Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets

2018 ◽  
Vol 54 ◽  
pp. 178-192
Author(s):  
Subramaniam Sowmya ◽  
Krishna Prasanna
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Yield Curve ◽  
Macroeconomic Factors

scholarly journals Nexus between Volatility of Stocks and Macroeconomic Factors during Global Financial Crisis: Evidence from Conventional & Islamic Stocks

2020 ◽  
Vol 6 (2) ◽  
pp. 465-473
Author(s):  
Majid Imdad Khan ◽  
Waheed Akhter ◽  
Muhammad Usman Bhutta
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Industrial Production ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
The Relationship

Purpose: The study explores the relationship between the volatility of stock return of markets (Islamic & conventional) and macroeconomic factors by using GARCH in Mean (1,1) model during global financial crisis. Design/Methodology/Approach: monthly data for the period from 04 Jan, 2005 to 31st Dec, 2015. The Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (DJII) & Dow Jones world Islamic Index (DJWI)-Benchmark), Conventional stock markets (Shanghai Stock Exchange (SSE),Bombay Stock Exchange (BSE) & Pakistan Stock Exchange (PSE) and Macroeconomic factors (Inflation, Interest Rate, Oil prices and Industrial Production) are taken into consideration. Findings: The results explored that inflation rate influenced the returns of conventional stock markets than Islamic stock markets. Moreover, the volatility components for macroeconomic factors i.e. inflation, interest rate and oil prices are more volatile but larger to industrial production during global financial crisis. Implications/Originality/Value: However, the frequency of market volatility for Islamic stock market is lower than conventional stock markets that mean that the investment in Islamic stock markets seems to be safe flight than conventional stock markets during global financial crisis.

scholarly journals Post Financial Crisis and Macroeconomic Fundamentals on Household Debt in Advanced Economies

2017 ◽  
Vol 2 (3) ◽  
pp. 36-41
Author(s):  
Siti Aminah Mainal ◽  
Catherine S F Ho ◽  
Jamaliah Mohd Yusof
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Panel Data Analysis ◽  
Control Variable ◽  
Housing Price ◽  
Household Debt ◽  
Macroeconomic Factors ◽  
Crisis Period ◽  
Advanced Economies ◽  
Macroeconomic Fundamentals

Objective - The unwarranted household debt initiated the global financial crisis which led to severe worldwide financial instability. Deleveraging process which has been taking place since the crisis has been slow and there is no quick fix to the debt issue. The lack of study on the effect of financial crisis on household debt justifies the objective to investigate macroeconomic fundamentals and financial crisis on household debt. Methodology/Technique - This study applies panel data analysis in ten advanced economies from 2001 to 2013. The random effect (RE) generalized least square estimator is used in the regression to examine macroeconomic factors and post financial crisis period as control variable on household debt. Findings - Findings confirm that post financial crisis period has significant negative effect on household debt which affirmed the deleveraging process in most advanced economies. Economic growth and household disposable income too have negative relation with household debt. Nonetheless, macroeconomic factors such as inflation, housing price and household consumption encourage household debt in advanced economies. Novelty - This study suggests that empirical evidence support that household avert from borrowing post financial crisis. Intensification of housing price and other consumption expenditure, if left unrestrained, may elicit another debt crisis. These are challenges faced by policy makers to curb household debt which entail risks for households, the financial system and the wider economy. Type of Paper: Empirical Keywords: Household Debt; Post Financial Crisis; Macroeconomic Factors. JEL Classification: G01, G02.

scholarly journals Financial System Stability in Indonesia during The Global Financial Crisis 2007/2008: Conventional vis-à-vis Islamic

2015 ◽  
Vol 2 (2) ◽  
pp. 136
Author(s):  
Muh. Rudi Nugroho ◽  
Ibnu Qizam
Keyword(s):  
Financial Crisis ◽  
Financial Stability ◽  
Global Financial Crisis ◽  
Internal Variable ◽  
Islamic Banks ◽  
Z Score ◽  
Internal Factors ◽  
Macroeconomic Factors ◽  
Conventional Banks ◽  
The Global Financial Crisis

