{"id":{"repo_id":"pretoria","oai_identifier":"oai:repository.up.ac.za:2263/52986"},"canonical_url":"https://search.dev.ndltd.org/etd/pretoria/oai:repository.up.ac.za:2263/52986","repository":{"repo_id":"pretoria","name":"University of Pretoria","base_url":"https://repository.up.ac.za/server/oai/request"},"display":{"title":"Essays on international capital flows and macroeconomic stability","abstract":"English: Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension. Sepedi: Melawana ya ditšhelete ya lefase ka bophara, dikotsi tva ditšhelete le phapošo ya dikotsi ke dilo tše bohlokwa tše di laolago dikelo tša letlotlo tša boditšhabatšhaba. Dikelo tša letlotlo ka go le lengwe di ka baka katološo ya sekoloto le kholego ya sekoloto ka go ekonomi yeo e amogelago. PhD ye e tsenya letsogo go kwešišo ya rena ya tšhanele ya phetišetšo go tloga go mabaka a dikotsi tša lefase ka bophara go ya go sekoloto sa ka nageng le poloko ya tšhelete. Re akanya diabe tša go fapantšha ga nako tša kotsi go dikelo tša phothefolio go Afrika Borwa, re akanya phetišetšo ya dikelo tša phothefolio go sekoloto, gomme mafelelong re kopanya dikutollo tša rena tše di bonagalago ka go mokgwa wa DSGE wa dinaga tše pedi fao dikelo le dikotsi tša phothefolio di šitišitšego ditsenogare tša ditšhelete. Kotsi le phapošo ya dikotsi di hwetšwa gore di ama ponte ebile di abelana dikelo go Afrika Borwa ka fao go fapanego. Kotsi e tšwela pele go ama dikelo tša diponte go feta dikelo tša dišere. Kamano magareng ga kotsi le dikelo tša phothefolio e hwetšwa gape gore e gola go tšwela pele ebile e tshephile kudu seemo sa ekonomi ye kgolo. Re tšwela pele go nyakišiša tšhanele ya phetišetšo yeo e kgokaganyago dikelo tša phothefolio le katološo ya sekoloto ka Afrika Borwa. Re šišinya gore phetišetšo e šoma ka go oketša kabo ya dikoloto ka dipanka ebile re hwetša thekgo ye e bonagalago ya haephothesese ye. Dikarolo tša tšweletšo go tšwa go dikelo tša phothefolio di tepositwa ka dipankeng tša ka nageng. Thušo ye ya kheše e oketša kabo ya sekoloto ka dipanka gomme seabe ke thekga go ya felong gotee. Ge kheše e ka tsenywa ka nakong ya katološo ya sekoloto e tla ba le seabe seo se tiilego go sekoloto seo se filwego. Re hwetša gore kelo ya dišere e fela e baka tsenyo ye ntši ya kheše go feta dikelo tša ponte gomme ka go realo di ba kotsing kudu go baka dikatološo tša sekoloto. Dikutollo tše di bonagalago di hlahla kago ya rena ya mokgwa wa DSGE wa dinaga tše pedi wa go ba le melawana ya ditsenogare tša ditšhelete le thibelo ya dikotsi. Mokgwa wo o laetša gore dikelo tša phothefolio di tšwelela go diphetogo tša nyakego ya dithoto go tšwa go batšwakantle ge go bapetšwa le nyakego go tšwa go badudi. Dikekišo di laetša gore mathata a dikotsi ao a amago bobedi mmaraka wo o golago le babeeletši ba dinaga tša ka ntle a tla baka nyakego ya gore diponte tša mmaraka wo o golago di šuthele go tloga go mmeletši wa naga ya ka ntle go ya go mmeletši wa ka nageng, gomme se sa baka kelo ka go mmaraka wa diponte tše di golago. Bobedi babeeletši ba ka ntle le ba ka nageng ba tla fokotša nyakego ya dišere, gomme ka go realo boyo bja kelo ya dišere bja se akanyetšege. Mathata a dikotsi ao a rwalwago fela ke babeeletši ba dinaga tša ka ntle a baka dikelo tše maatla tša phothefolio go tšwa ka go dišere tša mmaraka wo o golago. Seemo sa melawana ya lefase ka bophara se na le seabe se segolo go phetišetšo ya mathata a lefase ka bophara go dikelo tša phothefolio. Kabo