultate daarop dat ons FGI's hoofsaaklik gedryf word deur inflasieverwagtinge. Masters 2019-11-28T11:43:53Z 2019-12-11T06:50:46Z 2019-11-28T11:43:53Z 2019-12-11T06:50:46Z 2019-12 Thesis http://hdl.handle.net/10019.1/107163 en_ZA Stellenbosch University iii, 66 pages ; illustrations, includes annexures application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Monetary policy -- South Africa Text data mining -- South Africa Forward guidance -- South Africa Inflation targeting -- South Africa South African Reserve Bank UCTD Erasmus, Ruan A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title | A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title_full | A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title_fullStr | A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title_full_unstemmed | A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title_short | A forward guidance indicator for the South African Reserve Bank : implementing a text analysis algorithm |
| title_sort | forward guidance indicator for the south african reserve bank implementing a text analysis algorithm |
| topic | Monetary policy -- South Africa Text data mining -- South Africa Forward guidance -- South Africa Inflation targeting -- South Africa South African Reserve Bank UCTD |
| url | http://hdl.handle.net/10019.1/107163 |
| work_keys_str_mv | AT erasmusruan aforwardguidanceindicatorforthesouthafricanreservebankimplementingatextanalysisalgorithm AT erasmusruan forwardguidanceindicatorforthesouthafricanreservebankimplementingatextanalysisalgorithm |