This research aims to analyze the financial stability especially in dual banking system in Indonesia and discusses the role of Islamic banks in the financial stability of national banks. In addition, this study also focuses on the analysis of the determinants of financial stability namely on the national banking Industry. This research uses panel data in which combined data between time series and cross section with an observation periods are 2005:1 - 2009:1 by using an internal variable of banks and macroeconomic data. Z-score analysis will be used as main tool analysis regressed with internal variable. Empirical results obtained from this research shows that during the period of 2005:1 - 2009:1 banking financial stability, for both conventional and Islamic and categorized based on an asset scale, the movement of the Z-score value is different. From the Z-score values analysis shows that Islamic banks are the most stable bank with a trend increased sharply when compared with other banks, namely conventional couterparts. If viewed from each category, small conventional banks more stable than small Islamic banks, and there are declining trend in 2005:1 to 2009:1. Whereas for large and middle conventional banks the trend of the Z-score movement are in the same patterns. This study also founds that the determinant of the banking stability can be seen from two sides namely bank's internal factors and macroeconomic factors. Internal factors consist of: Income Diversity (ID), Credit or Financing (Loan), Total Assets (TA), Operational Cost (Cost), Cost Income (CI), Loan Asset (LA), Current Liability (CL), Cash to Current Liabilities (CCL), Capital Bank (MDL). While macroeconomic factors consist of: inflation, BI Rate, Exchange Rate, Composite Index (JCI), the Gross Domestic Product (GDP). This research also examined the extent to which the role of Islamic banks and the global financial crisis to the financial stability of national banking. This analysis shows that the global financial crisis and Islamic banks affect significantly to the financial stability of banking industries in Indonesia.

scholarly journals ANALYSIS OF HOUSEHOLD SAVING FACTORS IN BOSNIA AND HERZEGOVINA-APPLICATION OF ARDL METHODOLOGY

2020 ◽  
Vol XVIII (2) ◽  
pp. 73-83
Keyword(s):  
Financial Crisis ◽  
Bosnia And Herzegovina ◽  
Global Financial Crisis ◽  
Macroeconomic Factors ◽  
Private Saving ◽  
Household Saving ◽  
Time Deposits ◽  
Methodological Tool ◽  
Research Goal ◽  
The Global Financial Crisis

Most papers in the field of private saving deal with the analysis of private saving as a whole without special consideration of its individual components. This paper is, therefore, focused on the analysis of one of the components of private saving and its factors, and that is the household saving. The analysis was conducted on household saving in Bosnia and Herzegovina (BiH), which, viewed as the sum of saving and time deposits, recorded a cumulative growth of 97% from the outbreak of the global financial crisis until September 2016. The aim of this research is to determine which factors favored the positive trends of household saving in BiH in the period 2000q1-2016q3. As a methodological tool for achieving the research goal and testing the defined hypothesis, the ARDL methodology was used. By applying the ARDL methodology, the work hypothesis was confirmed. Macroeconomic factors have an impact on household saving in BiH.

scholarly journals The DEEWR Monthly Leading Indicator of Employment for Australia - A view from the inside

1970 ◽  
Author(s):  
Greg Connolly ◽  
Jan Lee
Keyword(s):  
Financial Crisis ◽  
Lead Time ◽  
Global Financial Crisis ◽  
Yield Curve ◽  
House Prices ◽  
Leading Indicator ◽  
Interest Rate Spread ◽  
The Usa ◽  
The Baltic ◽  
The Global Financial Crisis

The new DEEWR Monthly Leading Indicator of Employment for Australia has been in operation since July 2007. While it is too early to conduct a proper evaluation on its performance since it has only been released for around a year and a half, it is an opportune time to make some comments on how it has been performing. There has only been one turning point in the Indicator and in cyclical employment during this time - a peak in the Indicator in January 2008, followed by a peak in cyclical employment in April 2008. While the peak in cyclical employment was correctly predicted by the Indicator, the lead time was only three months, which is insufficient time to be really useful for policy or program responses. The three components of the Indicator with the highest weightings also had a lead time of around three months with cyclical employment. It is not feasible to conduct an up-to-date comparison with the previous version o f the Department 's Leading Indicator of Employment. This is because one of the components of the former Indicator was the ABS Job Vacancies series, which is no longer released by the ABS. The performance of the Indicator in the context of the Global Financial Crisis is discussed in this paper. There are many series that are newly being monitored by economic analysts in Australia to get a better understanding of the Global Financial Crisis and how it is likely to affect Australia. Examples of such series are US housing starts and established house prices, sub-prime mortgage delinquency rates in the USA, the US Treasury-Eurodollar interest rate spread and yield curve and the Baltic Exchange Dry Index o f shipping freight rates. While consideration could be given to including offshore indicators in a future version of the Indicator, it would be problematic to attempt to include most of them at this stage.

