By Mthuli Ncube, Eliphas Ndou, Nombulelo Gumata
This ebook bargains new quantitative insights into how South African financial system reacts to exterior fiscal shocks. The research contains targeting fiscal progress and monetary spill over, results of capital inflows, contrasting the inventory marketplace cost returns and volatility on financial development and deciding upon the consequences of economic stress.
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Extra resources for Global Growth and Financial Spillovers and the South African Macro-economy
South Africa is ordered last because it is affected by all the G8 countries. To capture the influence of uncertainty in responses induced by ordering of GDP growth variables, we implement various ordering permutations as in the Poirson and Weber (2011) to compute the standard errors and the confidence bands for the ordering uncertainty. We estimate models using quarterly (Q) data from 1998Q1 to 2012Q3 for real GDP for G8 countries and South Africa. The VARs are estimated using one lag as selected by Akaike Information Criteria (AIC).
In this instance, Arora and Vamvakidis (2006) used a 5-year average panel regression approach for 101 countries and established much larger spillovers. 66 percentage points increase in other countries’ growth. However, Japan was found to have an insignificant effect. Bayoumi and Swiston (2009) found significant US spillovers to other industrial regions, including the Euro zone, Japan and a group of smaller advanced economies. Spillovers from the euro area or Japan were found to be smaller than those from the United States.
We ascertain the importance of the particular channel when both impulse responses are not bounded within the same error bands. Otherwise, we conclude that the relevant channel has a weak, or no significant, effect on South African GDP growth. 12, shows the estimated effects of these channels in transmitting United States growth shocks into South Africa. We find in estimations that actual and counterfactual impulses responses are not within the error bands for most periods, indicating that the trade and financial channels play significant roles in transmitting US GDP growth shocks into the South African economy.