The impact of inflation rate announcements on interest rate volatility: Australian evidence

1997 ◽  
Vol 7 (5) ◽  
pp. 559-566 ◽  
Author(s):  
Param Silvapulle ◽  
Robert Pereira ◽  
John H. H. Lee
Keyword(s):  
Interest Rate ◽  
Inflation Rate ◽  
Interest Rate Volatility ◽  
The Impact

scholarly journals The Impact of Macroeconomic Variables on Sectoral Indices in Indonesia

ETIKONOMI ◽  
2017 ◽  
Vol 16 (1) ◽  
pp. 71-80 ◽  
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Emerging Market ◽  
Estimation Method ◽  
Least Square ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Interest Rate ◽  
The Impact

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

scholarly journals Factors affecting stock market index volatility: Empirical study

2021 ◽  
Vol 10 (3) ◽  
pp. 169-176
Author(s):  
Mohammed Ali Al-Rimawi ◽  
Thair Adnan Kaddumi
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Foreign Investment ◽  
Inflation Rate ◽  
Market Price ◽  
Economic Growth Rate ◽  
Macroeconomic Variables ◽  
The Impact

How is stock market price volatility affected, and what is the nature of the impact that macroeconomic variables do on the stock market price direction? The main objective of this study is to investigate the impact of some selected macroeconomic variables (inflation rate (INR), interest rate (IR), economic growth rate (EGR), and foreign investment (FI)) on Amman Stock Exchange (ASE) fluctuation for the period 1999–2018. The information is based on the annual data published by industrial companies listed at ASE. The study adopted a descriptive-analytical approach, also simple and multiple linear regression analysis was employed for the mentioned purpose (Nurfadilah & Samidi, 2017). The results revealed that there is no statistically significant impact of INR, IR, EGR, and FI collectively on ASE performance (Niewińska, 2020). Individually, the results indicated that there is a statistically significant impact of all variables (INR, IR, EGR, and FI) on ASE performance. Additionally, the results concluded that foreign investment, portrayed the highest impact factor on ASE performance, followed by a change in average interest rate, then inflation rate, and the least impact attributes to the economic growth rate. Finally, the research recommends that Jordanian banks should reduce the lending interest rate to enhance investment in securities and improve economic growth rate, also Jordanian authorities should encourage foreign direct and indirect investment and make more efforts to attract more foreign investment, either in the form of tax incentives or by extending finance at low-interest rates.

The Effect of Macroeconomic Conditions on the Performance of Vietnamese Stock Market

2021 ◽  
Vol 8 (12) ◽  
pp. 73-82
Author(s):  
Hien-Ly Pham ◽  
Ching-Chung Lin ◽  
Shih-Ju Chan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Global Supply Chain ◽  
Gold Price ◽  
Monthly Data ◽  
Macroeconomic Conditions ◽  
The Impact

Vietnam plays an important role in the global supply chain. As one of important emerging markets, many studies have focused on Vietnam-related issues. Vietnam established two stock markets in 2000s. The market performance becomes one of interesting issues to explore. This study is to investigate the impact of macroeconomic variables, including inflation rate, exchange rate, interest rate, imports, exports, and gold price, on Ho Chi Minh stock market. The study period is from July 2000 to October 2014. Using the monthly data collected from Vietnam General Statistic Office, IMF International Financial Statistics, and Ho Chi Minh stock exchange, the empirical findings of our regression model show that there exists a positive relationship for imports and gold price, while the relationships for exchange rate and interest rate are negative. No significant relationship has been found for the variables of inflation rate and exports.

ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI KONSUMSI MASYARAKAT DI PROVINSI ACEH

2014 ◽  
Vol 1 (2) ◽  
Author(s):  
Tarmizi Gadeng
Keyword(s):  
Interest Rate ◽  
Inflation Rate ◽  
Econometric Model ◽  
Least Square ◽  
The Other ◽  
Ordinary Least Square ◽  
Other Hand ◽  
The Interest Rate ◽  
The Impact

The main objective of this study is to find out the impact of the inflation rate,percapita income as wall as the interest rate on the household comsumption of the population of Aceh.Secondary data 1983 – 2008 are collected or couning from various ageucig and instution and ordinary least square econometric model used as a method of analysis.            The result of the study tells us that the rate of inflation and the percapita income hare positive and significoutly effect on the household consumtion while the rate of interest on the other hand statistically has a negative and not significant effect on the house hold consumption. The interest rate which reflect the influence of the consumption has a positive, not significantly and in elactic. 

scholarly journals Banking Sector Capitalization and Deposit Money Banks’ Profitability in Nigeria

2016 ◽  
Vol 3 (3) ◽  
pp. 203-213 ◽  
Author(s):  
Lambert Ejokor John Konboye ◽  
Alwell Nteegah
Keyword(s):  
Interest Rate ◽  
Inflation Rate ◽  
Banking Sector ◽  
Price Level ◽  
Real Income ◽  
Financial Deepening ◽  
Frontier Analysis ◽  
Low Efficiency ◽  
Frontier Efficiency ◽  
The Impact

