SOUTH AFRICAN MARKET VOLATILITY, ASYMMETRY AND RETAIL INTEREST RATES PASS-THROUGH

GIDEON O. FADIRAN, ABEL EZEOHA
  • South African Journal of Economics, June 2012, Wiley
  • DOI: 10.1111/j.1813-6982.2011.01291.x

South Africa: bank competition

What is it about?

This study specifically examined the long and short-run pass-through mechanisms between the central bank wholesale rate and the retail interest rate; the impact of the interest rate volatility on the interest rate adjustment; and then highlighted the policy implications of the findings for monetary policy in South Africa. Using a robust error-correction ECM-GARCH model, the study finds evidence of asymmetry and collusive price behaviour, volatility impact and leverage effects in South Africa’s monetary policy practice, and suggests that as possible reason for slow response to changes in the interbank rate. This, in the case of South Africa, is quite an interesting revelation.

Why is it important?

It attempted to highlight on policy implications of findings for monetary policy in South Africa. -It attempted a combination of ECM-GARCH model to investigating interest rate adjustments in the case of an interesting African country.

Perspectives

Mr Gideon Fadiran
Universita degli Studi di Genova

Adds to the large existing study on financial role, competition and interest rate adjustment.

Read Publication

http://dx.doi.org/10.1111/j.1813-6982.2011.01291.x

The following have contributed to this page: Dr Gideon Fadiran and Mr Gideon Fadiran