scholarly journals Modeling Bank Capital Adequacy Dynamics and Liquidity Risk Management, Empirical Evidence from the Nigeria Commercial Banks

2019 ◽  
Vol 10 (07) ◽  
pp. 21563-21571
Author(s):  
Dr. S. L. C. Adamgbo ◽  
Prof. A. J. Toby ◽  
Dr. A.A. Momodu ◽  
Prof. J.C. Imegi
Keyword(s):  
Risk Management ◽  
Commercial Banks ◽  
Management Practices ◽  
Time Series Data ◽  
Liquidity Risk ◽  
Capital Adequacy ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run

This study examines the effects of Capital adequacy on liquidity risk management practices in Nigeria. The secondary time series data were obtained from the annual reports of the fifteen (15) quoted commercial banks in Nigeria as compiled from the Nigeria Stock Exchange Fact book for the period 1989 to 2015. The independent variables capital adequacy are categorised under Tier I, Tier II to total risk assets, capital conservation buffer (CCB), Minimum total capital (MTC) and counter-cyclical Buffer (CCyB). The dependent variable Liquidity risk was modelled with the five variants of capital adequacy measures. The multivariate regression equation were specified and results obtained based on E-views version 9.0. The OLS and cointegration result shows existence of a short run and long run equilibrium relationship between LIQR and capital adequacy (CAR). The Unit root test shows that the variables were stationary at level and first difference i.e. 1(0) and 1(1). The VAR test indicates that fluctuations in liquidity risk are significantly influenced by capital adequacy measures. The granger-causality test shows a unidirectional link between liquidity risk and capital adequacy. The impulse response function (IRF) shows that liquidity risk responded negatively to capital adequacy measures. The variance decomposition results indicates that LIQR accounted for 78.73% of own shocks at the short run, while at the long run accounted for 14.76%, the rest of 86.34% were distributed among the capital adequacy measures with CCB accounted for the highest. This study concludes that transition to Basel III will further mitigate the concentration of liquidity risk and avert systematic failure in the Nigeria banking system. It is recommended that risk management should be a matter policy focus and priority among regulators and operators in Nigeria banking industry.

scholarly journals The Effect of Capital Adequacy on Credit Risk Management among Commercial Banks in Nigeria; Within the Basel Capital Adequacy Framework

2019 ◽  
Vol 10 (07) ◽  
Author(s):  
Dr. S.L.C. Adamgbo ◽  
Prof. A. J. Toby ◽  
Dr. A.A. Momodu ◽  
Prof. J.C. Imegi
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Commercial Banks ◽  
Management Practices ◽  
Time Series Data ◽  
Capital Adequacy ◽  
Series Data ◽  
Basel Iii ◽  
Credit Risk Management ◽  
Tier I

This study analyses the effects of capital adequacy measures on credit risk management practices in Nigeria. The study applies the quasi experimental research design. The secondary time series data were obtained from annual report of the fifteen (15) quoted commercial banks in Nigeria as compiled in the Nigeria Stock Exchange Fact book for the period 1989 to 2015. The dependent variable; credit risk was modelled with the five (5) variants of capital adequacy measures as prescribed in Basel III provisions as our dependent variables. The independent variables were categorized under Tier I, Tier II, capital to total assets, capital conservation Buffer (CCB), Minimum Total capital Ratio (MTC) and counter cyclical capital Buffer (CCyB). The multivariate regression technique was specified and results obtained based on E-views version 9.0. The unit root result shows that the variables were stationary at levels in all except MTC which was stationary at first difference. The conintegration result shows existence of a long run equilibrium relationship between credit risk and capital adequacy. The VAR result shows that changes in credit risk were statistically and significantly influenced by capital adequacy measures. The bi-variate causality test unveils that credit risk granger-causes Tier I, capital to total risk assets, hence there exist a bidirectional link between credit risk and capital adequacy (CCB) though credit risk granger-cause more. The Impulse Response Function result shows that credit risk responded normally and negatively to the selected capital adequacy measures except for MTC ratio. The variance decomposition result unveils that credit risk accounted for own shocks up to 79.30%, this points to the critical nature of credit risk to bank survival and growth. This study concludes that transition from Basel II to Basel III will further mitigate risk management under Basel III capital framework and will also avert systemic failure in banks in Nigeria. It is recommended that risk management should be a matter of policy focus and priority among regulators and operators of bank in Nigeria.

