Internal and External Factors for Credit Growth in Macao

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Internal and External Factors for Credit Growth in Macao"

Transcription

1 Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They rely on radiional lending business as loans accoun for a sizable proporion of heir asses. In recen years, he incremen in credi exended o he privae secor has even oupaced Macao s gross domesic produc growh. This paper aemps o apply a scienific model o weigh various poenial inernal and exernal facors for he credi growh. Based on our esimaion, he growh of loans exended o residens is largely induced by inernal facors such as real economic growh, domesic ineres rae and banks healh, while exernal moneary condiions play a more significan role in credi exended o non-residens. In paricular, our findings show ha he healh saus of he local banking secor, represened by he lagged non-performing loan raio, is an imporan deerminan of he incremen of bank lending, especially for he residen secor. For enhancemen o he overall financial sabiliy, our esimaion resuls advocae a forward-looking aiude in credi operaion by local banks and a srenghening in linkage beween loans and deposis

2 1. Inroducion Commercial banks are dominan eniies in he Macao financial secor. Their aggregae asse accouns for 98% of he oal asses of all local financial insiuions. In line wih he expanding economy and public needs, local banks have sepped up heir effor in providing a wide variey of financial producs and services, while radiional businesses including deposi-aking and loan exension mainain heir core posiion. Nowadays, he loan business sill represens a sizable proporion of bank asses. In paricular, oal loans in nominal value winessed consecuive and noable incremens, from MOP51.3 billion a he onse of 2003 o MOP689.7 billion a he end of Their share in oal asses of he whole banking secor rose from an approximae 30% o almos 60% (Char 1). Char 1: Privae Secor Loans and Loan-o-Asse Raio, (10 9 paacas) (%) Toal Privae Secor Loans (lef-axis) Loan-o-Asse Raio (righ-axis) Noe: End-of-period figures. Source: Moneary Auhoriy of Macao (AMCM)

3 Afer discouning for price effecs wih he composie consumer price index (CPI), credi exended o he privae secor winessed a subsanial growh of almos 700% in 2014 when compared o he level in 2003 a pace ha was even faser han Macao s real gross domesic produc (GDP) growh. In real erms, bank loans marked consecuive incremens since end Real credi growh had oupaced real GDP growh in mos of he ime since mid-2007 hough heir movemens were largely consisen wih each oher. For insance, real bank credi and he real economy winessed shor-lived conracion in he second quarer of 2009 due o he financial sunami (Char 2). Char 2: Privae Secor Loans and GDP, (Year-on-year change in %) Toal privae secor loans in real erms Real GDP Sources: Macao Saisics and Census Service (DSEC) and AMCM. The significan growh of privae secor loans was winessed in boh he residen and non-residen secors, wih faser growh of loans o non-residens, highlighing he rising imporance of offshore business in he local banking secor. As a resul, he share of non-residen credi in oal privae-secor credi moved up by a marked

4 percenage poins from end-2003 o 50.8% a end-2014 a he expense of residen credi (Char 3). Char 3: Srucure of Toal Privae Secor Loans, (10 6 paacas; end-of-period) 800, , , , , , , , Residens Non-residens Source: AMCM. While fas credi expansion cerainly benefis bank profiabiliy, i simulaneously poses risk o he financial sysem. Classic examples in he family of financial acceleraor models sugges ha banks can amplify shocks o an economy hrough credi channel. Therefore, he lending behaviour of banks is paricularly relevan during imes of financial insabiliy or crisis. Indeed, recen sudies by inernaional organisaions, such as he Bank for Inernaional Selemens (BIS) and he Inernaional Moneary Fund (IMF), underline ha financial crises are usually preceded by privae-secor credi booms and hence credi developmen can be used o consruc early warning indicaors for sysemic crises. 1 In view of he noable expansion of Macao bank credi in recen years, i is of policy significance o analyse he driving forces behind his ype of asse expansion in order o faciliae he 1 See, for example, Drehmann (2013)

5 consisen monioring of he soundness of he financial sysem and he design of proacive measures from he roo of concern. The effeciveness of ransmission o credi growh depends on a hos of facors, such as source of funds, macroeconomic condiion, financial marke condiion, and moneary condiion. They could be furher classified as inernal or exernal facors. The objecive of his paper is o assess hose inernal and exernal facors for he srong credi growh in he local banking secor by a scienific model. The remainder of his paper is srucured as follows. The second secion reviews relevan lieraure. The hird secion presens relaed daa of Macao for esimaion and he esimaion resuls. The las secion concludes. 2. Lieraure Review While he rise in household debs reflecs he deepening of financial markes, i could indicae rising vulnerabiliy of household balance shees. Filardo (2008) raises a policy quesion abou wheher such developmen represens a key source of risks o he macroeconomy and how bes hese issues could be modeled. In benchmark moneary policy models, household deb usually plays a minor role as i is ypically viewed as a passive endogenous variable reflecing iner-emporal consumpion and saving decisions. He, however, employs an opimal moneary policy model including household deb, which comprises several inerrelaed blocks of equaions ha explore some of he heoreical radeoffs of a cenral bank in an economy subjec o cyclical flucuaions and asse price dynamics. I is shown ha calibraing policy implicaions would require a clear undersanding of he relaive imporance of household debs role in differen policy responses and he likely oucomes, including he possibiliy of significan ail risks arising from financial insabiliies. Aisen and Franken (2010) conduc esimaion based on cross-secion economeric echniques and a daase covering over 80 advanced, emerging and developing economies in order o idenify he drivers of bank credi growh. They sudy he

