We examine the high-frequency response of the rand-dollar nominal rate within ten-minute intervals around (five minutes before, five minutes after) official inflation announcements, and show that the rand appreciates (resp., depreciates) on impact when inflation is higher (resp., lower) than expected – evidence that “bad” news about inflation is “good” news for the currency. The effect only applies after the adoption of inflation targeting. Our findings are rationalizable by the belief, among market participants, in a credible (though perhaps not particularly aggressive) inflation targeting policy in South Africa; and can be used to monitor changes in currency market perceptions about the monetary policy regime.​