期刊名称：International Journal of Economics and Finance Studies
电子版ISSN：1309-8055
出版年度：2017
卷号：9
期号：2
页码：152-166
出版社：Social Sciences Research Society
摘要：There is a growing concern about the impact of country risk rating on financialinstitutions due to increased political, financial and economic risk. This studyutilizes the autoregressive distributed lag (ARDL) model and the Toda–Yamamoto approach of Granger causality test to analyse the long and shortrun effects of economic, financial and political components of country risk oncredit extended to the South African private sector. The results indicate thatthere is a negative long-run relationship between credit extension andcountry risk. In the short-run, credit extension is mainly affected by itsprevious changes, with a limited effect from financial and economic risks.The causality analysis showed that previous changes in country risks do notGranger-cause changes in current credit extension, but that credit extensionGranger-causes the economic and financial risks. The study concluded thatchanges in country risk have a long-term implication on credit extended to theSouth African private sector..
关键词：Credit extension; country risk; economic risk; financial risk;political risk; ARDL; South Africa