ya diponte e ka kgona go fokotša mathata a dikotsi, mola dikelo tša tswala di ka fokotša mathata a letseno. Melawana ye e tiišitšwego ya go thibela dikotsi ka go ekonomi ye e amogelago e na le seabe se sennyane kudu, ge se le gona, go kamano magareng ga dikelo tša phothefolio le katološo ya sekoloto sa ka nageng. Afrikaans: Globale monetêre beleid, finansiële risiko en risiko-aversie is belangrike bepalers van internasionale kapitaalvloei. Kapitaalvloei kan op sy beurt die uitbreiding van krediet en hefboomwerking in die ontvangende ekonomie veroorsaak. Hierdie doktorale proefskrif dra by tot ons begrip van die transmissiekanaal van globale risikofaktore na binnelandse krediet en spaargeld. Ons skat die tydveranderende effekte van risiko op portefeuljevloei na Suid-Afrika, ons skat die oordrag van portefeuljevloei na krediet, en laastens inkorporeer ons ons empiriese bevindinge in 'n tweeland- DSAE-model met portefeuljevloei en risikobeperkte finansiële tussengangers. Daar is bevind dat risiko en risiko-aversie se uitwerking op effekte- en aandeelvloei na Suid-Afrika verskillend is. Risiko beïnvloed effektevloei deurgaans meer as aandelevloei. Daar is ook bevind dat die verhouding tussen risiko en portefeuljevloei voortdurend evolueer en hoogs afhanklik is van die makro-ekonomiese omgewing. Ons bestudeer voorts die transmissiekanaal wat portefeuljevloei aan kredietverlening in Suid-Afrika koppel. Ons poneer dat die transmissie werk deur banke se kredietvoorraad te verhoog, en ons vind empiriese steun vir hierdie hipotese. Dele van die opbrengs van portefeuljevloei word in plaaslike banke gedeponeer. Hierdie kontantinspuiting verhoog die kredietvoorraad van banke en die effek is prosiklies. Indien die kontantinspuiting tydens 'n kredietuitbreiding gebeur, sal dit 'n sterker effek op die kredietverlening hê. Ons vind dat aandelevloei geneig is om meer kontantinspuitings te veroorsaak as effektevloei, en dus meer geneig is om kredietuitbreidings te veroorsaak. Die empiriese bevindinge rig ons konstruksie van 'n tweeland- DSAE-model met finansiële tussengangers en makrovoorsorgbeleid. Die model toon dat portefeuljevloei voortspruit uit veranderinge in batevraag van buitelanders relatief tot vraag van inwoners. Simulasies toon dat risikoskokke wat beide ontluikende markte en buitelandse beleggers raak, sal veroorsaak dat die vraag na ontluikende markeffekte van die buitelandse na die plaaslike belegger verskuif, wat 'n uitvloei in die ontluikende effektemark veroorsaak. Beide buitelandse en binnelandse beleggers sal die vraag na aandele verminder, en daarom is die rigting van aandelevloei onvoorspelbaar. Skokke vir risiko's wat slegs deur buitelandse beleggers gedra word, veroorsaak sterker portefeuljevloei uit ontluikende markaandele. Die globale beleidsomgewing het 'n groot impak op die oordrag van globale skokke na portefeuljevloei. Obligasievoorraad kan risikoskokke absorbeer, terwyl rentekoerse inkomsteskokke kan absorbeer. Strenger makrovoorsorgbeleid in die ontvangende ekonomie het 'n baie beperkte uitwerking, indien enige, op die verhouding tussen portefeuljevloei en binnelandse kredietverlening.","abstract_html":"English: Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension. Sepedi: Melawana ya ditšhelete ya lefase ka bophara, dikotsi tva ditšhelete le phapošo ya dikotsi ke dilo tše bohlokwa tše di laolago dikelo tša letlotlo tša boditšhabatšhaba. Dikelo tša letlotlo ka