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ANALYZING THE RELATIONSHIP BETWEEN DERIVATIVE USAGE AND SYSTEMIC RISK IN SOUTH AFRICA
Eurasian Journal of Economics and Finance
This paper analyzes the relationship between derivative usage and systemic risk in South Africa. We employ expected shortfall as a measure of systemic risk for the banking sector. The more flexible Toda-Yamamoto Granger non-causality test is used to find the direction of causality between the variables, and the ARDL estimation technique is employed to estimate the specified model. We also test for the existence of a long-run relationship amongst the variables using the Bounds test approach. Wedoi:10.15604/ejef.2021.09.04.002 fatcat:tvmbe3d435eghacw57aat5ymwy