Stock Markets, Banks and Economic Growth: Time Series Evidence from South Africa
The African Finance Journal, 2010, vol. 12, issue 2, 72-92
The paper examines the causal relationship between stock market development and economic growth in South Africa while controlling for the effect of banking variable. It applies vector error correction model (VECM), generalized impulse response function (GIRF) and variance decomposition (VDC). In the long-run, the finding suggests evidence of bidirectional causality between financial development and economic growth using bank credit to private sector (BCP). When stock market variables are used, turnover ratio (TR) and value of shares traded (VT); both indicate unidirectional causality from economic growth to stock market development. The generalized Impulse response function and variance decomposition indicate that financial development contains some useful information in predicting the future path of economic growth.
Keywords: Vector autoregression, Economic growth, Stock markets; Banks (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 G21 O40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:12:y:2010:i:2:p:72-92
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