go le lengwe di ka baka katološo ya sekoloto le kholego ya sekoloto ka go ekonomi yeo e amogelago. PhD ye e tsenya letsogo go kwešišo ya rena ya tšhanele ya phetišetšo go tloga go mabaka a dikotsi tša lefase ka bophara go ya go sekoloto sa ka nageng le poloko ya tšhelete. Re akanya diabe tša go fapantšha ga nako tša kotsi go dikelo tša phothefolio go Afrika Borwa, re akanya phetišetšo ya dikelo tša phothefolio go sekoloto, gomme mafelelong re kopanya dikutollo tša rena tše di bonagalago ka go mokgwa wa DSGE wa dinaga tše pedi fao dikelo le dikotsi tša phothefolio di šitišitšego ditsenogare tša ditšhelete. Kotsi le phapošo ya dikotsi di hwetšwa gore di ama ponte ebile di abelana dikelo go Afrika Borwa ka fao go fapanego. Kotsi e tšwela pele go ama dikelo tša diponte go feta dikelo tša dišere. Kamano magareng ga kotsi le dikelo tša phothefolio e hwetšwa gape gore e gola go tšwela pele ebile e tshephile kudu seemo sa ekonomi ye kgolo. Re tšwela pele go nyakišiša tšhanele ya phetišetšo yeo e kgokaganyago dikelo tša phothefolio le katološo ya sekoloto ka Afrika Borwa. Re šišinya gore phetišetšo e šoma ka go oketša kabo ya dikoloto ka dipanka ebile re hwetša thekgo ye e bonagalago ya haephothesese ye. Dikarolo tša tšweletšo go tšwa go dikelo tša phothefolio di tepositwa ka dipankeng tša ka nageng. Thušo ye ya kheše e oketša kabo ya sekoloto ka dipanka gomme seabe ke thekga go ya felong gotee. Ge kheše e ka tsenywa ka nakong ya katološo ya sekoloto e tla ba le seabe seo se tiilego go sekoloto seo se filwego. Re hwetša gore kelo ya dišere e fela e baka tsenyo ye ntši ya kheše go feta dikelo tša ponte gomme ka go realo di ba kotsing kudu go baka dikatološo tša sekoloto. Dikutollo tše di bonagalago di hlahla kago ya rena ya mokgwa wa DSGE wa dinaga tše pedi wa go ba le melawana ya ditsenogare tša ditšhelete le thibelo ya dikotsi. Mokgwa wo o laetša gore dikelo tša phothefolio di tšwelela go diphetogo tša nyakego ya dithoto go tšwa go batšwakantle ge go bapetšwa le nyakego go tšwa go badudi. Dikekišo di laetša gore mathata a dikotsi ao a amago bobedi mmaraka wo o golago le babeeletši ba dinaga tša ka ntle a tla baka nyakego ya gore diponte tša mmaraka wo o golago di šuthele go tloga go mmeletši wa naga ya ka ntle go ya go mmeletši wa ka nageng, gomme se sa baka kelo ka go mmaraka wa diponte tše di golago. Bobedi babeeletši ba ka ntle le ba ka nageng ba tla fokotša nyakego ya dišere, gomme ka go realo boyo bja kelo ya dišere bja se akanyetšege. Mathata a dikotsi ao a rwalwago fela ke babeeletši ba dinaga tša ka ntle a baka dikelo tše maatla tša phothefolio go tšwa ka go dišere tša mmaraka wo o golago. Seemo sa melawana ya lefase ka bophara se na le seabe se segolo go phetišetšo ya mathata a lefase ka bophara go dikelo tša phothefolio. Kabo ya diponte e ka kgona go fokotša mathata a dikotsi, mola dikelo tša tswala di ka fokotša mathata a letseno. Melawana ye e tiišitšwego ya go thibela dikotsi ka go ekonomi ye e amogelago e na le seabe se sennyane kudu, ge se le gona, go kamano magareng ga dikelo tša phothefolio le katološo ya sekoloto sa ka nageng. Afrikaans: Globale monetêre beleid, finansiële risiko en risiko-aversie is belangrike bepalers van internasionale kapitaalvloei. Kapitaalvloei kan op sy beurt die uitbreiding van krediet en hefboomwerking in die ontvangende ekonomie veroorsaak. Hierdie doktorale proefskrif dra by tot ons begrip van die transmissiekanaal van globale risikofaktore na