Market pricing of the chance of an increase in the policy rate by the SARB’s Monetary Policy Committee (MPC) on Thursday has pared back a lot recently, despite inflation coming out above expectations last week.
Footnote
The accuracy of these estimate can be affected by time-varying term premia in the JIBAR and FRA rates of different maturities. South Africa does not have an overnight rate overnight indexed swap market, which would help improve the accuracy of estimates of market pricing the probability of a policy rate change at a specific date.