6 growh of bank loans in he era of pos-lehman Brohers bankrupcy and selec i as he dependen variable in heir economeric model. I is shown ha counries wih faser economic growh afer he crisis presen higher growh of real bank credi, while economic growh of heir rading parners also helps o bring in higher loan growh. In addiion, higher credi growh is observed in economies wih money marke raes dropping he mos afer he crisis, implying ha real bank credi grows faser in counries where couner-cyclical moneary policy is more aggressive. On he oher hand, credi boom prior o he crisis is an imporan deerminan of credi conracion in he afermah of he crisis. Guo and Sepanyan (2011) conduc a cross-counry sudy abou he deerminans of bank credi growh in emerging-marke economies. They employ quarerly daa series, which are mainly sourced from he Inernaional Financial Saisics, World Economic Oulook and Global Financial Sabiliy Repor of he IMF. The daa spans from he firs quarer of 2001 o he second quarer of 2010 wih a coverage of 38 emerging economies from Asia, Europe, he Middle Eas and Africa. Bank credi o he privae secor is chosen as he dependen variable, while cerain explanaory variables are seleced in benchmark and alernaive specificaions. In he benchmark model, hey selec variables including foreign deposis, domesic deposis, real GDP, inflaion, deposi rae, exchange rae and he US Fed funds rae. In he alernaive specificaion, exernal facors such as change in bilaeral exchange raes and US M2 growh (as an alernaive measure of he global moneary condiion), as well as inernal facors such as he non-performing loan raio, are added. I is concluded ha he Asian counry group is a clear conras o oher groups in he sample. Is credi growh in all periods is mosly deermined by inernal facors, such as local GDP expansion and domesic deposis. On he oher hand, for he counry group of he European Union, credi expansion is mainly driven by foreign funding, which proves o be vulnerable o exernal shocks

7 3. Esimaion of Macao 3.1 Daa We primarily adop he mehodology presened in Guo and Sepanyan (2011) o he case of Macao. The effecs of various poenial inernal and exernal deerminans of credi growh are invesigaed by sandard economeric echniques including Uni Roo Tess and Ordinary Leas Squares (OLS). Iniially, he benchmark specificaion wih he core se of explanaory variables is employed. Addiional variables are added o he model in he second sage as an alernaive specificaion. We esimae various inernal and exernal facors for loans growh in wo ime spans, i.e. he full sample period and he period prior o he global financial crisis of 2008/09, in order o explore if here is a srucural break in he pos-crisis era. Original daa series are quarerly and sar from he year Loans o he privae secor or cusomer loans, i.e. he sum of loans & advances and bank accepances & rade bills discouned as presened in Macao s official financial saisics is specified as he dependen variable. Core independen variables include (i) cusomer deposis, which can be broken down ino residen deposis and non-residen deposis, (ii) composie CPI, (iii) GDP, (iv) hree-monh MOP ime deposi rae as local ineres rae, and (v) Hong Kong s bes lending rae as foreign ineres rae. Alernaive independen variables include (i) he non-performing loan (NPL) raio, (ii) broad money supply (M2) and (iii) economic growh of Macao s major rading parners, namely Mainland China and Hong Kong. I is noed ha all seleced variables are in he form of year-on-year change, excep ineres raes and he NPL raio. Conducing he Uni Roo Tess on he variables is required o examine wheher he daa series are saionary in order o avoid spurious OLS regression resuls for furher esimaion. We employ he Augmened Dickey Fuller (ADF) es, and is resuls are presened in Table 1. Mos of he daa series are saionary and saisically significan a he 1% or 5% level as saed

8 Table 1: Augmened Dickey Fuller Tes for Uni Roo on Seleced Variables Variable Tes Saisic Remark Cusomer loans -2.68* H 0 is rejeced. Residen loans -4.66* H 0 is rejeced. Non-residen loans -2.50** H 0 is rejeced. Residen deposis -3.48* H 0 is rejeced. Non-residen deposis -2.77* H 0 is rejeced. 1 s difference of composie CPI -4.76* H 0 is rejeced. 1 s difference of real GDP -3.90* H 0 is rejeced. 3-monh MOP ime deposi rae -2.20** H 0 is rejeced. Hong Kong bes lending rae -4.56* H 0 is rejeced. M2-3.40* H 0 is rejeced. NPL raio -2.41** H 0 is rejeced. 1 s difference of Hong Kong real GDP -5.19* H 0 is rejeced. 1 s difference of Mainland China real GDP -4.75* H 0 is rejeced. Noes: 1. Null hypohesis γ=0 agains alernaive hypohesis γ<0. Null hypohesis is rejeced when he es saisic is less han he criical value, i.e. no uni roo is presened. 2. All variables excep he NPL raio and ineres raes are expressed in year-on-year change. 3. The composie CPI of Macao is used for inflaion adjusing o obain real values of variables; he composie CPI of Hong Kong is used for inflaion adjusmen in Hong Kong s bes lending rae. 4. * and ** represen criical values of 1% and 5% respecively. Sources: Underlying daa from he AMCM, DSEC, Hong Kong Moneary Auhoriy and Hong Kong Census and Saisics Deparmen. 3.2 Esimaion models and resuls Based on Guo and Sepanyan (2011), he benchmark specificaion of he model is as follows: RL RY 4 = 0 + 1( Shdepo 4 RD ) + 2 ( Shforlia 4 RnrD ) + 3 p 4 + (1) 5 + RLDR RHKR 6 + ε where RL = real cusomer loans Shdepo = raio of oal deposis o oal privae secor credi RD = real residen deposis Shforlia = raio of non-residen deposis o oal privae secor credi RnrD = real non-residen deposis