binnelandse krediet en spaargeld. Ons skat die tydveranderende effekte van risiko op portefeuljevloei na Suid-Afrika, ons skat die oordrag van portefeuljevloei na krediet, en laastens inkorporeer ons ons empiriese bevindinge in 'n tweeland- DSAE-model met portefeuljevloei en risikobeperkte finansiële tussengangers. Daar is bevind dat risiko en risiko-aversie se uitwerking op effekte- en aandeelvloei na Suid-Afrika verskillend is. Risiko beïnvloed effektevloei deurgaans meer as aandelevloei. Daar is ook bevind dat die verhouding tussen risiko en portefeuljevloei voortdurend evolueer en hoogs afhanklik is van die makro-ekonomiese omgewing. Ons bestudeer voorts die transmissiekanaal wat portefeuljevloei aan kredietverlening in Suid-Afrika koppel. Ons poneer dat die transmissie werk deur banke se kredietvoorraad te verhoog, en ons vind empiriese steun vir hierdie hipotese. Dele van die opbrengs van portefeuljevloei word in plaaslike banke gedeponeer. Hierdie kontantinspuiting verhoog die kredietvoorraad van banke en die effek is prosiklies. Indien die kontantinspuiting tydens 'n kredietuitbreiding gebeur, sal dit 'n sterker effek op die kredietverlening hê. Ons vind dat aandelevloei geneig is om meer kontantinspuitings te veroorsaak as effektevloei, en dus meer geneig is om kredietuitbreidings te veroorsaak. Die empiriese bevindinge rig ons konstruksie van 'n tweeland- DSAE-model met finansiële tussengangers en makrovoorsorgbeleid. Die model toon dat portefeuljevloei voortspruit uit veranderinge in batevraag van buitelanders relatief tot vraag van inwoners. Simulasies toon dat risikoskokke wat beide ontluikende markte en buitelandse beleggers raak, sal veroorsaak dat die vraag na ontluikende markeffekte van die buitelandse na die plaaslike belegger verskuif, wat 'n uitvloei in die ontluikende effektemark veroorsaak. Beide buitelandse en binnelandse beleggers sal die vraag na aandele verminder, en daarom is die rigting van aandelevloei onvoorspelbaar. Skokke vir risiko's wat slegs deur buitelandse beleggers gedra word, veroorsaak sterker portefeuljevloei uit ontluikende markaandele. Die globale beleidsomgewing het 'n groot impak op die oordrag van globale skokke na portefeuljevloei. Obligasievoorraad kan risikoskokke absorbeer, terwyl rentekoerse inkomsteskokke kan absorbeer. Strenger makrovoorsorgbeleid in die ontvangende ekonomie het 'n baie beperkte uitwerking, indien enige, op die verhouding tussen portefeuljevloei en binnelandse kredietverlening.","abstract_has_math":false,"creators":[],"institution":"University of Pretoria","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Viegi, Nicola"],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015","date_published":"2015","updated_at":"2026-07-24T03:52:48Z","subjects":["UCTD"],"languages":["en"],"rights":["© 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria."],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier.other","label":"Dc Identifier Other","values":["A2016"],"render_values":[{"text":"A2016","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2263/52986","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Viegi, Nicola"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2016-06-09T12:59:43Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2016-06-09T12:59:43Z"]},{"key":"dc:date.issued","label":"Date","values":["2015"]},{"key":"dc:publisher","label":"Institution","values":["University of Pretoria"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["UCTD"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["© 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria."]