ABSTRACT

We evaluate South African financial stability policy from 2003 to 2013 – the country’s most significant credit boom and bust cycle. This cycle overlapped with both rising bank capital adequacy ratios and the global financial crisis of 2007/8. We use a dynamic stochastic general equilibrium model to identify South African Reserve Bank (SARB) interventions and run counterfactual policy scenarios. We document two instances of policy inaction. Our counterfactual scenarios suggest that, with the benefit of hindsight, the SARB took the correct steps to raise capital requirements during the credit boom, but could have persisted with raising capital requirements for longer (past 2004), and could have adopted a looser policy stance after the global financial crisis to mitigate the credit bust. Our findings reaffirm the importance of counter-cyclical action, the usefulness of bank capital as a buffer against unexpected shocks to build financial sector resilience, and the need for independent but close coordination between monetary and macroprudential policy. In addition, because of structural differences between household and firm credit, the SARB should consider buttressing the uniform countercyclical capital buffer with sector-specific capital requirements.

摘要

我们评估了南非 2003 年至 2013 年的金融稳定政策——该国最重要的信贷繁荣和萧条周期。这个周期与银行资本充足率上升和 2007/8 年全球金融危机重叠。我们使用动态随机一般均衡模型来确定南非储备银行 (SARB) 的干预措施并运行反事实的政策情景。我们记录了两个政策不作为的实例. 我们的反事实情景表明，事后看来，SARB 在信贷繁荣期间采取了正确的步骤来提高资本要求，但本可以坚持提高资本要求的时间更长（2004 年之后），并且本可以采取更宽松的政策立场全球金融危机后缓解信贷萧条。我们的发现重申了反击的重要性- 周期性行动，银行资本作为抵御意外冲击的缓冲以建立金融部门弹性的有用性，以及货币和宏观审慎政策之间独立但密切协调的必要性。此外，由于家庭和企业信用之间的结构差异，SARB 应考虑以特定行业的资本要求来支持统一的逆周期资本缓冲。