Central Bank Governor Gill Marcus said while the Monetary Policy Committee considered a cut, the decision to leave rates unchanged was unanimous and none of its seven members advocated for further monetary loosening.

Some players in the market were still hoping for a rate cut as the economic recovery has proved to be much weaker than anticipated.

The rand firmed by more than 1.5 percent against the dollar on the day, hitting a session high of 7.92, from 8.0147 before. It was trading at 7.94 to the dollar at 1612 GMT, from Wednesday's New York close of 8.05.

"The market was factoring in a chance of the rate cut, so we did not get it. That is the major reason. Also the euro had a strong day, so it was the combination of the two," said Jim Bryson, dealer at RMB.

The central bank said the rand's recent weakness of 12 percent to the dollar since the beginning of September was an upside risk to inflation but the impact wold be limited unless the currency continues to depreciate.

Although bonds were still firmer on the day, yields ticked up after the central bank's statement. The yield on the 2015 bond rose to 6.475 percent from 6.42 percent prior to it. The 2026 yield rose to 8.275 percent from 8.245 percent before.

"The MPC is being very prudent and is concerned about inflation and developments in Europe. They don't have much ammo left and they'd rather wait until there are more developments," said a bond dealer