ABSTRACT

South Africa has a very well-developed financial sector and high reliance on capital flows. The country saw large capital outflows as the Covid-19 crisis developed, accompanied by a large depreciation of the rand and spikes in bold yields. We employ a stock- and flow-consistent model to study the impact of capital flow reversal shocks on the South African economy. The model includes a richer representation of institutional balance sheets than existing models. The financial sectors behaviour in the model draws on the theoretical frameworks, which highlight the relationship between bank capital, the risk-taking behaviour of the financial sector, lending spreads and economic activity. We specify a dynamic adjustment model of household expectations with properties that differ from the way in which expectations are formed in either stock- and flow-consistent or (DSGE) models. Household expectations resemble bounded rationality. The financial accelerator mechanism operates through the balance sheets of all institutions in the economy. We find that a reversal in capital flows can affect the domestic economy through its impact on domestic liquidity, on the risk-taking behaviour of the financial sector, and on the demand for assets.

摘要

南非的金融部门非常发达，对资本流动的依赖程度很高。随着 Covid-19 危机的发展，该国出现了大量资本外流，伴随着兰特的大幅贬值和大胆的收益率飙升。我们采用存量和流量一致的模型来研究资本流动逆转冲击对南非经济的影响。该模型包含比现有模型更丰富的机构资产负债表表示。模型中的金融部门行为借鉴了理论框架，强调了银行资本、金融部门的风险承担行为、贷款利差和经济活动之间的关系。我们指定了一个家庭预期的动态调整模型，其属性不同于在存量和流量一致或 (DSGE) 模型中形成预期的方式。家庭期望类似于有限理性。金融加速器机制通过经济中所有机构的资产负债表运作。我们发现，资本流动的逆转可以通过影响国内流动性、金融部门的风险承担行为和资产需求来影响国内经济。