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Intro -- Preface -- Acknowledgements -- Contents -- About the Authors -- List of Figures -- List of Tables -- Chapter 1: Introduction -- 1.1 Why Did We Write This Book? -- 1.2 Role of Positive Capital Inflows Shocks in the Banks' Credit Constraints, Credit Growth and Transmitting the SA-US Interest Rate Differential to Domestic GDP Growth -- 1.3 Relevance of the Credit Conditions Channel in the Transmission of Various Shocks -- 1.4 Role of Economic Thresholds in Guiding Policy Settings and Decisions -- 1.5 Impact of Synchronised Credit and House Price Booms on the Monetary Policy Response to Inflationary Pressures -- 1.6 Role Played by Contractionary Fiscal Policy Shocks in Credit Growth Dynamics -- 1.7 Interaction Between Macro-prudential Policy and Monetary Policy and the Role of the Bank Risk Channel -- 1.8 Effectiveness of the Countercyclical Capital Buffer -- 1.9 Role of the Central Bank Balance Sheet -- 1.10 Selected Issues Regarding Large-Scale Asset Purchases by a Central Bank -- 1.11 This Book Does Not Conduct a Comparative Analysis with Other Countries -- 1.12 Interaction Between Financial Regulation, Macro-prudential Tools and Monetary Policy -- 1.13 Information Content of the Money Demand and Flow-of-Funds Analysis for Financial Analysis and Monetary Policy -- References -- Chapter 2: A Review of the Central Bank Balance Sheet Tools That Can Be Deployed to Assist in the Achievement of Price, Financial and Macro-economic Stability -- 2.1 Introduction -- 2.2 What Are the Key Channels Through Which Large-Scale Asset Purchases Are Transmitted? -- 2.3 When Are the Right Conditions for the Central Bank to Pursue Large-Scale Asset Purchases? -- 2.4 Why Does the Size, Duration and Composition of Asset Purchases Matter? -- 2.5 Is Quantitative Easing Only Effective at the Zero-Lower Bound?.
2.6 Are Open-Ended Large-Scale Asset Purchases Effective? -- 2.7 Does Forward Guidance Reinforce the Effectiveness of Large-Scale Asset Purchases? -- 2.8 Why Should the SARB Conduct Large-Scale Asset Purchases? -- 2.8.1 Large-Scale Asset Purchases Have Not Been Inflationary in the US, euro area, the UK, Switzerland and Japan and Other Countries as Initially Thought -- 2.9 Role of the Public Investment Corporation Balance Sheet -- 2.10 What Are the Benefits of Increasing the Level of Foreign Currency Reserves? -- 2.11 Is It Important for the SARB to Lengthen the Maturities on Repurchase Agreements? -- 2.12 How Should the Bank Manage Excess Reserves Emanating From the LSAPs and Reserves Accumulation Policies? -- 2.13 Conclusion and Policy Implications -- References -- Part I: Capital Flow Episodes, Fiscal Shocks, Commodity Price and House Price Boom Effects on Credit Growth Dynamics -- Chapter 3: Do Capital Inflows Relieve Banks' Credit Constraints and Boost Credit Growth? Evidence from Credit Conditions and Bank Credit Risk -- 3.1 Introduction -- 3.2 Did Adverse Credit Conditions Since 2007Q3 Impact the Ability of Positive Capital Inflows to Influence Credit Growth Dynamics? -- 3.2.1 Do Credit Conditions Impact the Transmission of Portfolio Banking Flows? -- 3.2.2 Evidence from Positive Shock Effects Due to Portfolio Inflow For the Period Beginning 2008Q1 -- 3.2.3 Evidence from a Recession Shock -- 3.3 Inferences from a Vector Autoregression (VAR) Model and a Counterfactual Approach -- 3.3.1 Are the Results Sensitive to Changes in the Model Size? -- 3.4 Conclusion and Policy Implications -- References -- Chapter 4: Credit Conditions and the Amplification of Macro-economic Responses to Unexpected Shocks: Implications for Monetary Policy -- 4.1 Introduction -- 4.2 How Do Credit Conditions and Lending Standards Impact GDP Growth?.
4.3 Fluctuations and Non-linearities -- 4.3.1 How Much Fluctuations Do Credit Conditions Induce on Other Macro-economic Variables? -- 4.3.2 Is There a Non-linear Effect of Credit Conditions on GDP Growth? -- 4.4 How Big Are the Amplifications? -- 4.4.1 How Would Inflation Respond to the Exchange Rate Depreciation Shocks in the Absence of the Credit Conditions Index? -- 4.5 Implications for the Monetary Policy Conduct -- 4.5.1 Is the Repo Rate Reaction to Positive Inflation Shocks Amplified or Dampened by Tight Credit Conditions and Subdued GDP Growth? -- 4.5.2 Historical Decomposition and Counterfactual Analysis -- 4.6 Conclusion and Policy Implications -- References -- Chapter 5: Output Growth and Inflation Responses to Single and Double Credit Growth Threshold Effects in South Africa -- 5.1 Introduction -- 5.2 Brief Literature Review of Linear and Non-linear Models with Financial Frictions -- 5.2.1 The Non-linear Effects of Money and Credit Growth -- 5.3 Methodology -- 5.3.1 Data and Stylised Facts -- 5.3.2 Non-linearity Tests -- 5.3.3 Does the Sectorial Credit Growth Threshold Follow a Non-linear Process? -- 5.3.4 Credit Growth Threshold Levels -- 5.4 Empirical Analysis -- 5.4.1 Aggregate Credit Growth Regime-Dependent Impulse Responses -- 5.4.2 Are the Responses Different When Considering Sectorial Credit Growth? -- 5.4.3 Do Mortgage Credit Growth Regimes Exert Different GDP Growth and Inflation Responses? -- 5.5 Robustness Analysis: Sensitivity to Model Size -- 5.5.1 Household Consumption Expenditure Growth and Credit Growth Thresholds -- 5.6 Non-Linear Impulse Responses to Credit Growth Regimes -- 5.6.1 Robustness on Non-Linearities Exerted by Credit Growth Regimes -- 5.7 Conclusion and Policy Implications -- References -- Chapter 6: Do Contractionary Fiscal Policy Shocks Transmitted via GDP Growth Dampen Credit Growth? -- 6.1 Introduction.
