The relationship between financial sector development and savings mobilisation in South Africa: An empirical study

Figures & data

Figure 1. Trends in savings as a percentage of gross domestic product. Source: South African Reserve Bank (2014).

Figure 2. Gross domestic savings as a percentage of gross domestic product (1990–2010). Note: SA = South Africa.Source: World Bank Development Indicators (2013).

Table 1. Summary statistics.

	S_GDP	INCOME_GDP	AGE	PS_GDP	DCP_GDP	M2_GDP	VS_GDP	INTEREST_RATE
Mean	23.03	12.37	67.60	−2.982	105.8	59.23	48.49	11.42
Median	19.23	12.58	67.28	−2.950	114.6	55.19	44.24	11.04
Maximum	37.89	14.26	81.69	0.900	167.54	84.61	148.7	18.86
Minimum	17.240	9.989	3.029	−7.300	55.60	46.86	4.32	5.540
Standard deviation	5.830	1.322	10.00	2.012	35.55	10.12	38.62	3.966

Notes: GDP = gross domestic product; S = savings as a percentage of GDP; Income = income as a percentage of GDP; AGE = dependency; PS = Public savings as a percentage of GDP; M2 = money supply as a percentage of GDP; DCP = domestic credit to the private sector; VS = value of shares traded as a percentage of GDP.

Table 2. Unit root tests: first difference series.

	Augmented Dickey–Fuller test			Phillips–Perron test
Variable	Constant	Constant and trend	None	Constant	Constant and trend	None
ΔSavings/GDP	−5.452***	−4.617***	−0.996	−6.476***	−10.142***	−5.393***
ΔIncome/GDP	−3.231**	−6.608***	−3.969**	−3.411**	−6.564***	−2.442**
ΔAge	−2.506**	−3.957***	−2.917**	−2.444**	−2.159**	−2.567**
ΔPS/GDP	−3.506***	−3.957***	−3.917***	−3.444***	−3.159***	−3.567***
ΔDCP/GDP	−5.316***	−5.221***	−5.046***	−5.494***	−5.369***	−5.042***
ΔM2/GDP	−3.567**	−3.695**	−3.570***	−3.607**	−3.649**	−3.570***
ΔVS/GDP	−4.029**	−3.948**	−4.082***	−3.736**	−3.558**	−3.871***
ΔInterest rate	−5.477***	−5.747***	−5.570***	−3.815***	−5.101***	−3.909***

Notes: GDP = gross domestic product; ∆Savings/GDP = savings as a percentage of GDP; ∆Income/GDP = income as a percentage of GDP; ∆PS/GDP = public savings as a percentage of GDP; ∆M2/GDP = money supply as a percentage of GDP; ∆DCP/GDP = domestic credit to the private sector of GDP; ∆VS/GDP = value of shares traded as a percentage of GDP.

***Significance at 1%; **significance at 5%; *significance at 10%.

Table 3. Ng–Perron test in first difference series.

Variable	MZα		MZt		MSB		MPT
	c	c,t	c	c,t	c	c,t	c	c,t
ΔSavings/GDP	−16.48***	−16.47***	−2.87***	−2.86**	0.17**	0.17**	1.48**	5.53**
ΔIncome/GDP	−9.47**	−12.74**	−2.17**	−2.52**	0.22**	0.19***	2.59**	7.14**
ΔAge	−14.56***	−39.77***	−2.67***	−4.40***	0.18***	0.11**	1.77**	2.56**
ΔPS/GDP	−32.09***	−33.86***	−3.99***	−4.09***	0.32***	0.32***	0.79**	4.80***
ΔDCP/GDP	−15.93***	−15.91***	−2.75***	−2.74**	0.27**	0.17**	1.78**	6.14**
ΔM2/GDP	−13.76***	−14.28***	−2.58***	−2.61**	0.28***	0.18***	1.91***	6.73***
ΔVS/GDP	−15.28***	−14.98***	−2.59***	−3.62**	0.16**	0.27**	2.22**	6.72***
ΔInterest rate	−46.34***	−49.08***	−4.81***	−4.95***	0.10**	0.30	0.53**	1.95

Notes: Deterministic terms: c = constant; c,t = constant and trend; GDP = gross domestic product; ∆Savings/GDP = savings as a percentage of GDP; ∆Income/GDP = income as a percentage of GDP; ∆PS/GDP = public savings as a percentage of GDP; ∆M2/GDP = money supply as a percentage of GDP; ∆DCP/GDP = domestic credit to the private sector of GDP; ∆VS/GDP = value of shares traded as a percentage of GDP.

***Significance at 1%; **significance at 5%; *significance at 10%.

Table 4. Johansen co-integration technique results.

Unrestricted co-integration rank test
Hypothesised		Trace test 0.05			Maximal eigenvalue test 0.05
Number of CE(s)	Eigenvalue	Statistic	Critical value	p value^b	Critical value	p value^b
None^a	0.963	385.079	169.599	0.000	53.187	0.042
At most 1	0.891	98.594	99.527	0.251	47.078	0.235
At most 2	0.866	87.498	90.084	0.235	40.956	0.654
At most 3	0.821	76.559	86.972	0.523	34.805	0.541
At most 4	0.619	58.442	84.079	0.235	28.588	0.425
At most 5	0.569	37.556	55.192	0.435	22.299	0.310
At most 6	0.521	20.620	30.261	0.231	15.892	0.232
At most 7	0.197	7.044	9.164	0.124	9.164	0.124

Notes: Trace test and maximal eigenvalue test indicate one co-integrating equation at the 0.05 level; CE, cointegrating equations.