The incessant bank distress coupled with the poor financial intermediation capacity of the banking sector has been identified as the main problems of the banking subsector in Nigeria. This underscores the continue quest for increase capital base of banks as possible remedy to these problems. This development makes it imperative for us to examine how capitalization has affected banks profitability in Nigeria. To achieve our objectives, both panel and Partial Frontier efficiency analyses were utilized in this investigation. Using gross profits of 18 DMBs as dependent variable while capital base of DMBs, real income (GDP), financial deepening, interest rate and inflation rate are independent variables, we found that: capitalization has a significant impact on profitability of banks, while financial development, real income level were found to had contributed less to profitability of banks in Nigeria. It was further discovered that, interest rate has less implication on the profitability, while the impact of inflation on profitability of banks was positively but insignificantly. We also found that 58 % of the total variation in profitability is influenced by capital base, financial deepening, interest rate, GDP and price level in Nigeria over the period. The study further revealed that impact of capitalization on profitability of banks is the same across the banks. Finally, using the partial efficiency frontier analysis, we found that Unity Bank and UBA performed better with improved capital base while Union and Heritage Banks performed abysmally with high capital base given the very low efficiency scores. Based on these findings, the study recommends; periodic upward review of capital base of banks, stable macroeconomic policy, and creating enabling environment for investments as ways of enhancing an efficient financial sector and growth of the Nigerian economy. Int. J. Soc. Sc. Manage. Vol. 3, Issue-3: 203-213

Macro Stress Testing of Indian Bank Groups

2017 ◽  
Vol 11 (4) ◽  
pp. 375-403
Author(s):  
Pami Dua ◽  
Hema Kapur
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Private Sector ◽  
Stress Testing ◽  
Inflation Rate ◽  
Output Growth ◽  
Foreign Banks ◽  
Credit Quality ◽  
The Impact

This study examines how various bank groups operating in India have fared macro stress events and conduct macro stress testing (MST) to trace the impact of certain macroeconomic stress scenarios on the credit quality of five Indian bank groups, that is, the State Bank of India (SBI) and its associates (SBGs), nationalised banks (NBs), old private sector banks (OPBs), new private sector banks (NPBs) and foreign banks (FBs), using panel data from 1997 to 2014. Credit quality is modelled as a function of both macroeconomic variables (output growth, interest rate, inflation rate and exchange rate) and idiosyncratic variables (profitability and size indicator of bank business activity). The model is estimated by employing a panel cointegration approach, and the impact of adverse scenarios on the estimated credit quality is computed. Empirical findings show that credit quality is pro-cyclical in nature and rises in the event of a slowdown in the economy. In general, the credit quality of Indian bank groups is found to be inversely and significantly related to the economy’s growth rate, inflation rate, exchange rate and profits of banks and positively and significantly related to the interest rate. Shock analysis also reveals that a downturn in the economy through certain adverse scenarios has a significant adverse impact on the credit quality. The shocks are quickly propagated across banks with substantial heterogeneities present in different bank groups. Thus, macroeconomic policy measures promoting growth with price stability are expected to impact credit quality positively. Further, measures at the bank level can improve credit quality by enhancing their profitability. JEL Classifications: C32, C58, E170, G21

scholarly journals Macroeconomic Dynamics and the Manufacturing Output in Nigeria

2018 ◽  
Vol 9 (2) ◽  
pp. 43-54 ◽  
Author(s):  
Adegbemi Babatunde Onakoya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Manufacturing Sector ◽  
Percent Level ◽  
Negative Relationship ◽  
Preliminary Evaluation ◽  
Macroeconomic Factors ◽  
The Impact

AbstractThis paper examined the impact of the changes in the macroeconomic factors on the output of the manufacturing sector in Nigeria from 1981 to 2015. Preliminary evaluation of the data was conducted using both descriptive statistics and stationarity evaluation. The test indicated that not all the variables are normal. The occurrence of order integration at first level difference necessitated the deployment of the Johansen cointegration test. The findings revealed no short run association among manufacturing output and each of GDP, exchange rate, broad money supply and unemployment rate. Negative relationship existed amongst inflation rate, interest rate, exchange rate, broad money supply on one hand, and manufacturing output. The inflation rate and interest rate, were statistically insignificant. However, significant and positive relationship existed between GDP of the previous year and unemployment on the one hand and manufacturing output on the other, at 5 percent level. The results showed that manufacturing was a veritable engine of economic growth. The post estimation tests showed presence of serial correlation but evidence of heteroscedasticity existed which, made the model inefficient, but its estimator is still unbiased. The study recommended the harmonization of both fiscal and monetary policies for the attainment of macroeconomic stability and avoidance of rapid policy summersaults.

scholarly journals The Impact of Macroeconomic and Banking Factors on Credit Growth in the Albanian Banking System

2015 ◽  
Vol 2 (1) ◽  
pp. 113 ◽  
Author(s):  
Ali Shingjergji ◽  
Marsida Hyseni
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Inflation Rate ◽  
Banking System ◽  
Ordinary Least Squares ◽  
Capital Adequacy ◽  
Gdp Growth ◽  
Credit Growth ◽  
Capital Adequacy Ratio ◽  
The Impact

The aim of this paper is to analyze the influence of some macroeconomic and bankhttp://ejes.euser.org/issues/may-august-2015/Ali.pdfing factors on credit growth in the Albanian banking system. From the literature review is noticed that the credit growth in the banking system is influenced by both macroeconomic and banking factors. We use credit growth as a dependent variable while as independent variables we use: GDP growth, inflation rate, unemployment rate, loan interest rate, capital adequacy ratio, bank size and NPL ratio. The relationship between credit growth and macroeconomic and banking factors was tested by using a regression model like the ordinary least squares (OLS). We take into consideration a period from 2002 – 2013 using quarterly panel data for the whole Albanian banking system with a total of 48 observations per each variable. The regression results find out that the credit growth in the Albanian banking system is positively related to GDP growth, inflation rate and capital adequacy ratio while is negatively related to unemployment rate, interest rate, non performing loans and bank size.

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