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Business Cycle

Macroprudential policy and foreign interest rate shocks: A comparison of different instruments and regulatory regimes

Chris Garbers and Guangling Liu
This paper presents a generic small open economy real business cycle model with banking and foreign borrowing. We incorporate capital requirements, reserve requirements, and loan-to-value (LTV) regulation into this framework, and subject the model to a positive foreign interest rate shock that...
Oct 2017
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Can bank capital adequacy changes amplify the business cycle in South Africa?

Foluso Akinsola and Sylvanus Ikhide
Financial globalisation and financial innovation have increased most banks’ appetite for risk and therefore engendered financial fragility in the financial system. This paper examines the relationship between regulatory bank capital adequacy and the business cycle in South Africa using Vector error...
Feb 2017
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Financial sector development, economic volatility and shocks in sub-Saharan Africa

Muazu Ibrahim and Paul Alagidede
The role of financial sector development in economic volatility has been extensively studied albeit without informative results largely on the failure of extant studies to decompose volatility into its various components. By disaggregating volatility, this study examines the effect of financial...
Nov 2016
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Credit market heterogeneity, balance sheet (in) dependence, financial shocks

Chris Garbers and Guangling Liu
This paper presents a real business cycle model with financial frictions and two credit markets to investigate the qualitative and quantitative relevance of credit market heterogeneity. To address this line of inquiry we contrast the transmission of financial shocks in an economy where loans are...
Sep 2016
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Can currency in circulation predict South African economic activity?

Cobus Vermeulen, Adél Bosch, Fanie Joubert and Jannie Rossouw
The money supply can be broadly defined as consisting of currency and deposits. While currency forms but a small portion of the total money supply, it can be a crucial determinant of spending behaviour and subsequently economic activity. The ability of the money supply to predict an up- or...
Feb 2016
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Comovement Between Africa and Advanced Economies: 1980-2011

Carike Claassen, Elsabe Loots and Alain Kabundi
This paper analyses business cycle comovement between African economies and advanced economies. It covers the period 1980 to 2011. The empirical analysis is based on the Dynamic Factor Model applied to annual data for African and G7 countries, covering the period 1980 to 2011. The results indicate...
Feb 2016
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Reconsidering the business cycle and stabilisation policies in South Africa

Stan du Plessis
This paper applies an alternative dating algorithm - suggested by Harding and Pagan (for example, 2002a) - to identify the turning points of the South African business cycle. The characteristics of the resulting business cycle are analysed and compared with results obtained for the o¢cial cycle in...
Sep 2006
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