Gruss, Bertrand (2014), “After the Boom: Commodity Prices and Economic Growth in Latin America and the Caribbean,” IMF Working Paper WP/14/154.
IMF (2014), “The Unconventional Energy Boom in North America: Macroeconomic Implications and Challenges for Canada”, IMF Country Report No. 14/28.
Pesaran, Hashem, and Yongcheol Shin (1998), “Generalized Impulse Response Analysis in Linear Multivariate Models”, Economic Letters Vol. 58, Issue 1.
Prepared by Manabu Nose, Magnus Saxegaard, and Jose Torres.
The VAR is estimated on seasonally adjusted annualized quarterly real GDP growth and one lag of the endogenous variables as suggested by different information criteria using data from 2000Q1-2015Q3. The results are derived using generalized impulse response functions (GIRF) proposed by Pesaran and Shin (1998) which are unaffected by the ordering of the variables in the VAR.
Estimation using real GDP in China’s secondary sector is hampered by data limitations and would also complicate a cross-country comparison.
The trade channel is captured by quarterly annualized growth in the volume of goods exports. The export and commodity price channel is captured by the growth rate of a weighted average of the world price of South Africa’s most important export commodities (aluminum, diamonds, coal, platinum, and iron ore). To aid identification the import price channel is identified as the difference between the commodity terms of trade and export commodity prices. The financial channel is captured by the Chicago FED financial conditions index, which captures a broad range of U.S. financial indicators including credit spreads, the VIX, and liquidity measures. A specification which instead uses the VIX index to capture the financial channel yields broadly similar results.
We use the Eora Multi-Region input-output (MRIO) table (25 sectors) together with Statistics South Africa’s IO table (50 sectors) for 2012. A similar IO analysis was used by IMF (2014) to estimate the spillover from an energy boom in Canada to other industries and its broader macroeconomic impact.
National Budget Review 2016, Chapter 2: Economic Overview.
The commodity export and import price indices are computed as the growth rate of a weighted average of the prices of 47 commodities (in U.S. dollars) including precious metals. The values of exports and imports in the previous period are used as the weight in constructing the index following Gruss (2014). Growth in South Africa’s main trading partners is captured by trade-weighted real GDP growth in China, the United States, and the European Union. Global financial conditions are proxied by the Chicago Fed’s financial conditions index. The VAR is estimated using one lag of the endogenous variables as suggested by different information criteria on data from 2000Q1-2015Q2.
The overall GDP impact is derived using a simplified VAR where the growth contributions of real mining and non-mining value added are replaced by overall real GDP growth.
Accurately measuring these bottlenecks is not easy, but could be a promising area of future research.
South African Reserve Bank, Financial Stability Review, various issues.
Prepared by Hui Miao, Pablo Morra, and Yi Wu.
The gross external financial requirement is the sum of the projected current account deficit for the following year (4.1 percent of GDP for 2016) and the external debt coming due within one year (14½ percent of GDP as of September 2015, comprising mainly corporate and bank debt).
See international investment position data reported by the South African Reserve Bank.
See Anand, Rahul, Roberto Perrelli, and Boyang Zhang (2016), “South Africa’s Exports Performance: Any Role for Structural Factors?”, IMF Working Paper No. 16/24; and Hlatshwayo, Sandile, and Magnus Saxegaard (2016), “The Consequences of Policy Uncertainty: Disconnects and Dilutions in the South African Real Effective Exchange Rate-Export Relationship”, IMF Working Paper No.16/113.
The gap averaged 0.3 percentage points since 1998. The current gap is large by historical standards notwithstanding the expect policy rate hikes.
Currently standing at 84 percent.
The SARB drains liquidity from the banking system overnight to maintain the overnight rate. This creates a ‘money market shortage’.
The financial cycle is estimated based on credit, and home and equity prices, using the Christiano-Fitzgerald band-pass filter.
The table, which is based on a cross-country dataset, suggests that at credit growth of 7 percent, 10 percent of the countries had GDP growth below 0.5 percent, 10 percent of the countries had GDP growth above 7.5 percent, and 80 percent of countries had growth between 0.5 and 7.5 percent.
The study also showed that nonresident holders of South Africa’s LC bonds are primarily institutional investors. These investors typically take longer to return after a downgrade to sub-IG level. See IMF, (2014), Global Financial Stability Report, April “How Do Changes in the Investor base and financial-deepening affect emerging market economies?”
It is very rare that any South Africa company can be rated above the sovereign rating of South Africa. To the best of our knowledge, only one company currently has a rating above the sovereign.