A Sectoral Analysis of the Role of Stock Market Development on Economic Growth: Empirical Evidence from Indian Economy

2017 ◽  
Vol 18 (4) ◽  
pp. 911-923 ◽  
Author(s):  
Madhu Sehrawat ◽  
A.K. Giri
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Trade Openness ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run

The present study examines the relationship between Indian stock market and economic growth from a sectoral perspective using quarterly time-series data from 2003:Q4 to 2014:Q4. The results of the autoregressive distributed lag (ARDL) approach bounds test confirm the existence of a cointegrating relationship between sector-specific gross domestic product (GDP) and sector-specific stock indices. The empirical results reveal that sector-specific economic growth are significantly influenced by changes in the respective sector-specific stock price indices in the long run as well as in the short run. Apart from that, the control variables, such as trade openness and inflation, act as the instrument variables in explaining the variations in the sector-specific GDP of the economy. The results of Granger causality test demonstrate unidirectional long-run as well as short-run causality running from sector specific stock prices to respective sector GDP. The findings suggest that economic growth of the country is sensitive to respective sub-sector stock market investments. The findings highlight the reasons for cyclical and counter-cyclical business phase for the overall economy.

scholarly journals IMPACT OF COMMERCIAL BANKS’ CREDIT TO THE REAL SECTOR ON ECONOMIC GROWTH IN NIGERIA

2019 ◽  
Vol 4 (1) ◽  
pp. 38-46
Author(s):  
Courage Ose Eburajolo ◽  
Leonard Nosa Aisien
Keyword(s):  
Economic Growth ◽  
Commercial Bank ◽  
Commercial Banks ◽  
Time Series Data ◽  
Empirical Work ◽  
Equation Model ◽  
Series Data ◽  
Long Run ◽  
Interaction Variables ◽  
Short Run

The study examined the effect of commercial bank sectorial credit to the manufacturing and agricultural sub-sectors on economic growth in Nigeria with time series data from 1981 to 2015, using co-integration and error correction mechanism for the empirical work. A three equation model was specified to analyze this study, and the variables include; real GDP, bank sectorial credit to manufacturing and agriculture subsectors, monetary policy rate, financial market development, sourced from CBN statistical bulletin and also the interaction variables. The variables were tested for unit root using the Augmented Dickey Fuller approach and were found to be stationary. The empirical result revealed that commercial bank credit to the manufacturing and agricultural subsectors significantly affects economic growth in Nigeria both in the short run and in the long run. Furthermore, development of the financial sector enhances the growth effects of commercial banks credit to the manufacturing and agricultural subsectors of the economy. It was therefore recommended that the Nigerian apex financial authorities should encourage banks via deliberate policy to increase credits to these subsectors of the economy.

scholarly journals TRANSMISI HARGA JAGUNG DI PROVINSI LAMPUNG

2018 ◽  
Vol 5 (1) ◽  
pp. 75
Author(s):  
Rati Purwasih ◽  
Muhammad Firdaus ◽  
Sri Hartoyo
Keyword(s):  
Time Series Data ◽  
Wald Test ◽  
Price Transmission ◽  
Series Data ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Asymmetric Price Transmission ◽  
Short Run ◽  
Corn Prices

<em>Corn is one of the leading commodities in Lampung Province. The average corn price received by farmers (producers) from January 2009 to December 2014 amounted to Rp 1.820 per kilogram, while the average price of corn at the consumer level was at Rp 3.205 per kilogram. Corn prices at the consumer level are more volatile when compared with the price of corn at the producer level. The purpose of this study are to analyze the transmission of corn prices from the consumer level to the producer level in Lampung Province. The data used was a monthly time series data from January 2009 to December 2014 (72 month). Asymmetric Error Correction Model (AECM) developed by von Cramon-Taubadel and Loy (1996) was used to analyze corn price transmission from the consumer level to the producer level. Causality test results indicate that corn prices at the consumer level affect the formation of corn prices at the producer level. From AECM estimates obtained, the short run corn price transmission from the consumer level to the producer level was asymmetric. However, the long-run transmission of corn prices from the consumer level to the producer was symmetric. After the Wald test, results obtained showed that there was no prove of asymmetric price transmission from the consumer level to the producer level in the long run.</em>

scholarly journals The causal and cointegration relationship between government revenue and government expenditure

2017 ◽  
Vol 6 (3) ◽  
pp. 23-32
Author(s):  
Kebitsamang Anne Sere ◽  
Ireen Choga
Keyword(s):  
South Africa ◽  
Time Series Data ◽  
Government Expenditure ◽  
Series Data ◽  
Government Revenue ◽  
Causality Test ◽  
Vector Error Correction ◽  
Long Run ◽  
Reserve Bank ◽  
Short Run