9 P = 1 s differenced composie CPI RY = 1 s differenced real GDP RLDR = real 3-monh MOP ime deposi rae RHKR = real Hong Kong bes lending rae In order o conrol for he overall imporance of deposis as a funding source, residen and non-residen deposi growh are respecively weighed by he raios of residen deposis o privae-secor credi and non-residen deposis o privae secor credi wih a lag of four quarers. 2 Theoreically speaking, inflaion and GDP growh would have posiive influences on credi growh. Lasly, local hree-monh MOP ime deposi rae is seleced as a proxy for local moneary sance while Hong Kong s bes lending rae is used o represen exernal financial condiions. The esimaion resuls are presened in Table 2. Resuls of he benchmark specificaion are mixed even hough he goodness of fi of he model, wih an adjused R 2 of 0.65, is accepable. The esimaed coefficiens of deposis growh in he residen secor, inflaion and GDP growh do no have he heoreically expeced posiive signs. 3 Coefficiens of oher explanaory variables carry he expeced signs bu some of hem are saisically insignifican a 5% level. 2 This paper follows he assumpion ha more deposis lead o more credi as in Guo and Sepanyan (2011). In order o reduce confounding effecs of deposi growh on credi growh, we follow he pracice of Guo and Sepanyan (2011) o conrol for he overall imporance of deposis as a funding source. We would have o divide he respecive deposi by privae secor credi, which hus gives us he percenage of loans ha is sourced by deposis. The deposi-o-credi raio in lags reflecs he imporance of deposis as he funding source wihin a reasonably recen period. By weighing deposi growh wih he raio, he model would quaniaively provide a clear look of he rue effec of deposi growh on credi growh. 3 We have considered including public-secor deposis ino residen-secor deposis. However, he inclusion does no show informaive resuls for he esimaion

10 Table 2: Regression Resuls on Real Growh of Cusomer Loans Benchmark Specificaion (1) Dependen variable: Real cusomer loans Independen Esimaed Variable Coefficien P-value Lower 95% Upper 95% Inercep * (6.5000) RD * (0.1571) RnrD ** (0.1321) P * (0.5289) RY (0.0880) RLDR (0.9006) RHKR *** ( ) Adjused R 2 : 0.65 Observaions: 64 Noes: (i) Sandard errors are in parenheses. (ii) * Significan a 1%. (iii) ** Significan a 5%. (iv) *** Significan a 10%. In he second specificaion, real cusomer loans for he residen secor replace oal real cusomer loans as he dependen variable. For he explanaory variable, he lagged NPL raio is added o capure he effec of banks healh on domesic credi growh whereas he Hong Kong bes lending rae is removed. The alernaive specificaion is as follows: RLr RY 4 = 0 + 1( Shdepo 4 RD ) + 2( Shforlia 4 RnrD ) + 3 p 4 + (2) 5 + RLDR NPL ε where RLr = real cusomer loans for he residen secor

11 NPL = NPL raio Table 3 shows he esimaion resuls of he second specificaion. Table 3: Regression Resuls on Real Growh of Cusomer Loans (Residens Only) Specificaion (2) Dependen variable: Real cusomer loans for he residen secor Independen Esimaed Variable Coefficien P-value Lower 95% Upper 95% Inercep * (1.4844) RD ** (0.0755) RnrD ** (0.0601) P * (0.2523) RY *** (0.0428) RLDR * (0.1963) NPL * (0.1064) Adjused R 2 : 0.85 Observaions: 64 Noes: (i) Sandard errors are in parenheses. (ii) * Significan a 1%. (iii) ** Significan a 5%. (iv) *** Significan a 10%. Based on he resuls of specificaion (2), economic growh, local deposi rae and banks healh saus are saisically significan variables wih heoreically expeced signs. Moreover, he goodness of fi improves wih he inclusion of he addiional explanaory variable. The posiive sign carried by he esimaed coefficien of he firs differenced real GDP growh exhibis he posiive relaionship beween credi growh and economic expansion; he coefficien indicaes ha a one percenage poin rise in real GDP growh from he same period of he preceding year spurs he real growh of residen credi o rise by 0.1 percenage poin

12 The esimaed coefficien of local ime deposi rae, which is a proxy for local moneary sance, carries a heoreically correc negaive sign, indicaing ha igher moneary sance or higher deposi ineres rae resuls in slower credi growh by abou one-o-one proporion. However, i should be noed ha ineres rae movemens of he wo SARs are similar given he linked exchange rae arrangemen beween he MOP and HKD. Hence, he disincion of is role as an exernal or inernal facor migh no be sharp o he edge. 4 Our esimaed resuls also suppor he convenional hough ha worsening banks healh reduces credi expansion. In he capioned period, he local banking secor winessed remendous improvemen in asse qualiy as refleced in he persisen downrend of he NPL raio, which would encourage he banking secor o exend loans in recen years. The negaive sign of he NPL raio coefficien implies ha deerioraion in banks asse qualiy brings abou a negaive impac on he growh of cusomer loans. A one percenage poin rise in he NPL raio is likely o drag residen credi growh by 0.6 percenage poins. However, variables ha represen he radiional source of bank funds show mixed resuls. Growh in residen deposis does no show an expeced posiive relaionship wih growh in residen credi. On he oher hand, non-residen deposi growh has a posiive impac on credi growh and he variable s coefficien is saisically significan. In he hird specificaion, he dependen variable is he real growh of cusomer loans for he non-residen secor. We apply Hong Kong s bes lending rae o represen he exernal financial environmen in view of he close financial relaionship of Macao wih Hong Kong. Meanwhile, a weighed average of Mainland China and Hong Kong GDP is included o reflec he performance of Macao s major economic parners. 4 We have ried broad money supply M2, insead of local ineres rae, as a proxy for Macao s moneary condiion. However, he broad money series do no show informaive resuls in our model. Therefore, he local deposi rae series remain in use

