DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD

2010 ◽  
Vol 78 (4) ◽  
pp. 326-344 ◽  
Author(s):  
TAUFIQ CHOUDHRY
Keyword(s):  
Interest Rate ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Interest Rate Volatility ◽  
The Us

Spillover Effects of US Monetary Policy on Banking Development: Evidence from the Asian Region

2019 ◽  
pp. 097215091985748 ◽  
Author(s):  
Hamed Ahmad Almahadin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Banking Sector ◽  
Banking Industry ◽  
Spillover Effects ◽  
Interest Rate Risk ◽  
Asian Countries ◽  
Interest Rate Volatility ◽  
The Us ◽  
Banking Development

This study investigates the dynamic impacts of local interest rate volatility and the spillover effects of the US policy rate on the banking development of Asian countries from 1980 to 2015. Bounds testing within the autoregressive distributed lag (ARDL) framework is employed to explore the long-term and short-term impacts. In addition, the study adopts a principal components analysis to create a comprehensive index for banking development to capture the major dimensions of the banking development concept. The empirical findings indicate that local interest rate volatility has negative impacts on the banking industry of Asian countries. Moreover, the existence of the negative spillover impact of the US policy rate on the banking development proxy is revealed in the sampled countries. These impacts continue to play a significant role in dampening the path of banking sector development. Therefore, the banking industry of Asian countries seems to be vulnerable to interest rate risk. The results could provide important implications for policymakers to improve the banking systems of Asian economies. Bankers must consider the impacts of local interest rate policies, as well as the role of US interest rates.

scholarly journals INTEGRASI PASAR UANG LIMA NEGARA ASEAN MENUJU PASAR TUNGGAL ASEAN

2019 ◽  
Vol 7 (1) ◽  
pp. 11
Author(s):  
Budi Santosa
Keyword(s):  
Interest Rate ◽  
Market Integration ◽  
Investment Policy ◽  
Infrastructure Investment ◽  
Fully Integrated ◽  
Money Markets ◽  
Interest Rate Policy ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Rate Policy

<em>Market integration in money market was examined using co-integration approaches with Johansen co-integration and ARDL (Autoregressive Distributed Lag). Utilizing monthly interest rate of deposit data in Indonesia, Malaysia, Singapore, Philippine and Thailand were analyzed to determine the extent and nature of market integration. In general, the study ofmarket integration can provide information on how the markets operate, that may be useful for improving interest rate policy, monitoring interest rate movements, making interest rate prediction, and improving infrastructure investment policy. Under current interest rate situation, it was hypothesized that money markets in Indonesia, Malaysia, Singapore, Philippine, and Thailand are integrated, but not fully integrated.</em>

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Inflation dynamics in a dollarised economy: The case of Zimbabwe

2019 ◽  
Vol 20 (1) ◽  
pp. 94-117 ◽  
Author(s):  
W Kavila ◽  
P Le Roux
Keyword(s):  
South African ◽  
Money Supply ◽  
Inflation Rate ◽  
Inflation Dynamics ◽  
Local Currency ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
The Us ◽  
High Inflation ◽  
Main Determinants

This paper explores the dynamics of inflation in the dollarised Zimbabwean economy using the autoregressive distributed lag (ARDL) model with monthly data from 2009:1 to 2012:12. The main determinants of inflation were found to be the US dollar/South African rand exchange rate, international oil prices, lagged Zimbabwean inflation rate and South African inflation rate. During the local currency era, inflation dynamics in Zimbabwe were explained by excess growth in money supply, changes in import and administered prices, unit labour costs and output (Chhibber, Cottani, Firuzabadi & Walton 1989). According to Makochekanwa (2007), hyperinflation during the same era was attributed to excess money supply growth, lagged inflation and political factors. Coorey, Clausen, Funke, Munoz & Ould-Abdallah (2007) affirmed these findings by identifying excess money supply growth as a source of high inflation in Zimbabwe during the local currency era. In essence, the findings of this study point to a shift in inflation dynamics in Zimbabwe. This shift in inflation dynamics means that policies, which were used to respond to both internal and external shocks that have an impact on price formation, might not be applicable in a dollarised economy.

scholarly journals Pengaruh Sistem Perbankan, Makroekonomi, Dinamika Pasar Keuangan terhadap Perkembangan Sukuk Korporasi

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Alyta Shabrina Zusryn ◽  
Rizqi Umar Al Hashfi ◽  
Ananta Hagabean Nasution
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Interest Rate Spread

Tujuan pada penelitian ini adalah untuk mengetahui faktor-faktor yang berpengaruh terhadap perkembangan sukuk korporasi di Indonesia. Data yang digunakan adalah data bulanan tahun 2013-2016 variabel makroekonomi, crude oil price, kredit perbankan konvensional, interest rate spread, aset perbankan syariah, outstanding obligasi korporasi indonesia, nilai kapitalisasi pasar saham syariah, dan standar deviasi Jakarta Interbank Offered Rate (JIBOR). Pada penelitian ini menggunakan analisis data time series yaitu Autoregressive Distributed Lag (ARDL) yang merupakan pengembangan dan melengkapi kelemahan dari analisis Vector Autoregresive (VAR). Penelitian ini menunjukkan bahwa terdapat pengaruh positif harga minyak mentah dunia, perkembangan obligasi korporasi, dan aset perbankan syariah terhadap perkembangan sukuk korporasi. Selain itu, kapitalisasi pasar saham syariah, interest rate spread, dan volatilitas suku bunga pasar berdampak negatif terhadap perkembangan sukuk korporasi. Hasil tersebut menunjukkan adanya peningkatan permintaan dan penawaran pada sukuk korporasi di Indonesia. Penelitian ini menemukan adanya hubungan komplementer pada obligasi korporasi dan perbankan syariah pada perkembangan sukuk korporasi sehingga diharapkan adanya sinergi dan koordinasi para pemangku kepentingan yaitu pemerintah, pelaku industri, perusahaan dan pihak-pihak terkait

AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE

2020 ◽  
Vol 15 (01) ◽  
pp. 2050003
Author(s):  
TANWEER AKRAM ◽  
ANUPAM DAS
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Australian Government ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach ◽  
Main Driver

This paper empirically models the dynamics of Australian government bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian government bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian government bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on government bond yields.

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