Doctoral Degrees (Economics)

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Browsing Doctoral Degrees (Economics) by browse.metadata.advisor "Du Plessis, S. A."

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    Essays on dynamic macroeconomics
    (Stellenbosch : Stellenbosch University, 2014-04) Steinbach, Max Rudibert; Smit, B. W.; Du Plessis, S. A.; Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Economics.
    ENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed and estimated for the South African economy. When used for forecasting, the model is found to outperform private sector economists when forecasting CPI inflation, GDP growth and the policy rate over certain horizons. In the second essay, the benchmark DSGE model is extended to include the yield on South African 10-year government bonds. The model is then used to decompose the 10-year yield spread into (1) the structural shocks that contributed to its evolution during the inflation targeting regime of the South African Reserve Bank, as well as (2) an expected yield and a term premium. In addition, it is found that changes in the South African term premium may predict future real economic activity. Finally, the need for DSGE models to take account of financial frictions became apparent during the recent global financial crisis. As a result, the final essay incorporates a stylised banking sector into the benchmark DSGE model described above. The optimal response of the South African Reserve Bank to financial shocks is then analysed within the context of this structural model.
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    Lessons from South African bank failures 2002 to 2014
    (Stellenbosch : Stellenbosch University, 2019-04) Havemann, Roy Charles; Du Plessis, S. A.; Fourie, J.; Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Economics.
    ENGLISH SUMMARY : This study draws lessons from recent South African financial history. The period covers the 2002/3 small bank crisis, the 2008 global financial crisis and the collapse of African Bank in 2014. During the small bank crisis, twelve banks experienced runs and a further ten deregistered. In chapter 2, I use a monthly bank-level data set to show that the failing banks were all solvent, but that their funding structure made them fragile and susceptible to a confidence shock. The central bank did not intervene to provide liquidity to the affected banks, worsening the crisis. The lessons are that bank failures can impose both short- and long-term economic costs, monetary policy can have financial stability implications, and that a credible and clear bank resolution strategy is critical. South Africa did not experience any bank failures during the 2008 global financial crisis period. In chapter 3, I show that this is partly because the banking regulator increased capital adequacy ratios during the pre-crisis period, in response to rapid credit growth. The lesson is that macroprudential tools can reduce credit growth and dampen overheating financial cycles. In chapter 4, the successful bail-in of creditors in African Bank during 2014 provides lessons on the intended and unintended consequences of post-global financial crisis bank resolution tools. Money-market funds ‘broke the buck’, triggering significant redemptions and some financial spillovers. The authorities required discretionary liquidity restrictions and market-making facilities. The lesson is that – correctly applied – new resolution tools can support the sustainable restructuring of a failing bank, reduce financial spillovers, and minimise taxpayers losses. The conclusion points to broader lessons from the whole period, particularly the primary importance of a coordinated monetary and financial stability policy framework.