Estimates of bank-level funding costs in South Africa

Tim Olds () and Daan Steenkamp

ERSA Working Paper Series, 2021

Abstract: We develop a new dataset of bank-level balance sheets data to estimate bank-level funding costs. These estimates are useful for monitoring of funding pressures and other risks to the banking sector as well as understanding the impact of prudential regulations and market conditions on the transmission of monetary policy. We show that bank funding cost spreads are materially higher now than before the Global Financial Crisis of 2008, in spite of lower interest rates. During the Covid-19 crisis, we show that aggregate funding costs have fallen in level (i.e. percentage) terms, but that funding costs have increased when expressed relative to reference rates. We show that the relative cost of raising deposits has increased, as deposit rates have not fallen by as much as the repurchase rate and other money market rates.

Keywords: bank funding costs; composition of funding; financial market conditions (search for similar items in EconPapers)
Date: 2021
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Working Paper: Estimates of banklevel funding costs in South Africa (2021)
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