The impact of interest rate spread on the banking system efficiency in South Africa

Figures & data

Figure 1. The proportion of financial assets in South Africa in December 2016.

Source: SARB (2016).

Figure 2. The market share of major banks in South Africa in December 2016.

Source: SARB (2016).

Figure 3. Lending and deposit rates in South Africa 1994Q1–2016Q4.

Source: SARB (2016).

Table 1. The results of unit root tests

	ADF test		PP test
Variables	Level	First difference	Level	First difference	Conclusion
BTA	1.25	−3.26	2.73	−3.26	I(1)
GDP	−0.72	−5.52	−0.73	−5.54	I(1)
IRS	0.37	−5.03	0.37	−5.04	I(1)
NPL	−3.40	−5.93	−3.45	−6.01	I(0)
REXR	−1.80	−3.06	−1.80	−5.49	I(1)

Note: 5% critical value (tabulated value) for ADF and PP tests is −2.96.

Source: Author’s computation using E-views 10 Econometric Software.

Table 2. ARDL cointegration test results

			Diagnostic tests
Model	Method	F-stat	Normality	Heteroscedasticity	Correlation
BTA = ƒ(GDP, IRS, NPL, REXR)	ARDL	7.69*	0.82	0.72	0.45
Level (%)	Lower bounds I(0)			Upper bounds I(1)
5	3.45			4.69
10	2.81			3.94

Notes: Optimal lag length of 5 is selected using the AIC criterion with critical values generated under the assumption of intercept and no trend. *Indicates rejection of the null hypothesis of no cointegration at 5% level of significance.

Source: Author’s computation using E-views 10 Econometric Software.

Figure 4. The CUSUM test.

Source: Author’s computation using E-views 10 Econometric Software.

Figure 5. The CUSUM of Squares test.

Source: Author’s computation using E-views 10 Econometric Software.

Table 3. Long- and short-run estimates of the ARDL method

	Regressand variable: BTA
	Long-run estimates		Short-run estimates
Regressors	Coefficient	t-Stat	Coefficient	t-Stat	p-Values
GDP	0.307*	3.684	0.289*	3.104	0.000
$IR{S}^{pos}$	−0.118*	6.171	−0.182*	5.918	0.001
$IR{S}^{neg}$	0.351	4.214	0.381	3.015	0.216
NPL	−1.091	−16.182	−0.964	−16.018	0.302
REXR	0.179**	1.895	1.064*	0.903	0.001
Constant	48.765*	9.832	33.803*	9.103	0.000

Notes: */**Statistically significant at 5%/10% level, respectively.

Source: Author’s computation using E-views 10 Econometric Software.

ARDL: Autoregressive distributed lag.

South African Reserve Bank (SARB). (2016). Annual economic report 2016, Bank Supervision Department (pp. 1–113). Retrieved February 13, 2018, from http://www.reservebank.co.za/

 Google Scholar