Credit extension in South Africa : a business cycle perspective for the period 1985 to 2009
- Fourie, Leila, Botha, Ilsé, Mears, Ronald
- Authors: Fourie, Leila , Botha, Ilsé , Mears, Ronald
- Date: 2011
- Subjects: Procyclicality , Cointegration , Structural vector autoregression (SVAR) , Vector autoregression (VAR) , Macroeconomic business cycle , Bank-granted credit
- Type: Article
- Identifier: uj:5814 , ISSN 1993-8233 , http://hdl.handle.net/10210/7822
- Description: This paper investigates and quantifies the relationship between the macroeconomic business cycle and bank-granted credit in South Africa for the period 1985 to 2009. The main question that this research seeks to answer is what role do banks play in amplifying the business cycle and what is the impact of this on the macroeconomy? The outcomes of the econometric model support the hypothesis that a positive relationship exists between bank-extended credit and the business cycle. The vector autoregression technique was used to prove the relationship between credit and the underlying cycle. The analysis shows that a two-way relationship exists between credit and the coincident indicator, credit and insolvencies and credit and prime. Results from the vector error correction model show a significant short-run relationship of equilibrium in the cointegrating equation between credit and the coincident indicator. This corroborates the underlying theory that credit is a unifying variable that rapidly responds to shocks emanating from the dynamic interaction of cointegrating variables in the economy.
- Full Text:
- Authors: Fourie, Leila , Botha, Ilsé , Mears, Ronald
- Date: 2011
- Subjects: Procyclicality , Cointegration , Structural vector autoregression (SVAR) , Vector autoregression (VAR) , Macroeconomic business cycle , Bank-granted credit
- Type: Article
- Identifier: uj:5814 , ISSN 1993-8233 , http://hdl.handle.net/10210/7822
- Description: This paper investigates and quantifies the relationship between the macroeconomic business cycle and bank-granted credit in South Africa for the period 1985 to 2009. The main question that this research seeks to answer is what role do banks play in amplifying the business cycle and what is the impact of this on the macroeconomy? The outcomes of the econometric model support the hypothesis that a positive relationship exists between bank-extended credit and the business cycle. The vector autoregression technique was used to prove the relationship between credit and the underlying cycle. The analysis shows that a two-way relationship exists between credit and the coincident indicator, credit and insolvencies and credit and prime. Results from the vector error correction model show a significant short-run relationship of equilibrium in the cointegrating equation between credit and the coincident indicator. This corroborates the underlying theory that credit is a unifying variable that rapidly responds to shocks emanating from the dynamic interaction of cointegrating variables in the economy.
- Full Text:
Forecasting the exchange rate in South Africa : a comparative analysis challenging the random walk model
- Botha, Ilsé, Pretorius, Marinda
- Authors: Botha, Ilsé , Pretorius, Marinda
- Date: 2009
- Subjects: Foreign exchange rates - South Africa - Forecasting
- Type: Article
- Identifier: uj:5526 , ISSN 1993-8233 , http://hdl.handle.net/10210/13933
- Description: Literature shows that exchange rates are largely unpredictable, and that a simple random walk outperforms structural exchange rate models. In order to determine whether fundamentals explain exchange rate behaviour in South Africa, the two approaches to exchange rate forecasting - the technical and fundamental approach - will be compared. Various univariate time series models, including the random walk model, will be compared to various multivariate time series models (using the MAD/mean ratio), combining the two approaches. The determinants of the South African exchange rate are identified, and these determinants are used to specify multivariate time series models for the South African exchange rate. The multivariate models (VARMA) outperformed the univariate models (except for the Random walk model) in the short-run forecasts, one step ahead, while the multivariate models, performed better in the longer-run forecasts. To improve the accuracy of especially the multivariate models, it is recommended that multiple frequencies be used to capture the dynamic behaviour between variables in a Structural VAR framework.
- Full Text:
- Authors: Botha, Ilsé , Pretorius, Marinda
- Date: 2009
- Subjects: Foreign exchange rates - South Africa - Forecasting
- Type: Article
- Identifier: uj:5526 , ISSN 1993-8233 , http://hdl.handle.net/10210/13933
- Description: Literature shows that exchange rates are largely unpredictable, and that a simple random walk outperforms structural exchange rate models. In order to determine whether fundamentals explain exchange rate behaviour in South Africa, the two approaches to exchange rate forecasting - the technical and fundamental approach - will be compared. Various univariate time series models, including the random walk model, will be compared to various multivariate time series models (using the MAD/mean ratio), combining the two approaches. The determinants of the South African exchange rate are identified, and these determinants are used to specify multivariate time series models for the South African exchange rate. The multivariate models (VARMA) outperformed the univariate models (except for the Random walk model) in the short-run forecasts, one step ahead, while the multivariate models, performed better in the longer-run forecasts. To improve the accuracy of especially the multivariate models, it is recommended that multiple frequencies be used to capture the dynamic behaviour between variables in a Structural VAR framework.
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The customer market practices of the travel agency industry in the Gauteng Province of South Africa
- Authors: Roberts-Lombard, M.
- Date: 2011
- Subjects: Relationship marketing , Customer relations , Travel agencies (Gauteng, South Africa)
- Type: Article
- Identifier: uj:5725 , ISSN 1993-8233 , http://hdl.handle.net/10210/5268
- Description: Relationship marketing stresses the importance of continuous interaction between the seller and the buyer in order to cultivate a long-term, mutually beneficial relationship. High interest rates, increasing prices of basic goods and services and a weakening rand has reduced consumer spending on domestic and international travel. Therefore, there is continued pressure on South African travel suppliers to review their current relationship marketing practices to secure customer retention in a competitive and volatile travel market. The purpose of the article is to indicate the current status of the customer market practices of the travel agency industry in Gauteng, and to provide recommendations to the management of travel agencies in the province regarding the improved application of the principles of relationship marketing. The target population for this study was 280 travel agencies of which 170 managers and/or owners participated through personal interviews in the completion of questionnaires. The findings of the study indicate that the owners and managers of travel agencies must create an environment which is more accessible for the critical interaction with customers. The loyalty of customers can be increased when customers are provided with the opportunity to share their experiences and comments with the travel agency in an interactive manner.
- Full Text:
- Authors: Roberts-Lombard, M.
- Date: 2011
- Subjects: Relationship marketing , Customer relations , Travel agencies (Gauteng, South Africa)
- Type: Article
- Identifier: uj:5725 , ISSN 1993-8233 , http://hdl.handle.net/10210/5268
- Description: Relationship marketing stresses the importance of continuous interaction between the seller and the buyer in order to cultivate a long-term, mutually beneficial relationship. High interest rates, increasing prices of basic goods and services and a weakening rand has reduced consumer spending on domestic and international travel. Therefore, there is continued pressure on South African travel suppliers to review their current relationship marketing practices to secure customer retention in a competitive and volatile travel market. The purpose of the article is to indicate the current status of the customer market practices of the travel agency industry in Gauteng, and to provide recommendations to the management of travel agencies in the province regarding the improved application of the principles of relationship marketing. The target population for this study was 280 travel agencies of which 170 managers and/or owners participated through personal interviews in the completion of questionnaires. The findings of the study indicate that the owners and managers of travel agencies must create an environment which is more accessible for the critical interaction with customers. The loyalty of customers can be increased when customers are provided with the opportunity to share their experiences and comments with the travel agency in an interactive manner.
- Full Text:
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