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.other","label":"Dc Identifier Other","values":["A2016"]},{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/2263/52986"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Thesis (PhD)--University of Pretoria, 2015."]},{"key":"dc:description.abstract","label":"Abstract","values":["English: Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension. Sepedi: Melawana ya ditšhelete ya lefase ka bophara, dikotsi tva ditšhelete le phapošo ya dikotsi ke dilo tše bohlokwa tše di laolago dikelo tša letlotlo tša boditšhabatšhaba. Dikelo tša letlotlo ka go le lengwe di ka baka katološo ya sekoloto le kholego ya sekoloto ka go ekonomi yeo e amogelago. PhD ye e tsenya letsogo go kwešišo ya rena ya tšhanele ya phetišetšo go tloga go mabaka a dikotsi tša lefase ka bophara go ya go sekoloto sa ka nageng le poloko ya tšhelete. Re akanya diabe tša go fapantšha ga nako tša kotsi go dikelo tša phothefolio go Afrika Borwa, re akanya phetišetšo ya dikelo tša phothefolio go sekoloto, gomme mafelelong re kopanya dikutollo tša rena tše di bonagalago ka go mokgwa wa DSGE wa dinaga tše pedi fao dikelo le dikotsi tša phothefolio di šitišitšego ditsenogare tša ditšhelete. Kotsi le phapošo ya dikotsi di hwetšwa gore di ama ponte ebile di abelana dikelo go Afrika Borwa ka fao go fapanego. Kotsi e tšwela pele go ama dikelo tša diponte go feta dikelo tša dišere. Kamano magareng ga kotsi le dikelo tša phothefolio e hwetšwa gape gore e gola go tšwela pele ebile e tshephile kudu seemo sa ekonomi ye kgolo. Re tšwela pele go nyakišiša tšhanele ya phetišetšo yeo e kgokaganyago dikelo tša phothefolio le katološo ya sekoloto ka Afrika Borwa. Re šišinya gore phetišetšo e šoma ka go oketša kabo ya dikoloto ka dipanka ebile re hwetša thekgo ye e bonagalago ya haephothesese ye. Dikarolo tša tšweletšo go tšwa go dikelo tša phothefolio di tepositwa ka dipankeng tša ka nageng. Thušo ye ya kheše e oketša kabo ya sekoloto ka dipanka gomme seabe ke thekga go ya felong gotee. Ge kheše e ka tsenywa ka nakong ya katološo ya sekoloto e tla ba le seabe seo se tiilego go sekoloto seo se filwego. Re hwetša gore kelo ya dišere e fela e baka tsenyo ye ntši ya kheše go feta dikelo tša ponte gomme ka go realo di ba kotsing kudu go baka dikatološo tša sekoloto. Dikutollo tše di bonagalago di hlahla kago ya rena ya mokgwa wa DSGE wa dinaga tše pedi wa go ba le melawana ya ditsenogare tša ditšhelete le thibelo ya dikotsi. Mokgwa wo o laetša gore dikelo tša phothefolio di tšwelela go diphetogo tša nyakego ya dithoto go tšwa go batšwakantle ge go bapetšwa le nyakego go tšwa go badudi. Dikekišo di laetša gore mathata a dikotsi ao a amago bobedi mmaraka wo o golago le babeeletši ba dinaga tša ka ntle a tla baka nyakego ya gore diponte tša mmaraka wo o golago di šuthele go tloga go mmeletši wa naga ya ka ntle go ya go mmeletši wa ka nageng, gomme se sa baka kelo ka go mmaraka wa diponte tše di golago. Bobedi babeeletši ba ka ntle le ba ka nageng ba tla fokotša nyakego ya dišere, gomme ka go realo boyo bja kelo ya dišere bja se akanyetšege. Mathata a dikotsi ao a rwalwago fela ke babeeletši ba dinaga tša ka ntle a baka dikelo tše maatla tša phothefolio go tšwa ka go dišere tša mmaraka wo o golago. Seemo sa melawana ya lefase ka bophara