13 Mainland China and Hong Kong are also radiionally leading desinaions for fund placemens of Macao banks. The specificaion (3) is as follows: NRLr RY 4 = 0 + 1( Shdepo 4 RD ) + 2 ( Shforlia 4 RnrD ) 5 + RHKR NPL CNHK ε + p (3) where NRLr = real cusomer loans for he non-residen secor RHKR = real Hong Kong s bes lending rae CNHK = 1 s differenced real GDP of Mainland China and Hong Kong Table 4 shows he esimaion resuls of he hird specificaion. The esimaion resuls for specificaion (3) also show ha igher exernal liquidiy condiions would reduce credi exension by he local banking secor, especially under an environmen of similar ineres rae movemens beween Macao and Hong Kong. The change of Hong Kong s bes lending rae, a variable o reflec exernal moneary condiions, is a saisically significan deerminan of real growh of credi o he nonresiden secor. A one percenage poin rise in he Hong Kong lending rae is likely o drag non-residen credi growh o reduce by 3.7 percenage poins. However, he low level of he adjused R 2 suggess ha he dependen variable in ha specificaion was no explained well by hose explanaory variables

14 Table 4: Regression Resuls on Real Growh of Cusomer Loans (Non-residens Only) Specificaion (3) Dependen variable: Real cusomer loans for he non-residen secor Independen Esimaed Variable Coefficien P-value Lower 95% Upper 95% Inercep E-11* (6.5666) RD ** (0.4053) RnrD (0.3209) P ** (1.8979) RY *** (0.2792) RHKR * (1.1379) NPL (0.5617) CNHK (1.0902) Adjused R 2 : 0.36 Observaions: 64 Noes: (i) Sandard errors are in parenheses. (ii) * Significan a 1%. (iii) ** Significan a 5%. (iv) *** Significan a 10%. To observe he siuaion before he global financial crisis in 2008 or possible difference in pre-crisis era, we proceed o run he regression of specificaions (2) and (3) for he pre-crisis period. Esimaion resuls are shown in Table 5. As for he real growh of credi exended o residens in he pre-crisis sample period, he esimaed coefficien of lagged local ineres rae coninues o carry a heoreically expeced sign and is saisically significan a he 1% level, indicaing ha he rise in local ineres rae has a negaive impac on credi growh. The NPL raio, which reflecs he healh of he banking secor, also remains significan in he period. On he exernal fron, non-residen deposis becomes saisically significan in he pre-crisis

15 sample period; he posiive-sign esimaed coefficien reflecs ha a one percenage poin rise in non-residen deposis growh pushes residen credi growh up by a moderae 0.2 percenage poins. Table 5: Regression Resuls on Real Growh of Cusomer Loans in Pre-crisis Period Specificaions (2) & (3) Pre-crisis Sample: Q2 Real Cusomer Loans (Residens) Real Cusomer Loans (Non-residens) Independen Variable Esimaed Coefficien P-value Lower 95% Upper 95% Esimaed Coefficien P-value Lower 95% Upper 95% Inercep E-06* * (2.8651) ( ) RD (0.1034) (0.6757) RnrD * (0.0745) (0.5004) P * (0.5642) (4.6495) RY (0.0554) (0.3663) RLDR * (0.3324) NPL * * (0.1634) (0.6490) RHKR * (2.4970) CNHK (2.3671) Adjused R 2 : Observaions: Noes: (i) Sandard errors are in parenheses. (ii) * Significan a 1%. Concurrenly, esimaed resuls for real growh of credi exended o non-residens in he pre-crisis sample period are largely in line wih he resuls for he full sample period. The exernal moneary condiions coninue o show saisically significan impac on he dependen variable. Similarly o he resuls for he full-sample period,

16 he goodness of fi of he non-residen model in he pre-crisis sample period is no as saisfacory as ha of he residen model. 4. Conclusion: Inerpreaions of Resuls This paper assesses possible inernal and exernal facors for bank credi growh in Macao by a model originally developed by Guo and Sepanyan (2011). Separae OLS regressions are run for he residen and non-residen secors. Our esimaion shows ha loans exended o residens are beer presened by he economeric model in erms of he goodness of fi. Neverheless, esimaion resuls separaely for he residen and non-residen secors give differen insighs and resuls for full-sample period and pre-crisis sample period are generally consisen wih each oher, possibly reflecing he relaively mild impac of he financial sunami on he Macao financial sysem. Inernal facors as a whole play a more imporan role han exernal facors in credi expansion in Macao, especially for he residen secor or domesic credi. Saisically significan inernal deerminans include he healh saus of banks represened by he NPL raio, local economic performances represened by real GDP growh, and domesic moneary condiions by local ime deposi ineres rae. Our resuls are generally consisen wih he original lieraure s findings on he Asian counry group. The significance of he inernal facor, i.e. he NPL raio, is undersandable, as Macao banks would adop a more cauious credi sraegy when he NPL raio is high, as experienced in he Asian financial crisis. In view of he subsanial improvemen in banks asse qualiy, Macao banks have been winessed o become more aggressive in lending, resuling in a noable pick-up in bank credi in recen years. Neverheless, i should be noed ha he NPL raio is a lagging indicaor of bank asse qualiy, as presened in our model, and could deeriorae swifly in economically or financially difficul imes. Therefore, local banks should formulae proper expecaions for fuure asse qualiy, prudenly incorporaing a forward-looking aiude in credi operaion

