Market pricing suggests that there is a chance that SARB will continue to tighten policy further this year, although the market-implied chance of further tightening has declined relative to what was priced-in in mid-June. There has been a retracement of expectations of the terminal policy rate in this tightening policy cycle since May.
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, and creating one would help improve the accuracy of estimates of market pricing the probability of a policy rate change at a specific date.
