Financial sector development and macroeconomic volatility: Case of the Southern African Development Community region

Figures & data

Table 1. Descriptive statistics

	GDPVOL	BANK CREDIT	BANK CREDIT TO BANK DEPOSIT	CHINN_ITO	EXPORTS	GDP	GOVERNMENT	INFLATION	STOCK_MARKET
Mean	−2.122718	27.72903	75.33586	−0.503365	37.61568	3.216407	18.04992	15.62851	11.87526
Median	1.691593	17.43640	68.22450	−1.194733	35.07200	2.688329	17.78391	11.96467	4.475980
Maximum	13.87795	102.5360	137.3310	2.374419	75.12957	19.63795	31.81937	112.6936	1081.120
Minimum	−17.32452	2.590200	23.35660	−1.903586	10.26206	−11.56493	8.284477	−0.112203	0.023725
Std. dev.	7.206990	23.75513	28.18825	1.456005	15.00386	5.753998	5.109620	14.19492	69.94128
Skewness	0.220484	1.005214	0.394290	1.087717	0.281833	0.676237	0.396135	3.705223	14.92986
Kurtosis	3.102457	3.118475	2.138388	2.630835	1.984881	3.930831	2.386227	22.42983	228.5590
Observations	241	241	241	241	241	241	241	241	241

Table 2. Correlation matrix

Correlation
Probability	VOLGDP	STOCK MRKT	BANKSPRIVATE	BANK LENDING	BANK CRED	GDP	GOV EXP	CHINN-ITO index	INFL	EXPORTS
VOLGDP	1.00
STOCK MRKT	−0.03	1.00
BANKS PRIVT	−0.25	0.10	1.00
BANK LENDING	− 0.04	−0.07	−0.44	1.00
GDP	−0.29	−0.04	−0.25	0.04	−0.30	1.00
GVT EXP	0.19	0.11	0.03	−0.40	0.33	−0.19	1.00
CHINN	0.05	−0.05	0.20	−0.16	−0.15	0.05	−0.13	1.00
INFL	0.02	−0.07	−0.09	0.29	−0.25	0.02	−0.26	0.00	1.00
EXPORTS	−0.15	0.03	0.22	−0.32	0.02	−0.15	0.28	0.43	0.01	1.00

Table 3. Cross-sectional dependency test

Residual cross-sectional dependence test
Null hypothesis: no cross-sectional dependence (correlation) in residuals
Test	Statistic	d.f.	Prob.
Breusch–Pagan LM	56.74245***	21	0.0000
Pesaran scaled LM	5.515179***		0.0000
Pesaran CD	1.745214*		0.0809

Table 4. Panel unit root test

	Cross-sectional augmented Im–Pesaran–Shin (CIPS)		Cross-sectional augmented Dickey–Fuller (CADF)
Variable	Level series	First difference series	Level series	First difference series
VOLGDP	−4.685***	—-	−3.629***	—-
STOCK MRKT	−1.153	10.643***	−1.045	−4.167***
BANKS PRIVT	−1.497	7.765***	1.654	8.123***
BANK LENDING	−1.543	—-	−0.788	−8.028***
BANK CRED	2.561*	—-	−2.298*	—
GDP	4.653**	—-	−5.005***	—
GVT EXP	3.654**	—-	−2.480**	—
CHINN	−3.667***	—-	−3.578***	—
INFL	0.124	11.654***	−0.254	−10.298***
EXPORTS	−2.790***	—-	−2.215	−4.665***

Notes. Standard errors reported in parentheses ().

*indicates significance of the coefficients at 10%.

** indicates significance of the coefficients at 5%.

*** 1% indicates significance of the coefficients at 1%.

Source: Author’s computation using STATA 15.

Table 5. Panel cointegration test

Cointegration tests		Test statistic
Kao (1999)	Modified Dickey–Fuller t	2.3807***
	Dickey–Fuller t	3.3812***
	Augmented Dickey–Fuller t	3.0867***
	Unadjusted modified Dickey–Fuller t	2.2552**
	Unadjusted Dickey–Fuller t	3.0515***
Westerlund test	Gt	−3.942***
	Ga	−11.326
	Pt	−12.848***
	Pa	−15.293**

Notes. Standard errors reported in parentheses ().

* indicates significance of the coefficients at 10%.

** indicates significance of the coefficients at 5%.

*** 1 % indicates significance of the coefficients at 1%.

Source: Author’s computation using STATA 15.

Table 6. Cross-sectional augmented autoregressive distributed lag technique results

Dependent variable: ΔGDP growth volatility
Variable	Model 1	Model 2	Model 3	Model 4
Long-run equation
BANK_LENDING	−.2149** (.0872)		− .4198** (.1474)
BANKS CREDIT TO BANK DEP	− .9105 **(.2484)		−.9361* (.0440)
STOCK_MARKET	− .3795 **(.2484)	.3795 (.1922)
EXPORTS	−0.3322***(.2922)	−.2556***(.0796)	−.2211* (.0256)	−.6116***(.2841)
GOVERNMENT Exp	.3401*** (.1544)	.4735 (.3532)	−.1155* (.3001)	.9958** (.2470)
INFLATION	.05492 *(.0148)	.0698 (.0498)	.1136** (.0598)	.6968 (.1498)
CHINN-ITO Index				.7210 (.3692)
CHINN-ITO Index * Domestic credit				−.8937** (.2334)
GDP	− .9064** (.1175)	−.1166** (.0297)	−0.2637*(0.1158)	.1253** (.1693)
Short-run equation
ECT	−.2874*** (.0342)	−.7784** (.3010)	−.7594* (.3665)	−.6317 (.4805)
ΔBANK_LENDING	−.8144***(0.2449)		−.8975*** (.1019)
ΔBANKS CREDIT TO BANK DEP	.9878 (.2782)		.9478** (.1524)
ΔSTOCK_MARKET	−0.7349 (.1722)	.3532** (.1239)
ΔEXPORTS	.2877 (.2156)	.2604** (.0840)	.0307 (.2249)	.2496*** (.0803)
ΔGOVERNMENT Exp	.9686 (.2399)	.3195 (.2151)	.0932 (.3004)	.4671 (.3532)
ΔINFLATION	0.8005 (0.4934)	.0848 (.0599)	.1080 (.0588)	.0775 (.0500)
ΔCHINN-ITO Index	.6023 (.2188)			.7197 (.4521)
ΔGDP	.7147 (.2401)	−.9664* (.4252)	.1433 (.6812)	.7988 (.4065)
Constant	.1447 (.3902)	−.5747(.1434)	.1434 (.5411)	.7333 (.1549)
No. of obs.	234	234	234	234
R-squared	0.38	0.41	0.35	0.37
R-squared (MG)	0.52	0.52	0.50	0.49
F statistic	2.18	2.40	1.82	2.06
CSD statistic	1.31	0.60	0.60	0.55
p-Value	0.816	0.392	0.850	0.7786

Notes. Standard errors reported in parentheses ().

* indicates significance of the coefficients at 10%.

** indicates significance of the coefficients at 5%.

*** 1 % indicates significance of the coefficients at 1%.

Source: Author’s computation using STATA 15.

Kao, C. (1999). Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90(1), 1–44. https://doi.org/10.1016/S0304-4076(98)00023-2

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