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:
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: 2011-12
- Subjects: Business cycle , Credit , Procyclicality , Vector autoregression (VAR) , Cointegration , Structural vector autoregression (SVAR)
- Type: Article
- Identifier: http://ujcontent.uj.ac.za8080/10210/368251 , uj:5815 , ISSN 1993-8233 , http://hdl.handle.net/10210/7823
- 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: 2011-12
- Subjects: Business cycle , Credit , Procyclicality , Vector autoregression (VAR) , Cointegration , Structural vector autoregression (SVAR)
- Type: Article
- Identifier: http://ujcontent.uj.ac.za8080/10210/368251 , uj:5815 , ISSN 1993-8233 , http://hdl.handle.net/10210/7823
- 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:
The relationship between the exchange rate and the trade balance in South Africa
- Chiloane, Lebogang, Pretorius, Marinda, Botha, Ilsé
- Authors: Chiloane, Lebogang , Pretorius, Marinda , Botha, Ilsé
- Date: 2014
- Subjects: J-curve , Marshall–Lerner , Vector auto regression , Cointegration , Impulse response function , Foreign exchange rates - South Africa , Trade balance - South Africa , Manufacturing industries - South Africa
- Type: Article
- Identifier: uj:5530 , ISSN 19957076 , http://hdl.handle.net/10210/13941
- Description: The purpose of this paper is to test the existence of the J-curve effect and to show whether the Marshall–Lerner condition holds in the South African manufacturing sector. Using quarterly data from 1995 to 2010, the study uses the vector error correction modelling technique as well as impulse response functions to attain the research objectives. The results show that a long-run equilibrium relationship exists between the manufacturing trade balance and the three explanatory variables: real effective exchange rate, real domestic and foreign income levels. Overall, the results show that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance in the short run, and that this is followed by an improvement in the long run. The study finds evidence of the existence of the J-curve in the South African manufacturing sector. The long-run dynamics suggest that the Marshall–Lerner condition holds.
- Full Text:
- Authors: Chiloane, Lebogang , Pretorius, Marinda , Botha, Ilsé
- Date: 2014
- Subjects: J-curve , Marshall–Lerner , Vector auto regression , Cointegration , Impulse response function , Foreign exchange rates - South Africa , Trade balance - South Africa , Manufacturing industries - South Africa
- Type: Article
- Identifier: uj:5530 , ISSN 19957076 , http://hdl.handle.net/10210/13941
- Description: The purpose of this paper is to test the existence of the J-curve effect and to show whether the Marshall–Lerner condition holds in the South African manufacturing sector. Using quarterly data from 1995 to 2010, the study uses the vector error correction modelling technique as well as impulse response functions to attain the research objectives. The results show that a long-run equilibrium relationship exists between the manufacturing trade balance and the three explanatory variables: real effective exchange rate, real domestic and foreign income levels. Overall, the results show that a depreciation in the domestic currency results in a deterioration in the manufacturing trade balance in the short run, and that this is followed by an improvement in the long run. The study finds evidence of the existence of the J-curve in the South African manufacturing sector. The long-run dynamics suggest that the Marshall–Lerner condition holds.
- Full Text:
International bond market portfolio diversification in an emerging financial market
- Authors: Ghirdari, Enrico
- Date: 2016
- Subjects: Investments , Capital market , Portfolio management , Bond market , Cointegration , Diversification in industry
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/124201 , uj:20887
- Description: Abstract: The increase in globalisation of financial markets has given rise to increased integration of developed financial markets. As a result, portfolio managers are finding it increasingly difficult to diversify their portfolios across developed bond markets. Examination of existing literature suggests that using emerging financial markets as an alternative investment destination may be beneficial for a portfolio manager. However, research shows that there is limited academic research focusing on international bond portfolio diversification from the viewpoint of a South African investor using emerging financial markets. The study examines cointegration between the South African bond market and selected emerging markets: Brazil, Russia, India and China, for the period January 2006 to February 2016. The Johansen test of cointegration and vector autoregressive (VAR) methodology was used. Overall results confirmed that there was no cointegration present among these bond markets and thus a South African portfolio manager can use these selected emerging markets for portfolio diversification and risk reduction purposes. In addition, results proved that international bond market diversification is beneficial for a South African portfolio manager and since international bond market linkages have remained weak with no observable trend, international bond market diversification will remain beneficial for South African investors in the future. , M.Com. (Financial Management)
- Full Text:
- Authors: Ghirdari, Enrico
- Date: 2016
- Subjects: Investments , Capital market , Portfolio management , Bond market , Cointegration , Diversification in industry
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/124201 , uj:20887
- Description: Abstract: The increase in globalisation of financial markets has given rise to increased integration of developed financial markets. As a result, portfolio managers are finding it increasingly difficult to diversify their portfolios across developed bond markets. Examination of existing literature suggests that using emerging financial markets as an alternative investment destination may be beneficial for a portfolio manager. However, research shows that there is limited academic research focusing on international bond portfolio diversification from the viewpoint of a South African investor using emerging financial markets. The study examines cointegration between the South African bond market and selected emerging markets: Brazil, Russia, India and China, for the period January 2006 to February 2016. The Johansen test of cointegration and vector autoregressive (VAR) methodology was used. Overall results confirmed that there was no cointegration present among these bond markets and thus a South African portfolio manager can use these selected emerging markets for portfolio diversification and risk reduction purposes. In addition, results proved that international bond market diversification is beneficial for a South African portfolio manager and since international bond market linkages have remained weak with no observable trend, international bond market diversification will remain beneficial for South African investors in the future. , M.Com. (Financial Management)
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