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Estimates of bank-level funding costs in South Africa

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  • Daan Steenkamp
  • Tim Olds

Abstract

We develop a new dataset of bank-level balance sheets data to estimate bank-level funding costs. These estimates are useful for monitoring of funding pressures and other risks to the banking sector as well as understanding the impact of prudential regulations and market conditions on the transmission of monetary policy. We show that bank funding cost […]

Suggested Citation

  • Daan Steenkamp & Tim Olds, 2021. "Estimates of bank-level funding costs in South Africa," Working Papers 857, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:857
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    References listed on IDEAS

    as
    1. Luchelle Soobyah & Daan Steenkamp, 2020. "Term premium and rate expectation estimates from the South African yield curve," Working Papers 9998, South African Reserve Bank.
    2. Beau, Emily & Hill, John & Hussain, Tanveer & Nixon, Dan, 2014. "Bank funding costs: what are they, what determines them and why do they matter?," Bank of England Quarterly Bulletin, Bank of England, vol. 54(4), pages 370-384.
    3. Miss Rita Babihuga & Marco Spaltro, 2014. "Bank Funding Costs for International Banks," IMF Working Papers 2014/071, International Monetary Fund.
    4. Kapuściński, Mariusz & Stanisławska, Ewa, 2018. "Measuring bank funding costs in the analysis of interest rate pass-through: Evidence from Poland," Economic Modelling, Elsevier, vol. 70(C), pages 288-300.
    5. Mpho Rapapali & Daan Steenkamp, 2020. "Developments in bank funding costs in South Africa," Working Papers 9818, South African Reserve Bank.
    6. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    7. Bevan Cook & Daan Steenkamp, 2018. "Funding cost pass-through to mortgage rates," Reserve Bank of New Zealand Analytical Notes series AN2018/02, Reserve Bank of New Zealand.
    8. Maurin, Laurent & Galiay, Artus, 2015. "Drivers of banks' cost of debt and long-term benefits of regulation - an empirical analysis based on EU banks," Working Paper Series 1849, European Central Bank.
    9. Illes, Anamaria & Lombardi, Marco J. & Mizen, Paul, 2019. "The divergence of bank lending rates from policy rates after the financial crisis: The role of bank funding costs," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 117-141.
    10. Jason Wong, 2012. "Bank funding – the change in composition and pricing," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 15-24, June.
    11. Eyollan Naidoo & Mukelani Nkuna & Daan Steenkamp, 2020. "Developments in debt issuance costs of South African banks," Working Papers 10157, South African Reserve Bank.
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    Cited by:

    1. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    2. Erasmus, Ruan & Steenkamp, Daan, 2022. "South Africa’s yield curve conundrum," MPRA Paper 115398, University Library of Munich, Germany.
    3. Mpho Rapapali & Daan Steenkamp, 2020. "Developments in bank funding costs in South Africa," Working Papers 9818, South African Reserve Bank.
    4. Douglas Barrios & Federico Sturzenegger & Frank Muci & Patricio Goldstein & Ricardo Hausmann, 2022. "Macroeconomic risks after a decade of microeconomic turbulence: South Africa 2007-2020," CID Working Papers 404, Center for International Development at Harvard University.
    5. Howard Diesel & Mukelani Nkuna & Tim Olds & Daan Steenkamp, 2022. "ThecostofcomplyingwithBaselIIIliquidityregulationsforSouthAfricanbanks," Working Papers 11032, South African Reserve Bank.

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    More about this item

    Keywords

    central bank; COVID-19; data; economic growth; Monetary Policy;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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