17 In he meanime, our esimaion resuls sugges ha Macao s GDP growh has a moderae posiive impac on credi growh. Buoyan economic environmens encourage business invesmen and privae consumpion, which would require more bank finance. The srong economy of Macao, especially in he pas decade, was advanageous o banks o operae and mainain business healh, which also proves o be significan in our model. Looking ahead, he consolidaing economy of Macao in he shor erm could creae some cooling effec on credi growh. Banks should remain aenive o loans qualiy and he associaed credi risk in view of he changing economic environmen. Domesic moneary sance also shows a saisically significan impac on credi growh for he residen secor. On he fron of bank credi o he non-residen secor, exernal facors, paricularly exernal moneary condiions, appear o have more significan impacs on exernal credi growh. I should be noed ha he local ineres-rae rend largely follows ha in Hong Kong or he USA. The exremely low ineres-rae environmen in he pas few years has creaed relaxed moneary condiions, which have induced credi o grow. The US Federal Reserve has already sared is process of moneary policy normalisaion and is expecing o raise he benchmark Fed funds rae in he near fuure. The rae hike cycle could have a negaive impac on credi growh in general. Our esimaion resuls show ha deposis generally do no have significan effec on credi growh, excep for residen credi in he pre-crisis period. Tradiionally, deposis are an imporan source of funds in he local banking secor and mainaining a balance beween loans and deposis is imporan for he sabiliy of he financial secor. The weak linkage beween deposis and loans suggesed by our esimaion resuls heighens cerain concern for financial vulnerabiliy, especially when credi growh coninues o oupace ha of deposis and he loan-o-deposi raio is a relaively high level. The liquidiy posiion of banks is also likely o be weakened

18 Lasly, he model s goodness of fi in he specificaion for he residen secor is saisfacory in he full sample period and he pre-crisis sample period. Ye, he values of he adjused R 2 for he non-residen secor series in boh sample periods sand comparaively lower han is counerpar. Such a resul migh sugges ha some oher poenial facors for exernal credi growh, which are no included in exising lieraure, are missing in our model. I would require furher research in he fuure in view of he increasing imporance of exernal credi in Macao banks asse porfolio

19 References Aisen, A., and M. Franken (2010), Bank Credi during he 2008 Financial Crisis: A Cross-Counry Comparison, IMF Working Paper, No. 10/47. Cheang, N. and I. Choy (2011), Aggregae Financial Sabiliy Index for an Early Warning Sysem, Macao Moneary Research Bullein, Issue No. 21, Drehmann, M. (2013), Toal Credi as an Early Warning Indicaor for Sysemic Banking Crises, BIS Quarerly Review, June. Filardo, A. (2008), Household Deb, Moneary Policy and Financial Sabiliy: Sill Searching for a Unifying Model, BIS Asian Office Research Research Papers, 22 April. Gigineishvil N. (2011), Deerminans of Ineres Rae Pass-Through: Do Macroeconomic Condiions and Financial Marke Srucure Maer?, IMF Working Paper, No. 11/176. Guo, K. and V. Sepanyan (2011), Deerminans of Bank Credi in Emerging Marke Economies, IMF Working Paper, No. 11/51. Liu, M. H. and M. Wang (2012), Deposi Rae Pass-hrough and Compeiion: Evidence of Macao, Macao Moneary Research Bullein, Issue No. 22, McGuire, P., and N. Tarashev (2008), Bank Healh and Lending o Emerging Markes, BIS Quarerly Review, December, Takas, E. (2010), Was i Credi Supply? Cross-border Bank Lending o Emerging Marke Economies during he Financial Crisis, BIS Quarerly Review, June,

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans

INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans Banking Sysem, Real Esae Markes, and Nonperforming Loans 43 INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62 Banking Sysem, Real Esae Markes, and Nonperforming Loans Wen-Chieh Wu Deparmen

More information

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

Appendix D Flexibility Factor/Margin of Choice Desktop Research

Appendix D Flexibility Factor/Margin of Choice Desktop Research Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

Determinants of Bank Long-term Lending Behavior in the Central African Economic and Monetary Community (CEMAC)

Determinants of Bank Long-term Lending Behavior in the Central African Economic and Monetary Community (CEMAC) Review of Economics & Finance Submied on 05/Jan./2012 Aricle ID: 1923-7529-2012-02-107-08 Consan, Fouopi Djiogap and Augusin Ngomsi Deerminans of Bank Long-erm Lending Behavior in he Cenral African Economic

More information

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S. Paul Ferley Assisan Chief Economis 416-974-7231 paul.ferley@rbc.com Nahan Janzen Economis 416-974-0579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.

More information

Working paper No.3 Cyclically adjusting the public finances

Working paper No.3 Cyclically adjusting the public finances Working paper No.3 Cyclically adjusing he public finances Thora Helgadoir, Graeme Chamberlin, Pavandeep Dhami, Sephen Farringon and Joe Robins June 2012 Crown copyrigh 2012 You may re-use his informaion

More information

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1 Journal of Economic Cooperaion, 8, (007), 83-98 MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jaria Duasa 1 The objecive of he paper is wofold. Firs, is o examine causal relaionship

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

Risk Modelling of Collateralised Lending

Risk Modelling of Collateralised Lending Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

Capital Flows and Current Account Sustainability: The Ghanaian Experience

Capital Flows and Current Account Sustainability: The Ghanaian Experience CREDIT Research Paper No. 07/07 Capial Flows and Curren Accoun Susainabiliy: The Ghanaian Experience by Absrac Maxwell Opoku-Afari Boh heoreical and operaional definiions of curren accoun susainabiliy

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators

Determinants of Capital Structure: Comparison of Empirical Evidence from the Use of Different Estimators Serrasqueiro and Nunes, Inernaional Journal of Applied Economics, 5(1), 14-29 14 Deerminans of Capial Srucure: Comparison of Empirical Evidence from he Use of Differen Esimaors Zélia Serrasqueiro * and