se na le seabe se segolo go phetišetšo ya mathata a lefase ka bophara go dikelo tša phothefolio. Kabo ya diponte e ka kgona go fokotša mathata a dikotsi, mola dikelo tša tswala di ka fokotša mathata a letseno. Melawana ye e tiišitšwego ya go thibela dikotsi ka go ekonomi ye e amogelago e na le seabe se sennyane kudu, ge se le gona, go kamano magareng ga dikelo tša phothefolio le katološo ya sekoloto sa ka nageng. Afrikaans: Globale monetêre beleid, finansiële risiko en risiko-aversie is belangrike bepalers van internasionale kapitaalvloei. Kapitaalvloei kan op sy beurt die uitbreiding van krediet en hefboomwerking in die ontvangende ekonomie veroorsaak. Hierdie doktorale proefskrif dra by tot ons begrip van die transmissiekanaal van globale risikofaktore na binnelandse krediet en spaargeld. Ons skat die tydveranderende effekte van risiko op portefeuljevloei na Suid-Afrika, ons skat die oordrag van portefeuljevloei na krediet, en laastens inkorporeer ons ons empiriese bevindinge in 'n tweeland- DSAE-model met portefeuljevloei en risikobeperkte finansiële tussengangers. Daar is bevind dat risiko en risiko-aversie se uitwerking op effekte- en aandeelvloei na Suid-Afrika verskillend is. Risiko beïnvloed effektevloei deurgaans meer as aandelevloei. Daar is ook bevind dat die verhouding tussen risiko en portefeuljevloei voortdurend evolueer en hoogs afhanklik is van die makro-ekonomiese omgewing. Ons bestudeer voorts die transmissiekanaal wat portefeuljevloei aan kredietverlening in Suid-Afrika koppel. Ons poneer dat die transmissie werk deur banke se kredietvoorraad te verhoog, en ons vind empiriese steun vir hierdie hipotese. Dele van die opbrengs van portefeuljevloei word in plaaslike banke gedeponeer. Hierdie kontantinspuiting verhoog die kredietvoorraad van banke en die effek is prosiklies. Indien die kontantinspuiting tydens 'n kredietuitbreiding gebeur, sal dit 'n sterker effek op die kredietverlening hê. Ons vind dat aandelevloei geneig is om meer kontantinspuitings te veroorsaak as effektevloei, en dus meer geneig is om kredietuitbreidings te veroorsaak. Die empiriese bevindinge rig ons konstruksie van 'n tweeland- DSAE-model met finansiële tussengangers en makrovoorsorgbeleid. Die model toon dat portefeuljevloei voortspruit uit veranderinge in batevraag van buitelanders relatief tot vraag van inwoners. Simulasies toon dat risikoskokke wat beide ontluikende markte en buitelandse beleggers raak, sal veroorsaak dat die vraag na ontluikende markeffekte van die buitelandse na die plaaslike belegger verskuif, wat 'n uitvloei in die ontluikende effektemark veroorsaak. Beide buitelandse en binnelandse beleggers sal die vraag na aandele verminder, en daarom is die rigting van aandelevloei onvoorspelbaar. Skokke vir risiko's wat slegs deur buitelandse beleggers gedra word, veroorsaak sterker portefeuljevloei uit ontluikende markaandele. Die globale beleidsomgewing het 'n groot impak op die oordrag van globale skokke na portefeuljevloei. Obligasievoorraad kan risikoskokke absorbeer, terwyl rentekoerse inkomsteskokke kan absorbeer. Strenger makrovoorsorgbeleid in die ontvangende ekonomie het 'n baie beperkte uitwerking, indien enige, op die verhouding tussen portefeuljevloei en binnelandse kredietverlening."