Financial integration of Asian markets: multivariate cointegration, causality and variance decomposition

2021 ◽  
Vol 15 (4) ◽  
pp. 510
Author(s):  
Kalai Lamia
Keyword(s):  
Financial Integration ◽  
Variance Decomposition ◽  
Multivariate Cointegration

scholarly journals Investigating the “Complementarity Hypothesis” in Greek Agriculture: An Empirical Analysis

2001 ◽  
Vol 33 (1) ◽  
pp. 189-198
Author(s):  
Constantinos P. Katrakilidis ◽  
Nikolaos M. Tabakis
Keyword(s):  
Empirical Analysis ◽  
Government Spending ◽  
Causal Effect ◽  
Capital Formation ◽  
Variance Decomposition ◽  
Response Analysis ◽  
Crowding Out ◽  
Private Capital ◽  
Complementarity Hypothesis ◽  
Multivariate Cointegration

AbstractThis study investigates determinants of private capital formation in Greek agriculture and tests the “complementarity” against the “crowding out” hypothesis using multivariate cointegration techniques and ECVAR modeling in conjunction with variance decomposition and impulse response analysis. The results provide evidence of a significant positive causal effect of government spending on private capital formation, thus supporting the “complementarity” hypothesis for Greek agriculture.

Financial integration, trade, and productivity

10.33540/72 ◽  
2020 ◽  
Author(s):  
◽  
An Thi Thuy Duong
Keyword(s):  
Financial Integration

Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 20-26
Author(s):  
Taiwo A. Muritala ◽  
Muftau A. Ijaiya ◽  
Olatanwa H. Afolabi ◽  
Abdulrasheed B. Yinus
Keyword(s):  
Control Systems ◽  
Granger Causality ◽  
Internal Control ◽  
Banking Sector ◽  
Bank Performance ◽  
Causality Analysis ◽  
Vector Autoregressive ◽  
Granger Causality Analysis ◽  
Long Run ◽  
Multivariate Cointegration

AbstractThis paper examines the causality between fraud and bank performance in Nigeria over the period 2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship between the variables. Bank performance was found to be linked to Granger fraud variables and vice versa at 10% significant level. This study reveals that there was a direct causal relationship between bank performance and fraud because increase in fraudulent activities in the banking sector leads to reduction in bank performance. Hence, this study recommends that internal control systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets would be protected.

Non-Performing Loans, Banking System and Macroeconomy

2018 ◽  
Vol 63 (2) ◽  
pp. 67-86
Author(s):  
Akinola Morakinyo ◽  
Colette Muller ◽  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Serial Correlation ◽  
Banking System ◽  
Impulse Response Function ◽  
Credit Market ◽  
Variance Decomposition ◽  
Structural Var ◽  
Long Run ◽  
Correlation Tests ◽  
The Exchange Rate

Abstract The study builds on previous studies of the consequences of non-performing loans on an economy. Using a seven-by-seven matrix in the impulse response function (IRF) of the structural autoregressive model, we find a long-run impact of an impulse to non-performing loans on the banking system and the macroeconomy in Nigeria. Conversely, non-performing loans also respond to the innovation of all macro-banking variables aside from the exchange rate and the growth rate to GDP. Also, the level of non-performing loans grows in influence in relation to the changes to the exchange rate using the variance decomposition tool of Structural VAR. Hence, a prominent role is assigned to the level of NPLs in linking the friction in the credit market to the susceptibility of both the banking system and the macroeconomy. This study passes the serial correlation tests and the three tests of normality.

Impacts of Financial Integration in the Asia Economic Community on Competitiveness of the Commercial Banks in Vietnam

2018 ◽  
Vol 34 (4) ◽  
Author(s):  
Nguyen Cam Nhung
Keyword(s):  
Financial Services ◽  
Commercial Banks ◽  
Financial Integration ◽  
International Standards ◽  
Capital Adequacy ◽  
Viet Nam ◽  
Economic Community ◽  
Industrial Policies ◽  
Capital Adequacy Ratio ◽  
Internet Economy