More information

What was the key determinant of loan quality deterioration of Russian banks

What was the key determinant of loan quality deterioration of Russian banks Wha was he key deerminan of loan qualiy deerioraion of Russian banks during he las crisis: macroeconomic condiions or risky business sraegies? 1 Anna Pesova, Mikhail Mamonov 2 Absrac During he laes crisis

More information

Premium Income of Indian Life Insurance Industry

Premium Income of Indian Life Insurance Industry Premium Income of Indian Life Insurance Indusry A Toal Facor Produciviy Approach Ram Praap Sinha* Subsequen o he passage of he Insurance Regulaory and Developmen Auhoriy (IRDA) Ac, 1999, he life insurance

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

Loan-to-value ratio as a macroprudential tool Hong Kong SAR s experience and cross-country evidence

Loan-to-value ratio as a macroprudential tool Hong Kong SAR s experience and cross-country evidence Loan-o-value raio as a macroprudenial ool Hong Kong SAR s experience and cross-counry evidence Hong Kong Moneary Auhoriy I. Inroducion The 2008 09 global financial crisis has demonsraed ha moneary policy

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

Debt and Fiscal Sustainability in Sri Lanka

Debt and Fiscal Sustainability in Sri Lanka Inernaional Journal of Scienific and Research Publicaions, Volume 2, Issue 3, March 212 1 Deb and Fiscal Susainabiliy in Sri Lanka N. P. Ravindra Deyshappriya Uva Wellassa Universiy SRI LANKA Absrac- Fiscal

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,

More information

Stock Market Liquidity and the Macroeconomy: Evidence from Japan

Stock Market Liquidity and the Macroeconomy: Evidence from Japan WP/05/6 Sock Marke Liquidiy and he Macroeconomy: Evidence from Japan Woon Gyu Choi and David Cook 2005 Inernaional Moneary Fund WP/05/6 IMF Working Paper IMF Insiue Sock Marke Liquidiy and he Macroeconomy:

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity Migraion, Spillovers, and Trade Diversion: The mpac of nernaionalizaion on Domesic Sock Marke Aciviy Ross Levine and Sergio L. Schmukler Firs Draf: February 10, 003 This draf: April 8, 004 Absrac Wha is

More information

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge

More information

Performance Center Overview. Performance Center Overview 1

Performance Center Overview. Performance Center Overview 1 Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener

More information

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States Deparmen of Economics Discussion Paper 00-07 Muliple Srucural Breaks in he Nominal Ineres Rae and Inflaion in Canada and he Unied Saes Frank J. Akins, Universiy of Calgary Preliminary Draf February, 00

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity Migraion, Spillovers, and Trade Diversion: The mpac of nernaionalizaion on Sock Marke Liquidiy Ross Levine and Sergio L. Schmukler Firs Draf: February 10, 2003 This draf: March 30, 2003 Absrac Wha is he

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

The Determinants of Trade Credit: Vietnam Experience

The Determinants of Trade Credit: Vietnam Experience Proceedings of he Second Asia-Pacific Conference on Global Business, Economics, Finance and Social Sciences (AP15Vienam Conference) ISBN: 978-1-63415-833-6 Danang, Vienam, 10-12 July 2015 Paper ID: V536

More information

Individual Health Insurance April 30, 2008 Pages 167-170

Individual Health Insurance April 30, 2008 Pages 167-170 Individual Healh Insurance April 30, 2008 Pages 167-170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve

More information

Estimating the Term Structure with Macro Dynamics in a Small Open Economy

Estimating the Term Structure with Macro Dynamics in a Small Open Economy Esimaing he Term Srucure wih Macro Dynamics in a Small Open Economy Fousseni Chabi-Yo Bank of Canada Jun Yang Bank of Canada April 18, 2006 Preliminary work. Please do no quoe wihou permission. The paper

More information

The Asymmetric Effects of Oil Shocks on an Oil-exporting Economy*

The Asymmetric Effects of Oil Shocks on an Oil-exporting Economy* CUADERNOS DE ECONOMÍA, VOL. 47 (MAYO), PP. 3-13, 2010 The Asymmeric Effecs of Oil Shocks on an Oil-exporing Economy* Omar Mendoza Cenral Bank of Venezuela David Vera Ken Sae Universiy We esimae he effecs

More information

The Effect of Monetary Policy on Private Money Market Rates in Jamaica: An Empirical Microstructure Study. Derek Leith

The Effect of Monetary Policy on Private Money Market Rates in Jamaica: An Empirical Microstructure Study. Derek Leith The Effec of Moneary Policy on Privae Money Marke Raes in Jamaica: An Empirical Microsrucure Sudy Derek Leih Research Services Deparmen Research and Economic Programming Division Bank of Jamaica Absrac

More information

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines* The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May

More information

Can Higher Inflation Be More Stable? Evidence from Japan and the US

Can Higher Inflation Be More Stable? Evidence from Japan and the US Journal of Inernaional Economic Sudies (), No9, 9 6 The Insiue of Comparaive Economic Sudies, Hosei Universiy Can Higher Inflaion Be More Sable? Evidence from Japan and he US Georgios Karras* Universiy

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

ARCH 2013.1 Proceedings

ARCH 2013.1 Proceedings Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference

More information

INTRODUCTION TO FORECASTING

INTRODUCTION TO FORECASTING INTRODUCTION TO FORECASTING INTRODUCTION: Wha is a forecas? Why do managers need o forecas? A forecas is an esimae of uncerain fuure evens (lierally, o "cas forward" by exrapolaing from pas and curren