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["PhD"]},{"key":"dc:title","label":"Title","values":["Essays on international capital flows and macroeconomic stability"]}]}],"canonical_facts":{"dc:contributor.advisor":["Viegi, Nicola"],"dc:date.accessioned":["2016-06-09T12:59:43Z"],"dc:date.available":["2016-06-09T12:59:43Z"],"dc:date.issued":["2015"],"dc:description":["Thesis (PhD)--University of Pretoria, 2015."],"dc:description.abstract":["English: Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension. Sepedi: Melawana ya ditšhelete ya lefase ka bophara, dikotsi tva ditšhelete le phapošo ya dikotsi ke dilo tše bohlokwa tše di laolago dikelo tša letlotlo tša boditšhabatšhaba. Dikelo tša letlotlo ka go le lengwe di ka baka katološo ya sekoloto le kholego ya sekoloto ka go ekonomi yeo e amogelago. PhD ye e tsenya letsogo go kwešišo ya rena ya tšhanele ya phetišetšo go tloga go mabaka a dikotsi tša lefase ka bophara go ya go sekoloto sa ka nageng le poloko ya tšhelete. Re akanya diabe tša go fapantšha ga nako tša kotsi go dikelo tša phothefolio go Afrika Borwa, re akanya phetišetšo ya dikelo tša phothefolio go sekoloto, gomme mafelelong re kopanya dikutollo tša rena tše di bonagalago ka go mokgwa wa DSGE wa dinaga tše pedi fao dikelo le dikotsi tša phothefolio di šitišitšego ditsenogare tša ditšhelete. Kotsi le phapošo ya dikotsi di hwetšwa gore di ama ponte ebile di abelana dikelo go Afrika Borwa ka fao go fapanego. Kotsi e tšwela pele go ama dikelo tša diponte go feta dikelo tša dišere. Kamano magareng ga kotsi le dikelo tša phothefolio e hwetšwa gape gore e gola go tšwela pele ebile e tshephile kudu seemo sa ekonomi ye kgolo. Re tšwela pele go nyakišiša tšhanele ya phetišetšo yeo e kgokaganyago dikelo tša phothefolio le katološo ya sekoloto ka Afrika Borwa. Re šišinya gore phetišetšo e šoma ka go oketša kabo ya dikoloto ka dipanka ebile re hwetša thekgo ye e bonagalago ya haephothesese ye. Dikarolo tša tšweletšo go tšwa go dikelo tša phothefolio di tepositwa ka dipankeng tša ka nageng. Thušo ye ya kheše e oketša kabo ya sekoloto ka dipanka gomme seabe ke thekga go ya felong gotee. Ge kheše e ka tsenywa ka nakong ya katološo ya sekoloto e tla ba le seabe seo se tiilego go sekoloto seo se filwego. Re hwetša gore kelo ya dišere e fela e baka tsenyo ye ntši ya kheše go feta dikelo tša ponte gomme ka go realo di ba kotsing kudu go baka dikatološo tša sekoloto. Dikutollo tše di bonagalago di hlahla kago ya rena ya mokgwa wa DSGE wa dinaga tše pedi wa go ba le melawana ya ditsenogare tša ditšhelete le thibelo ya dikotsi. Mokgwa wo o laetša gore dikelo tša phothefolio di tšwelela go diphetogo tša nyakego ya dithoto go tšwa go batšwakantle ge go bapetšwa le nyakego go tšwa go badudi. Dikekišo di laetša gore mathata a dikotsi ao a amago bobedi mmaraka wo o golago le babeeletši ba dinaga tša ka ntle a tla baka nyakego ya gore diponte tša mmaraka wo o golago di šuthele go tloga go mmeletši wa naga ya ka ntle go ya go mmeletši wa ka nageng, gomme se sa baka kelo ka go mmaraka wa diponte tše di golago. Bobedi babeeletši ba ka ntle le ba ka nageng ba tla fokotša nyakego ya dišere, gomme ka go realo boyo bja kelo ya dišere bja se akanyetšege. Mathata a dikotsi ao a rwalwago fela ke babeeletši ba dinaga tša ka ntle a baka dikelo tše maatla tša phothefolio go tšwa ka go dišere tša mmaraka wo o golago. Seemo sa melawana ya lefase ka bophara se na le seabe se segolo go phetišetšo ya mathata a lefase ka bophara go dikelo tša phothefolio. Kabo ya diponte e ka kgona go fokotša mathata a dikotsi, mola dikelo tša tswala di ka fokotša mathata a letseno. Melawana ye e tiišitšwego ya