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:
Dependence structure and insurance credit default swaps
- Mudiangombe Mudiangombe, Benjamin
- Authors: Mudiangombe Mudiangombe, Benjamin
- Date: 2017
- Subjects: Credit , Financial risk management. , Derivative securities
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271650 , uj:28896
- Description: Abstract: We examine the dependence structure of credit default swap (CDS) indices in the pairs of different markets of the United Kingdom (UK), Eurozone (EU) and United States (US) insurance industries during the period of August 2004 to February 2015. We applied the Archimedean Clayton copula to model the lower tail and the Gumbel copula to model the upper tail of the empirical distributions. The empirical results show a significant dependence structure for both constant and time-varying copulas, implying the co-movement in the pairs of markets during the study period, influencing the contagion risk. The highest tail dependence and positive adjustment parameters seen in crisis and debt-crisis in the lower regime explains the link between these markets. The crucial findings show confirmation of asymmetric tail dependence proposing the propagation of risks of default among UK, EU and US markets. The conditional tail of the time-varying dependence structure explains the behaviour of dependence better than the constant level. This finding is robust when measuring the evolution of the dependence structure over time. The results are consistent for risk managers and investors to select the portfolio investment in different markets during stress period. , M.Com. (Financial Economics)
- Full Text:
- Authors: Mudiangombe Mudiangombe, Benjamin
- Date: 2017
- Subjects: Credit , Financial risk management. , Derivative securities
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/271650 , uj:28896
- Description: Abstract: We examine the dependence structure of credit default swap (CDS) indices in the pairs of different markets of the United Kingdom (UK), Eurozone (EU) and United States (US) insurance industries during the period of August 2004 to February 2015. We applied the Archimedean Clayton copula to model the lower tail and the Gumbel copula to model the upper tail of the empirical distributions. The empirical results show a significant dependence structure for both constant and time-varying copulas, implying the co-movement in the pairs of markets during the study period, influencing the contagion risk. The highest tail dependence and positive adjustment parameters seen in crisis and debt-crisis in the lower regime explains the link between these markets. The crucial findings show confirmation of asymmetric tail dependence proposing the propagation of risks of default among UK, EU and US markets. The conditional tail of the time-varying dependence structure explains the behaviour of dependence better than the constant level. This finding is robust when measuring the evolution of the dependence structure over time. The results are consistent for risk managers and investors to select the portfolio investment in different markets during stress period. , M.Com. (Financial Economics)
- Full Text:
Extending credit to the low-income and poor households in South Africa: a system of principles
- Authors: Mashigo, Mariann Polly
- Date: 2008-06-10T05:46:53Z
- Subjects: Poor in South Africa , Credit , Households
- Type: Thesis
- Identifier: uj:9521 , http://hdl.handle.net/10210/594
- Description: In this study, extending credit to the low-income and poor households in South Africa: a system of principles is analysed. Access to credit plays a major role in improving the living standards of the households that are plagued by financial shocks. Access to credit enables the low-income and poor households to bridge the effects of financial shocks and/or emergencies such as illness, funerals, fire and theft and to improve household conditions in general. Currently, the low-income and poor households in South Africa find it difficult to access credit from the formal financial sector. The fundamental problem underlying inaccessibility of credit is ascribed to uncertainty, which presents complications in the delivery of such credit to the households. Different theoretical aspects like fundamental uncertainty, incomplete (asymmetric) information, limits to perfect arbitrage, bounded rationality, and market microstructures, for example, give rise to the uncertainty problem which then makes it difficult for formal financial institutions (as lenders) and borrowers to conduct financial transactions and, therefore, limits the provision of credit, especially to the low-income and poor households. The uncertainty problem implies that the low-income and poor households remain deprived of need-based credit and are further marginalised. The main objective of the study is to derive a system of principles that can act as a first point of reference in dealing with the uncertainty problem, thereby assisting in improving access to credit by the low-income and poor households in South Africa. The study adopts both qualitative and quantitative methods of