More information

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers

An Empirical Study on Capital Structure and Financing Decision- Evidences from East Asian Tigers An Empirical Sudy on Capial Srucure and Financing Decision- Evidences from Eas Asian Tigers Dr. Jung-Lieh Hsiao and Ching-Yu Hsu, Naional Taipei Universiy, Taiwan Dr. Kuang-Hua Hsu, Chaoyang Universiy

More information

ESTIMATE OF POTENTIAL GROSS DOMESTIC PRODUCT USING THE PRODUCTION FUNCTION METHOD

ESTIMATE OF POTENTIAL GROSS DOMESTIC PRODUCT USING THE PRODUCTION FUNCTION METHOD Economeric Modelling Deparmen Igea Vrbanc June 2006 ESTIMATE OF POTENTIAL GROSS DOMESTIC PRODUCT USING THE PRODUCTION FUNCTION METHOD CONTENTS SUMMARY 1. INTRODUCTION 2. ESTIMATE OF THE PRODUCTION FUNCTION

More information

Real long-term interest rates and monetary policy: a cross-country perspective

Real long-term interest rates and monetary policy: a cross-country perspective Real long-erm ineres raes and moneary policy: a cross-counry perspecive Chrisian Upper and Andreas Worms, 1 Deusche Bundesbank 1. Inroducion The real rae of ineres is a cenral concep in economics. I represens

More information

CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS

CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS INTERNATIONAL ECONOMICS & FINANCE JOURNAL Vol. 6, No. 1, January-June (2011) : 67-82 CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS Andreas G. Georganopoulos *, Dimiris F. Kenourgios ** and Anasasios

More information

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,

More information

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen A Noe on he Impac of Opions on Sock Reurn Volailiy Nicolas P.B. Bollen ABSTRACT This paper measures he impac of opion inroducions on he reurn variance of underlying socks. Pas research generally finds

More information

Adversity or Strategy?: The Effects of Credit Constraint and Expectation on Mortgage Default and Personal Bankruptcy Decisions

Adversity or Strategy?: The Effects of Credit Constraint and Expectation on Mortgage Default and Personal Bankruptcy Decisions Adversiy or Sraegy?: The Effecs of Credi Consrain and Expecaion on Morgage Defaul and Personal Bankrupcy Decisions A hesis submied by Yoshiyuki Miyoshi In parial fulfillmen of he requiremens for he degree

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Global Financial Crisis, Competition and Loan Pricing in Australia. Ming-Hua Liu a, Dimitris Margaritis b* Zhuo Qiao c. Abstract

Global Financial Crisis, Competition and Loan Pricing in Australia. Ming-Hua Liu a, Dimitris Margaritis b* Zhuo Qiao c. Abstract Global Financial Crisis, Compeiion and Loan Pricing in Ausralia By Ming-Hua Liu a, Dimiris Margariis b* Zhuo Qiao c Absrac In his sudy, we examine he impac of he global financial crisis on he pricing of

More information

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect Journal of Economics, Business and Managemen, Vol., No. 4, November 203 Oil Price Flucuaions and Firm Performance in an Emerging Marke: Assessing Volailiy and Asymmeric Effec Hawai Janor, Aisyah Abdul-Rahman,

More information

Applied Econometrics and International Development Vol. 10-2 (2010) mail: idiluz@yeditepe.edu.tr

Applied Econometrics and International Development Vol. 10-2 (2010) mail: idiluz@yeditepe.edu.tr Applied Economerics and Inernaional Developmen Vol. 10-2 (2010) DETERMINANTS OF CURRENT ACCOUNT: THE RELATION BETWEEN INTERNAL AND EXTERNAL BALANCES IN TURKEY UZ, Idil 1 Absrac This paper considers he

More information

Monetary Policy & Real Estate Investment Trusts *

Monetary Policy & Real Estate Investment Trusts * Moneary Policy & Real Esae Invesmen Truss * Don Bredin, Universiy College Dublin, Gerard O Reilly, Cenral Bank and Financial Services Auhoriy of Ireland & Simon Sevenson, Cass Business School, Ciy Universiy

More information

Loans, Interest Rates and Guarantees: Is There a Link? 1

Loans, Interest Rates and Guarantees: Is There a Link? 1 Loans, Ineres Raes and Guaranees: Is There a Link? 1 G. Calcagnini, F. Farabullini e G. Giombini 1. Inroducion This paper aims a shedding ligh on he influence of guaranees on he loan pricing (banking ineres

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter?

Measuring the Downside Risk of the Exchange-Traded Funds: Do the Volatility Estimators Matter? Proceedings of he Firs European Academic Research Conference on Global Business, Economics, Finance and Social Sciences (EAR5Ialy Conference) ISBN: 978--6345-028-6 Milan-Ialy, June 30-July -2, 205, Paper

More information

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity

Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Activity Migraion, Spillovers, and rade Diversion: he mpac of nernaionalizaion on Domesic Sock Marke Aciviy Ross Levine and Sergio L. Schmukler January 6, 006 Absrac his paper sudies he relaion beween inernaionalizaion

More information

1. Fund types and population covered

1. Fund types and population covered Performance and financial overview of invesmen funds - France 1 March 016 The Banque de France draws up he following informaion for invesmen funds: 1 monhly saisics on fund ousandings and flows, and on

More information

When Is Growth Pro-Poor? Evidence from a Panel of Countries

When Is Growth Pro-Poor? Evidence from a Panel of Countries Forhcoming, Journal of Developmen Economics When Is Growh Pro-Poor? Evidence from a Panel of Counries Aar Kraay The World Bank Firs Draf: December 2003 Revised: December 2004 Absrac: Growh is pro-poor

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán

CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán CIIF Working Paper WP no 651 Sepember, 2006 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH José Manuel Campa Angel Gavilán IESE Business School Universiy of Navarra Avda. Pearson, 21 08034