go thibela dikotsi ka go ekonomi ye e amogelago e na le seabe se sennyane kudu, ge se le gona, go kamano magareng ga dikelo tša phothefolio le katološo ya sekoloto sa ka nageng. Afrikaans: Globale monetêre beleid, finansiële risiko en risiko-aversie is belangrike bepalers van internasionale kapitaalvloei. Kapitaalvloei kan op sy beurt die uitbreiding van krediet en hefboomwerking in die ontvangende ekonomie veroorsaak. Hierdie doktorale proefskrif dra by tot ons begrip van die transmissiekanaal van globale risikofaktore na binnelandse krediet en spaargeld. Ons skat die tydveranderende effekte van risiko op portefeuljevloei na Suid-Afrika, ons skat die oordrag van portefeuljevloei na krediet, en laastens inkorporeer ons ons empiriese bevindinge in 'n tweeland- DSAE-model met portefeuljevloei en risikobeperkte finansiële tussengangers. Daar is bevind dat risiko en risiko-aversie se uitwerking op effekte- en aandeelvloei na Suid-Afrika verskillend is. Risiko beïnvloed effektevloei deurgaans meer as aandelevloei. Daar is ook bevind dat die verhouding tussen risiko en portefeuljevloei voortdurend evolueer en hoogs afhanklik is van die makro-ekonomiese omgewing. Ons bestudeer voorts die transmissiekanaal wat portefeuljevloei aan kredietverlening in Suid-Afrika koppel. Ons poneer dat die transmissie werk deur banke se kredietvoorraad te verhoog, en ons vind empiriese steun vir hierdie hipotese. Dele van die opbrengs van portefeuljevloei word in plaaslike banke gedeponeer. Hierdie kontantinspuiting verhoog die kredietvoorraad van banke en die effek is prosiklies. Indien die kontantinspuiting tydens 'n kredietuitbreiding gebeur, sal dit 'n sterker effek op die kredietverlening hê. Ons vind dat aandelevloei geneig is om meer kontantinspuitings te veroorsaak as effektevloei, en dus meer geneig is om kredietuitbreidings te veroorsaak. Die empiriese bevindinge rig ons konstruksie van 'n tweeland- DSAE-model met finansiële tussengangers en makrovoorsorgbeleid. Die model toon dat portefeuljevloei voortspruit uit veranderinge in batevraag van buitelanders relatief tot vraag van inwoners. Simulasies toon dat risikoskokke wat beide ontluikende markte en buitelandse beleggers raak, sal veroorsaak dat die vraag na ontluikende markeffekte van die buitelandse na die plaaslike belegger verskuif, wat 'n uitvloei in die ontluikende effektemark veroorsaak. Beide buitelandse en binnelandse beleggers sal die vraag na aandele verminder, en daarom is die rigting van aandelevloei onvoorspelbaar. Skokke vir risiko's wat slegs deur buitelandse beleggers gedra word, veroorsaak sterker portefeuljevloei uit ontluikende markaandele. Die globale beleidsomgewing het 'n groot impak op die oordrag van globale skokke na portefeuljevloei. Obligasievoorraad kan risikoskokke absorbeer, terwyl rentekoerse inkomsteskokke kan absorbeer. Strenger makrovoorsorgbeleid in die ontvangende ekonomie het 'n baie beperkte uitwerking, indien enige, op die verhouding tussen portefeuljevloei en binnelandse kredietverlening."],"dc:description.degree":["PhD"],"dc:identifier.other":["A2016"],"dc:identifier.uri":["http://hdl.handle.net/2263/52986"],"dc:language.iso":["en"],"dc:publisher":["University of Pretoria"],"dc:rights":["© 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria."],"dc:subject":["UCTD"],"dc:title":["Essays on international capital flows and macroeconomic stability"],"dc:type":["Thesis"]},"updated_at":"2026-07-24T03:52:48Z"}