Investigating the bank lending channel in South Africa : a VAR approach
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Date
Authors
Ludi, Kirsten L.
Ground, Marc
Journal Title
Journal ISSN
Volume Title
Publisher
University of Pretoria, Department of Economics
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.
Description
Keywords
Monetary transmission mechanism, Bank-lending channel, Vector autoregressive (VAR) model, Vector error correction model (VECM), Johansen cointegration test
Sustainable Development Goals
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]