More information

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA Journal of Applied Economics, Vol. IV, No. (Nov 001), 313-37 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

International Business & Economics Research Journal March 2007 Volume 6, Number 3

International Business & Economics Research Journal March 2007 Volume 6, Number 3 Weak Form Efficiency In Indian Sock Markes Rakesh Gupa, (E-mail: r.gupa@cqu.edu.au), Cenral Queensland Universiy, Ausralia Parikshi K. Basu, (E-mail: pbasu@csu.edu.au), Charles Sur Universiy, Ausralia

More information

is a random vector with zero mean and Var(e

is a random vector with zero mean and Var(e Economics Leers 73 (2001) 147 153 www.elsevier.com/ locae/ econbase Esimaion of direc and indirec impac of oil price on growh Tilak Abeysinghe* Deparmen of Economics, Naional Universiy of Singapore, 10Ken

More information

Terms of Trade and Present Value Tests of Intertemporal Current Account Models: Evidence from the United Kingdom and Canada

Terms of Trade and Present Value Tests of Intertemporal Current Account Models: Evidence from the United Kingdom and Canada Terms of Trade and Presen Value Tess of Ineremporal Curren Accoun Models: Evidence from he Unied Kingdom and Canada Timohy H. Goodger Universiy of Norh Carolina a Chapel Hill November 200 Absrac This paper

More information

Does informed trading occur in the options market? Some revealing clues

Does informed trading occur in the options market? Some revealing clues Does informed rading occur in he opions marke? Some revealing clues Blasco N.(1), Corredor P.(2) and Sanamaría R. (2) (1) Universiy of Zaragoza (2) Public Universiy of Navarre Absrac This paper analyses

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper

More information

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES Juan Ángel Lafuene Universidad Jaume I Unidad Predeparamenal de Finanzas y Conabilidad Campus del Riu Sec. 1080, Casellón

More information

Investigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy)

Investigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy) saqartvelos mecnierebata erovnuli akademiis moambe,. 9, #2, 2015 BULLETIN OF THE GEORGIAN NATIONAL ACADEMY OF SCIENCES, vols. 9, no. 2, 2015 Economy Invesigaion of he effec of he degree of openness of

More information

Title: Who Influences Latin American Stock Market Returns? China versus USA

Title: Who Influences Latin American Stock Market Returns? China versus USA Cenre for Global Finance Working Paper Series (ISSN 2041-1596) Paper Number: 05/10 Tile: Who Influences Lain American Sock Marke Reurns? China versus USA Auhor(s): J.G. Garza-García; M.E. Vera-Juárez Cenre

More information

The Influence of Iran's Entrance into the WTO on Major Indexes of Tehran Stock Exchange

The Influence of Iran's Entrance into the WTO on Major Indexes of Tehran Stock Exchange 2013, TexRoad Publicaion ISSN: 2090-4274 Journal of Applied Environmenal and Biological Sciences www.exroad.com The Influence of Iran's Enrance ino he WTO on Major Indexes of Tehran Sock Exchange Darush

More information

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment

Research on Inventory Sharing and Pricing Strategy of Multichannel Retailer with Channel Preference in Internet Environment Vol. 7, No. 6 (04), pp. 365-374 hp://dx.doi.org/0.457/ijhi.04.7.6.3 Research on Invenory Sharing and Pricing Sraegy of Mulichannel Reailer wih Channel Preference in Inerne Environmen Hanzong Li College

More information

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d

Issues Using OLS with Time Series Data. Time series data NOT randomly sampled in same way as cross sectional each obs not i.i.d These noes largely concern auocorrelaion Issues Using OLS wih Time Series Daa Recall main poins from Chaper 10: Time series daa NOT randomly sampled in same way as cross secional each obs no i.i.d Why?

More information

Working Paper. The Greek financial crisis: growing imbalances and sovereign spreads WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO

Working Paper. The Greek financial crisis: growing imbalances and sovereign spreads WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO BANK OF GREECE EUROSYSTEM Working Paper The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson Sephan G. Hall George S. Tavlas MARCH 2011 124 WORKINKPAPERWORKINKPAPERWORKINKPAPERWORKINKPAPERWO

More information

The impact of the trading systems development on bid-ask spreads

The impact of the trading systems development on bid-ask spreads Chun-An Li (Taiwan), Hung-Cheng Lai (Taiwan)* The impac of he rading sysems developmen on bid-ask spreads Absrac Following he closure, on 30 June 2005, of he open oucry sysem on he Singapore Exchange (SGX),

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

Flight-to-Liquidity and Global Equity Returns

Flight-to-Liquidity and Global Equity Returns Fligh-o-Liquidiy and Global Equiy Reurns Ruslan Goyenko and Sergei Sarkissian * Firs draf: November 2007 This draf: May 2008 * The auhors are from he Faculy of Managemen, McGill Universiy, Monreal, QC

More information

MEDDELANDEN FRÅN SVENSKA HANDELSHÖGSKOLAN SWEDISH SCHOOL OF ECONOMICS AND BUSINESS ADMINISTRATION WORKING PAPERS

MEDDELANDEN FRÅN SVENSKA HANDELSHÖGSKOLAN SWEDISH SCHOOL OF ECONOMICS AND BUSINESS ADMINISTRATION WORKING PAPERS MEDDELANDEN FRÅN SVENSKA HANDELSHÖGSKOLAN SWEDISH SCHOOL OF ECONOMICS AND BUSINESS ADMINISTRATION WORKING PAPERS 3 Jukka Liikanen, Paul Soneman & Oo Toivanen INTERGENERATIONAL EFFECTS IN THE DIFFUSION

More information