Investigating the bank lending channel in South Africa : a VAR approach

Ludi, Kirsten L.; Ground, Marc

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dc.contributor.author	Ludi, Kirsten L.
dc.contributor.author	Ground, Marc
dc.date.accessioned	2008-02-15T09:15:42Z
dc.date.available	2008-02-15T09:15:42Z
dc.date.issued	2006-02
dc.description.abstract	The monetary policy transmission mechanism can broadly be categorised into three separate channels: the interest rate channel, the credit channel and the other asset price channel. This paper seeks to examine the bank-lending channel of the credit channel of monetary policy in South Africa by making use of structural vector autoregressions (SVAR’s). The pass-through effects of a change in the repurchase (repo) rate on bank deposits and loans and output, are tested using a parsimonious vector error correction model (PVECM). The Johansen (1988) cointegration procedure is used to test for a demand- or supply-driven bank-lending channel. In this way, the validity and effectiveness of the monetary policy regime in South Africa is tested and evaluated.	en
dc.format.extent	436631 bytes
dc.format.mimetype	application/pdf
dc.identifier.citation	Ludi, KL & Ground, M 2006, 'Investigating the bank lending channel in South Africa : a VAR approach', University of Pretoria, Department of Economics, Working paper series, no. 2006-04. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]	en
dc.identifier.uri	http://hdl.handle.net/2263/4469
dc.language.iso	en	en
dc.publisher	University of Pretoria, Department of Economics	en
dc.relation.ispartofseries	Working Paper (University of Pretoria, Department of Economics)	en
dc.relation.ispartofseries	2006-04	en
dc.rights	University of Pretoria, Department of Economics	en
dc.subject	Monetary transmission mechanism	en
dc.subject	Bank-lending channel	en
dc.subject	Vector autoregressive (VAR) model	en
dc.subject	Vector error correction model (VECM)	en
dc.subject	Johansen cointegration test	en
dc.subject.lcsh	Bank loans -- South Africa	en
dc.subject.lcsh	Monetary policy -- South Africa	en
dc.title	Investigating the bank lending channel in South Africa : a VAR approach	en
dc.type	Working Paper	en