6.2 Evidence from the Endogenous-Exogenous Model -- 6.3 Evidence from the Counterfactual VAR Analysis Approach -- 6.3.1 Do Different Tax Components Exert Different Effects? -- 6.4 Conclusion and Policy Implications -- Reference -- Chapter 7: Do Synchronised Credit Growth and House Price Growth Booms Impact the Monetary Policy Reaction to Inflationary Pressures? -- 7.1 Introduction -- 7.2 In Which Periods Did Boom and Non-boom Episodes in Credit Growth and House Price Growth Occur? -- 7.2.1 How Long Is the Duration of Financial Downturns on Average over the Sample Period? -- 7.3 Does the Mortgage Credit Growth Boom Matter for the Transmission of House Price Growth Boom Shocks to Credit Growth and GDP Growth? -- 7.3.1 Does the Synchronicity of House Price Growth and Credit Growth Booms Impact the Policy Responses to Positive Inflation Shocks? -- 7.3.2 What Are the Implications of Boom and Non-boom Episodes When Inflation Is Above 6 Per Cent? -- 7.4 Conclusion and Policy Implications -- References -- Chapter 8: Do Synchronised Boom and Non-boom Episodes in Credit Growth, Commodity and Equity Prices Impact the Response of the Repo Rate to Positive Inflation Shocks? -- 8.1 Introduction -- 8.2 The Identification of Cycles and Boom Episodes -- 8.3 Do Synchronised Boom Episodes Matter for Monetary Policy Responses to Positive Inflation Shocks? -- 8.3.1 Do Synchronised Non-booms Matter for the Monetary Policy Responses to Positive Inflation Shocks? -- 8.3.2 Do Synchronised Commodity Price Growth and Credit Growth Non-booms Matter for the Monetary Policy Responses to Positive Inflation Shocks? -- 8.4 Conclusion and Policy Implications -- References -- Chapter 9: To What Extent Do Capital Inflows Impact the Response of South African Economic Growth to Positive SA-US Interest Rate Differential Shocks? -- 9.1 Introduction.
9.2 Why Is the Focus on the Capital Inflow Dynamics Important for This Study? -- 9.3 Empirical Results -- 9.3.1 Evidence from a Three-Variable Counterfactual VAR Model -- 9.3.2 Evidence from the Four-Variable Counterfactual VAR Model -- 9.3.3 Evidence Based on a Five-Variable VAR Model -- 9.3.4 Does the Role of the Capital Inflow Channel Vary Depending on Whether It Is Equity Capital Inflows or Debt Capital Inflows? -- 9.4 Conclusions and Policy Implications -- References -- Part II: The Interaction of the South African Reserve Bank, Public Investment Corporation and Private Banks' Balance Sheets: Effects on Fiscal and Monetary Policy Tools -- Chapter 10: Is There a Compelling Case to Increase the SARB Holdings of Government Securities to Supplement Interest Income and Neutralise Losses Due to Foreign Investments and Foreign Currency Reserves Accumulation? -- 10.1 Introduction -- 10.2 The Main Channels of Transmission of Balance Sheet Policy -- 10.3 Stylised Facts on Selected Central Bank Balance Sheet and Government Debt Indicators -- 10.4 SARB Balance Sheet, Selected Financial and Macro-economic Variables -- 10.5 What Is the Impact of Positive Shocks to the SARB Balance Sheet on Ten-Year Yields, Term Spread and Weighted Government Debt Costs? -- 10.6 Do Positive Shocks to SARB Assets Growth Exert Asymmetric Effects on the Rand/US Exchange Rate and Inflation? -- 10.7 What Are the Effects of SARB LSAPs on Employment Growth, Unemployment Rate, Inequality and Other Key Macro-economic Variables? -- 10.8 Conclusion and Policy Implications -- Appendix -- References -- Chapter 11: Are the Amplification Effects of Positive Shocks to SARB Assets Growth and Forex Reserves Accumulation on Long-Term Yields Dependent on Government Debt Growth Regimes? -- 11.1 Introduction -- 11.2 The Impact of Government Debt Growth Regimes on Long-Term Government Bond Yields.
11.3 Are the Amplification Effects of Positive Shocks to SARB Assets Growth and Forex Reserves Accumulation on Long-Term Yields Dependent on Government Debt Growth Regimes?.
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A modern guide to macroeconomics : an introduction to competing schools of thought / Brian Snowdon, Howard Vane and Peter Wynarczyk
