文章基本信息

标题：Credit extension in South Africa: A business cycle perspective for the period 1985 to 2009
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作者：Leila Fourie ; Ilse Botha ; Ronald Mears 等
期刊名称：African Journal of Business Management
印刷版ISSN：1993-8233
出版年度：2011
卷号：5
期号：34
页码：13074-13083
DOI：10.5897/AJBM11.2200
语种：English
出版社：Academic Journals
摘要：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.
关键词：Business cycle; credit; procyclicality; vector autoregression (VAR); cointegration; structural vector autoregression (SVAR)