Kirsten L. Ludi () (Department of Economics, University of Pretoria) Marc Ground () (Department of Economics, University of Pretoria)
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 auto- regressions (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.
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Publisher Info
Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number
200604.
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy