Alternative measures of credit extension for countercyclical buffer decisions in South Africa

Leroi Raputsoane

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyses the behaviour of alternative measures of credit extension for countercyclical buffer decisions in South Africa. The cyclical properties of alternative measures of credit extension are examined over the economic and the financial cycles. The results show that the deviation of the ratio of private sector credit extension to gross domestic product from its long term trend is countercyclical with the economic cycle. The results also show that the deviation of the logarithm of private sector credit extension from its long term trend is procyclical with both the economic and the financial cycle. The annual percent change in private sector credit extension generally performs poorly in cyclical terms with both the economic and the financial cycle. Consequently, of the three alternative measures of private sector credit extension considered, the deviation of the logarithm of private sector credit extension from its long term trend could be used as a common reference guide for implementing the countercyclical capital buffers for financial institutions in South Africa.

Keywords: Credit extension; Countercyclical capital buffers (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 G21 (search for similar items in EconPapers)
Date: 2015-10-27
New Economics Papers: this item is included in nep-ban and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:67453

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