research which are clearly expressed and substantiated to validate the study. To overcome the problem of uncertainty, the study recommends the development of a system of principles as a strategic instrument of dealing with the problem and to improve access to credit by the low-income and poor households in South Africa. Such a system is based on the seven principles, namely, socialisation, collateral substitution, decentralisation, localisation, customisation, training and government/judicial policies as an important benchmark to initiate the transformation of the uncertainty problem associated with extending credit to the low-income and poor households. The importance of such a system is based on the fact that the principles are interrelated, for example, they use peer pressure and monitoring as substitutes for collateral in securing credit and also minimises the transaction and administrative costs of financial contracts. Lending and borrowing activities take place under perfect and certain environment. , Dr. C.H. Schoeman
- Full Text:
- Authors: Mashigo, Mariann Polly
- Date: 2008-06-10T05:46:53Z
- Subjects: Poor in South Africa , Credit , Households
- Type: Thesis
- Identifier: uj:9521 , http://hdl.handle.net/10210/594
- Description: In this study, extending credit to the low-income and poor households in South Africa: a system of principles is analysed. Access to credit plays a major role in improving the living standards of the households that are plagued by financial shocks. Access to credit enables the low-income and poor households to bridge the effects of financial shocks and/or emergencies such as illness, funerals, fire and theft and to improve household conditions in general. Currently, the low-income and poor households in South Africa find it difficult to access credit from the formal financial sector. The fundamental problem underlying inaccessibility of credit is ascribed to uncertainty, which presents complications in the delivery of such credit to the households. Different theoretical aspects like fundamental uncertainty, incomplete (asymmetric) information, limits to perfect arbitrage, bounded rationality, and market microstructures, for example, give rise to the uncertainty problem which then makes it difficult for formal financial institutions (as lenders) and borrowers to conduct financial transactions and, therefore, limits the provision of credit, especially to the low-income and poor households. The uncertainty problem implies that the low-income and poor households remain deprived of need-based credit and are further marginalised. The main objective of the study is to derive a system of principles that can act as a first point of reference in dealing with the uncertainty problem, thereby assisting in improving access to credit by the low-income and poor households in South Africa. The study adopts both qualitative and quantitative methods of research which are clearly expressed and substantiated to validate the study. To overcome the problem of uncertainty, the study recommends the development of a system of principles as a strategic instrument of dealing with the problem and to improve access to credit by the low-income and poor households in South Africa. Such a system is based on the seven principles, namely, socialisation, collateral substitution, decentralisation, localisation, customisation, training and government/judicial policies as an important benchmark to initiate the transformation of the uncertainty problem associated with extending credit to the low-income and poor households. The importance of such a system is based on the fact that the principles are interrelated, for example, they use peer pressure and monitoring as substitutes for collateral in securing credit and also minimises the transaction and administrative costs of financial contracts. Lending and borrowing activities take place under perfect and certain environment. , Dr. C.H. Schoeman
- Full Text:
Sources and type of credit for construction of small and medium enterprises in the South Africa : a literature review
- Balogun, Olanrewaju O., Agumba, Justus N., Ansary, Nazeem
- Authors: Balogun, Olanrewaju O. , Agumba, Justus N. , Ansary, Nazeem
- Date: 2015
- Subjects: Construction , Sources , Credit
- Language: English
- Type: Conference proceedings
- Identifier: http://hdl.handle.net/10210/87822 , uj:19632 , Citation: Balogun, O.O., Agumba, J.N. & Ansary, N. Sources and type of credit for construction of small and medium enterprises in the South Africa : a literature review.
- Description: Abstract: Please refer to full text to view abstract
- Full Text: false
- Authors: Balogun, Olanrewaju O. , Agumba, Justus N. , Ansary, Nazeem
- Date: 2015
- Subjects: Construction , Sources , Credit
- Language: English
- Type: Conference proceedings
- Identifier: http://hdl.handle.net/10210/87822 , uj:19632 , Citation: Balogun, O.O., Agumba, J.N. & Ansary, N. Sources and type of credit for construction of small and medium enterprises in the South Africa : a literature review.
- Description: Abstract: Please refer to full text to view abstract
- Full Text: false
- «
- ‹
- 1
- ›
- »