Examining the Effect of Financial Markets Shocks on Financial Stability in South Africa

Tshembhani M. Hlongwane and Johannes P. S. Sheefeni
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Tshembhani M. Hlongwane: Department of Economics, University of the Western Cape, Bellville, 7535, South Africa.
Johannes P. S. Sheefeni: Department of Economics, University of the Western Cape, Bellville, 7535, South Africa.

International Journal of Economics and Financial Issues, 2022, vol. 12, issue 6, 30-37

Abstract: The paper analyzed the impact of financial market shocks on financial market stability. The goal was achieved by employing quarterly time-series data spanning from 2003:Q1 to 2020:Q4. The study used various econometric techniques such as stationarity, determining optimal lag length, cointegration analysis, estimating a vector error correction model, impulse response functions and forecast error variance decomposition. Following this, the long run relationship amongst the variables was established. The findings revealed that inflation has a negative impact on financial stability in both the short and long run. Lastly, it was only the shocks in economic activities that was found to have a significant impact on financial stability.

Keywords: Financial stability; financial markets; Consumer Price Index.; Money supply (search for similar items in EconPapers)
JEL-codes: B22 C10 G10 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2022-06-4

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