This paper assesses the impacts of financial integration in the Asia Economic Community (AEC) on the capacity of finance and provision of financial services of Vietnamese commercial banks. In recent years, Vietnamese commercial banks have achieved some successes as reflected in the growth indicators of operation scales, charter capital and total assets. However, under the pressure of integration, the capital adequacy ratio (CAR) fell slightly in 2016 resulting from the applying of the CAR calculation method to commercial banks in accordance with the new regulations towards step by step approaching international standards. Compared to other countries in the AEC, the capacity of finance and provision of financial services of the Vietnamese commercial banks remains low. As a result, it is necessary to carry out synchronous and drastic measures in the coming time to enhance the competitiveness of the Vietnamese commercial banks. Keywords Competitiveness, financial integration, AEC, commercial bank, Vietnam References [1] UNCTAD, World Investment Report 2018: Investment and New Industrial Policies, June 2018.[2] Cục Đầu tư nước ngoài, “Tình hình thu hút Đầu tư nước ngoài 8 tháng năm 2018”, 2018, http://fia.mpi.gov.vn/tinbai/6045/Tinh-hinh-thu-hut-Dau-tu-nuoc-ngoai-8-thang-nam-2018.[3] Google and Temasek, “e-Conomy SEA Spotlight 2017: Unprecedented growth for Southeast Asia’s $50B internet economy, 2017”, 2017.[4] Tô Thị Thanh Trúc, “Khu vực tài chính Việt Nam trong bối cảnh hội nhập tài chính ASEAN”, Tạp chí Phát triển Khoa học và Công nghệ, 19 (2016) Q1, 2016.[5] Phạm Xuân Hoan, Nguyễn Cẩm Nhung, Nguyễn Bích Thủy, “Ngân hàng TMCP Ngoại thương Việt Nam: Chủ động đón AEC”, Tạp chí Kinh tế và Dự báo, Số 2 tháng 1/2016.[6] Phạm Xuân Hoan, Nguyễn Cẩm Nhung, Nguyễn Bích Thủy, “Khả năng thích ứng của các ngân hàng thương mại Việt Nam khi tham gia hội nhập AEC”, Tạp chí Tài chính, Kỳ 1 tháng 12/2015 (622).[7] Trần Thị Vân Anh, “Ngân hàng Việt Nam trong tiến trình gia nhập Cộng đồng Kinh tế ASEAN”, Tạp chí Khoa học Xã hội Việt Nam, 4 (2016) 101.[8] Nguyễn Thị Diễm Hiền, “Một số vấn đề về ngân hàng thương mại khi Việt Nam gia nhập Cộng đồng Kinh tế Asean”, Tạp chí Phát triển Khoa học và Công nghệ, 19 (2016) Q1, 2016.[9] Blattner N., “Competitiveness of Banks”, Journal of Financial Economics, N.21 (1992).[10] PwC Growth Markets Centre, The Future of ASEAN - Time to Act Financial Services, 2018.

Capital Flows to Developing Countries: Blessing or Curse? (Distinguished Lecture)

1998 ◽  
Vol 37 (4I) ◽  
pp. 125-151 ◽  
Author(s):  
Mohsin S. Khan
Keyword(s):  
Developing Countries ◽  
Capital Flows ◽  
Financial Integration ◽  
Foreign Capital ◽  
Foreign Debt ◽  
Capital Inflows ◽  
Private Capital ◽  
Policy Responses ◽  
Private Capital Flows ◽  
Significant Phenomenon

The surge of private capital flows to developing countries that occurred in the 1990s has been the most significant phenomenon of the decade for these countries. By the middle of the decade many developing countries in Asia and Latin America were awash with private foreign capital. In contrast to earlier periods when the scarcity of foreign capital dominated economic policy-making in these countries, the issue now for governments was how to manage the largescale capital inflows to generate higher rates ofinvestrnent and growth. While a number of developing countries were able to benefit substantially from the private foreign financing that globalisation made available to them, it also became apparent that capital inflows were not a complete blessing and could even turn out to be a curse. Indeed, in some countries capital inflows led to rapid monetary expansion, inflationary pressures, real exchange rate appreciation, fmancial sector difficulties, widening current account deficits, and a rapid build-up of foreign debt. In addition, as the experience of Mexico in 1994 and the Asian crisis of 1997-98 demonstrated, financial integration and globalisation can cut both ways. Private capital flows are volatile and eventually there can be a large reversal of capital because of changes in expected asset returns, investor herding behaviour, and contagion effects. Such reversals can lead to recessions and serious problems for financial systems. This paper examines the characteristics, causes and consequences of capital flows to developing countries in the 1990s. It also highlights the appropriate policy responses for governments facing such inflows, specifically to prevent overheating of the economy, and to limit the vulnerability to reversals of capital flows.

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