Impact of activity restrictions on risk taking of banks: does competition matter during crisis?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abu Hanifa Md. Noman ◽  
Che Ruhana Isa ◽  
Md Aslam Mia ◽  
Chan Sok-Gee
Keyword(s):  
Financial Crisis ◽  
Risk Taking ◽  
Global Financial Crisis ◽  
Policy Formulation ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Dynamic Panel Regression ◽  
Generalised Method Of Moments ◽  
The Impact ◽  
Activity Restrictions

Purpose This study aims to examine the impact of activity restrictions in shaping the risk-taking behaviour of banks through the channel of competition in different economic conditions. Design/methodology/approach The authors use a dynamic panel regression method, particularly a two-step system generalised method of moments to address the risk-taking persistence of banks and endogeneity of activity restrictions and competition with banks’ risk-taking using financial freedom and property rights as instrumental variables. Activity restrictions are computed by constructing an index based on the survey results of Barth et al. (2001, 2006, 2008 and 2013a). Competition is measured by the Panzar–Rosse H-statistic and risk-taking behaviour are measured by non-performing loan ratio and lnZ-score. In the investigation process, the authors control bank characteristics – size, efficiency, ownership and loan composition and macroeconomic factors – gross domestic product growth and inflation, and use 2,527 bank-year observations from 180 commercial banks of Association of the Southeast Asian Nations-five countries over the 1990–2014 period. Findings This study finds that activity restrictions exacerbate the risk-taking behaviour of the banks leading to changes in the channel of competition because of the “risk-shifting effect” of competition. The finding is robust by considering the financial crisis and alternative specifications. Research limitations/implications This study contributes to bank literature and policy formulation regarding the effect of activity restrictions on the risk-taking behaviour of banks, which is an issue of concern amongst bank regulators, policymakers and academics, especially in the aftermath of the 2008–2009 global financial crisis. Practical implications Understanding how the competition plays a role in the relationship between activity restrictions and the risk-taking of banks in different economic situations. Originality/value This study provides new insight into the bank literature by investigating the moderating role of competition on activity restrictions and the risk-taking behaviour of banks in a different economic environment.

scholarly journals The effects of the National Credit Act and the global financial crisis on domestic credit extension: Empirical evidence from South Africa

2012 ◽  
Vol 5 (1) ◽  
pp. 215-228 ◽  
Author(s):  
Chimwemwe Chipeta ◽  
Douglas Mbululu
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Credit Card ◽  
Global Financial Crisis ◽  
Ordinary Least Squares ◽  
Negative Influence ◽  
Macroeconomic Factors ◽  
The Global Financial Crisis ◽  
The Impact ◽  
National Credit Act

This paper examines the impact of the new National Credit Act (NCA) No. 34 of 2005 and the global financial crisis on credit extension provided by all monetary institutions in South Africa. The econometric approach is estimated by way of ordinary least squares while controlling for several macroeconomic factors. The findings indicate that there was a general increase in the consumer credit provision in the period subsequent to the full implementation of the Act. The promulgation of the Act increases credit card, bank overdrafts, other conventional loans and total credit to the private sector categories. The implementation of the Act fails to reverse this trend but exerts a negative influence on lease finance and the global financial crisis has significant negative effects on most of the credit provision categories. The paper seeks to investigate an under-researched area on the interrelatedness of credit provider regulation, financial crises and credit extension.

Determinants of banks’ risk-taking behavior, stability and profitability: evidence from GCC countries

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdulazeez Y.H. Saif-Alyousfi ◽  
Asish Saha
Keyword(s):  
Financial Crisis ◽  
Risk Taking ◽  
Global Financial Crisis ◽  
Generalized Method Of Moments ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Risk Taking Behavior ◽  
Conventional Banks ◽  
The Stability ◽  
The Global Financial Crisis

Purpose This paper aims to examine the effect of bank-specific, financial structure and macroeconomic factors on the risk-taking behavior, stability and profitability of banks in Gulf Cooperation Council (GCC) economies during 1998–2017. Design/methodology/approach The authors use a two-step system generalized method of moments dynamic model to analyze the data. Findings The results show that non-traditional activities increase the risk and decrease the stability and profitability of banks that are highly capitalized, highly liquid and large. Banks in this group are less engaged in securities investments and their higher degree of loan exposure leads to a decrease in risk and an increase in their stability and profitability. Higher concentration increases the risk and decreases the stability and profitability of banks that are less capitalized, less liquid and small. Banks with a higher share of non-traditional activities are riskier and less stable and less profitable before the financial crisis. The study finds that banks with relatively higher capitalization and high lending growth rates are riskier, profitable and less stable during the crisis. Larger commercial banks are less risky and more stable and profitable than smaller banks before the global financial crisis. Islamic banks performed better in terms of fee income, capitalization, liquidity, asset quality and have higher market concentration than conventional banks. Originality/value The study provides the first comprehensive empirical evidence on the drivers of risk-taking behavior, stability and profitability of the GCC banks. It also investigates the differences across these variables based on the characteristics of financial strength such as capitalization, liquidity and size; before, during and after the financial crisis; and differences between Islamic and conventional banks.

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