- Title
- An empirical investigation of the balance sheet channel of monetary policy transmission in South Africa
- Creator
- Kelvin, Mudita
- Subject
- Transmission mechanism (Monetary policy) -- South Africa
- Subject
- Financial statements
- Date Issued
- 2009-12
- Date
- 2009-12
- Type
- Master's theses
- Type
- text
- Identifier
- http://hdl.handle.net/10353/24106
- Identifier
- vital:62375
- Description
- The intention of this study is to outline an empirical framework of the balance sheet channel of monetary policy transmission in South Africa. Specifically, this study examines how monetary policy decisions are transmitted, through the balance sheet of business firms, to the real economy. The study is motivated by the fact that credit has now occupied an important role in the funding of new capital investment in South Africa. Thus, the balance sheet channel may become a relevant channel in the monetary policy transmission process. This study augments the co integration and vector auto regression (VAR) analysis with impulse response and variance decomposition analyses to provide evidence for the balance sheet channel. The study employs quarterly South African data covering the period 1980 to 2008. For that purpose, The VAR model will contain the following variables, Bank rate (monetary policy effect), External finance premium (information asymmetry channel), stock market capitalization (to cater for the collateral channel), Changes in industrial and commercial inventories (cashflows channel), credit extension (to cater for the effect of credit demand), and gross domestic product (to cater for the aggregate shock). The study finds evidence in support of the balance sheet channel of monetary policy transmission in South Africa. The channel is weak as proved by the results. Therefore, the balance sheet channel should not be neglected from both the policy perspective and academic literature point of view in South Africa. However, the findings may only pertain to idiosyncratic economic developments during the sample period, while not necessarily serving as a best guide as to how the South African economy would work in the future.
- Description
- Thesis (MCom) -- Faculty of Management and Commerce, 2009
- Format
- computer
- Format
- online resource
- Format
- application/pdf
- Format
- 1 online resource (104 pages)
- Format
- Publisher
- University of Fort Hare
- Publisher
- Faculty of Management and Commerce
- Language
- English
- Rights
- rights holder
- Rights
- All Rights Reserved
- Rights
- Open Access
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Collections
UFH Department of Economics
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | kelvin_Mudita[1] thesies.pdf | 887 KB | Adobe Acrobat PDF | View Details Download |