Stock Markets, Banks and Economic Growth: Time Series Evidence from South Africa
AbstractThe paper examines the causal relationship between stock market development and economic growth in South Africa while controlling for the effect of banking variable. It applies vector error correction model (VECM), generalized impulse response function (GIRF) and variance decomposition (VDC). In the long-run, the finding suggests evidence of bidirectional causality between financial development and economic growth using bank credit to private sector (BCP). When stock market variables are used, turnover ratio (TR) and value of shares traded (VT); both indicate unidirectional causality from economic growth to stock market development. The generalized Impulse response function and variance decomposition indicate that financial development contains some useful information in predicting the future path of economic growth.
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Bibliographic InfoArticle provided by Africagrowth Institute in its journal African Finance Journal.
Volume (Year): 12 (2010)
Issue (Month): 2 ()
Vector autoregression; Economic growth; Stock markets; Banks;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
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- Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2013. "Does the stock market cause economic growth? Portuguese evidence of economic regime change," Economic Modelling, Elsevier, vol. 32(C), pages 316-324.
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[Interaction between the stock market and economic growth: An assessment of the Por," MPRA Paper 39808, University Library of Munich, Germany.
- Shahbaz, Muhammad & Solarin, Sakiru Adebola & Mahmood, Haider & Arouri, Mohamed, 2013.
"Does financial development reduce CO2 emissions in Malaysian economy? A time series analysis,"
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