^aRejection of the hypothesis at the 0.05 level.

^bMacKinnon–Haug–Michelis (1999) p values.

Table 5. Johansen co-integration technique results.

Unrestricted co-integration rank test
Hypothesised		Trace test 0.05			Maximal eigenvalue test 0.05
Number of CE(s)	Eigenvalue	Statistic	Critical value	p value^b	Statistic	Critical value	p value^b
None^a	0.963	106.1	53.18	0.000	106.1	53.18	0.000
At most 1^a	0.891	70.96	47.07	0.000	70.96	47.07	0.000
At most 2^a	0.866	64.38	40.95	0.000	64.38	40.95	0.000
At most 3^a	0.821	55.155	34.80	0.000	55.155	34.80	0.000
At most 4^a	0.619	30.88	28.58	0.000	30.88	28.58	0.025
At most 5^a	0.569	26.93	22.29	0.000	26.93	22.29	0.010
At most 6^a	0.521	23.57	15.89	0.001	23.57	15.89	0.002
At most 7	0.197	7.044	9.164	0.124	7.044	9.164	0.124

Notes: Trace test and maximal eigenvalue statistics indicate seven co-integrating equations at the 0.05 level; CE, cointegrating equations.

^aRejection of the hypothesis at the 0.05 level.

^bMacKinnon–Haug–Michelis (1999) p values.

Table 6. Vector error correction model.

	Dependent variable savings/GDP
Regressor	Coefficient	Standard error	t statistic
Income	0.25278	0.04623	5.46831**
Age	−0.78718	0.33378	−2.35871**
PS	0.462484	0.15931	−2.90304**
DCP	0.492882	0.030951	5.92311***
M2/GDP	0.257731	0.07069	3.64585**
VS/GDP	0.185664	0.03712	5.00113***
Ir	−0.522712	0.11618	−4.49918***

Notes: GDP, gross domestic product; AGE, dependency; PS, Public savings as a percentage of GDP; M2/GDP, money supply as a percentage of GDP; DCP, domestic credit to the private sector; VS/GDP, value of shares traded as a percentage of GDP; IR, interest rate.

***Significance at 1%; **significance at 5%; *significance at 10%.

Table 7. Vector error correction model.

Error correction	D(S_GDP)	D(INCOME_GDP)	D(AGE)	D(PS_GDP)	D(DCP_GDP)	D(M2_GDP)	D(VS_GDP)	D(INTEREST_RATE)
Co-intEq1	−0.429	0.000	−0.008	−0.045	0.714	−0.113	0.189	−0.193
	(0.072)	(0.001)	(0.002)	(0.055)	(0.355)	(0.113)	(0.572)	(0.087)
	[−5.926]	[0.376]	[−4.091]	[−0.828]	[2.006]	[−0.998]	[0.331]	[−2.211]
D(S_GDP(−1))	−0.120	−0.001	−0.001	0.220	0.203	−0.355	−0.510	−0.426
	(0.193)	(0.003)	(0.005)	(0.147)	(0.947)	(0.302)	(1.523)	(0.233)
	[−0.623]	[−0.505]	[−0.174]	[1.492]	[0.214]	[−1.173]	[−0.334]	[−1.826]
R^2	0.459	0.405	0.982	0.388	0.266	0.241	0.254	0.470
Adjusted R^2	0.238	0.162	0.974	0.138	−0.032	−0.068	−0.050	0.253
Sum of square residuals	86.476	0.031	0.077	50.481	2083.3	212.83	5386.7	126.2
SE equation	1.982	0.037	0.059	1.514	9.731	3.110	15.64	2.395
F-statistic	2.079	1.666	133.9	1.551	0.890	0.778	0.833	2.168

Notes: GDP = gross domestic product; SE = standard error; S_GDP = savings as a percentage of GDP; Income_GDP = income as a percentage of GDP; PS_GDP = public savings as a percentage of GDP; M2_GDP = money supply as a percentage of GDP; DCP_GDP = domestic credit to the private sector; VS_GDP = value of shares traded as a percentage of GDP; Interest _rate = interest rate.

( ) Standard errors.

[ ] t-statistics.

Table 8. Vector error correction Granger causality test results.

Excluded	Chi-square	Degrees of freedom	p value
D(INCOME_GDP)	0.319	1	0.022
D(AGE)	1.723	1	0.189
D(PS_GDP)	1.092	1	0.296
D(DCP_GDP)	0.344	1	0.047
D(M2_GDP)	1.568	1	0.100
D(VS_GDP)	0.329	1	0.066
D(INTEREST_RATE)	0.018	1	0.892
All	9.170	7	0.240

Notes: Dependent variable: D(S_GDP).

GDP = gross domestic product; Income_GDP = income as a percentage of GDP; PS_GDP = public savings as a percentage of GDP; ∆M2_GDP = money supply as a percentage of GDP; DCP_GDP = domestic credit to the private sector; VS_GDP = value of shares traded as a percentage of GDP; Interest_Rate = interest rate.

South African Reserve Bank, 2014. Annual report. SARB, Pretoria.

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World Bank Development Indicators, 2013. World Databank, Washington, DC.

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Mackinnon, JG, Haug, AA & Michelis, L, 1999. Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics 14(5), 63–577. doi: 10.1002/(SICI)1099-1255(199909/10)14:5<563::AID-JAE530>3.0.CO;2-R

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