This study determines the causal relationship that exists between government revenue and government expenditure in South Africa. The study employed annual time series data from the year 1980 to 2015 taken from the South African Reserve Bank. The Johansen multivariate method was employed to test for co-integration and for causality the Vector Error Correction/Granger causality test was employed. The empirical results suggest that there is a long-run relation-ship between government revenue and government expenditure. The causality result suggests that there is no causality between government revenue and government expenditure in South Africa. Thus, policy makers in the short run should determine government revenue and government expenditure of South Africa independently when reducing the budget deficit.

scholarly journals Determinants Of Savings Behavior In Pakistan: Long Run - Short Run Association And Causality

2015 ◽  
Vol 8 (1) ◽  
pp. 103-136 ◽  
Author(s):  
Fawad Ahmad
Keyword(s):  
Time Series Data ◽  
Developing Economies ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Savings Rate ◽  
Short Run ◽  
Private Savings ◽  
Using Data ◽  
Private Investors

AbstractThe existing studies on private savings have mostly investigated the long run and short association of different variables with private savings, whereas no known study has investigated both long run and short run causality of variables against private savings by using data of Pakistan. The current study used time series data of Pakistan over the period of 1972 to 2012 and employed long run cointegration test, first normalized equation for long run association, vector error correction model for short run association, Toda Yamamoto technique for long run causality and Granger causality test for short run causality. The results suggest that GDP per capita, inflation rate, financial development, dependency ratio and fiscal development have impact on the private savings rate in Pakistan. The findings of the current study can be used to increase the private savings’ rate. In the long run government can increase the private savings by controlling fiscal deficit and promoting the investment by private investors. Whereas, in the short run, government can increase the deposit rate to increase the private savings. The current study is unique in its nature as it simultaneously provides the long run and short run causality and association and can contribute significantly in improving savings rate in developing economies like Pakistan.

scholarly journals Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection

2008 ◽  
Vol 10 (3) ◽  
pp. 285 ◽  
Author(s):  
Aldrin Herwany ◽  
Erie Febrian
Keyword(s):  
Risk Management ◽  
Portfolio Selection ◽  
Stock Markets ◽  
Value At Risk ◽  
Time Series Data ◽  
Unit Roots ◽  
Series Data ◽  
Causality Analysis ◽  
Long Run ◽  
Short Run

Both practitioners and academics demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of three or more stock markets in different countries. However, they mostly conduct causality in mean tests but not causality in variance tests.This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run.

scholarly journals Impact of Exports and Imports on Economic Growth in Rwanda: 1961-2018

2020 ◽  
Author(s):  
Charles Ruranga ◽  
Daniel S. Ruturwa ◽  
Valens Rwema
Keyword(s):  
Economic Growth ◽  
Time Series Data ◽  
Series Data ◽  
Causality Test ◽  
Development Indicators ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Annual Time Series ◽  
The Impact

Abstract The aim of this paper is to investigate the impact of trade on economic growth in Rwanda. This paper uses exports and imports for trade and gross domestic product for economic growth. Research questions were formulated as (1) Are exports, imports and economic growth cointegrated? (2) Is there a long or short run relationship between those Variables? (3) Are there any causal relationships between factors (4) what the direction of the causality is it? Annual time series data from World Development Indicators for the period from 1961 to 2018 have been used. The methods of linear regression for estimation of Vector Auto regressions models have been used. Our findings established that VAR was appropriate model, and GDP, Exports were stationary at first differences while Imports was stationary at second difference but not at levels. Hence the two series were integrated of order one and the third one was integrated of order two. Tests of cointegration indicates that the three variables were not cointegrated, implying there was no long run equilibrium relationship between the three series. The causality test indicated that exports and imports influenced GDP. On the other hand, we found that there was a strong evidence of unidirectional causality from exports to economic growth. However, there was bidirectional causality between GDP and imports. These results provide evidence that exports and imports, thus, were seen as the source of economic growth in Rwanda.

The Relationship Between Inflation and Unemployment in Namibia Within the Framework of the Phillips Curve

2021 ◽  
Vol 7 (5) ◽  
pp. 7-16
Author(s):  
Johanna Pangeiko Nautwima ◽  
Asa Romeo Asa
Keyword(s):  
Causal Relationship ◽  
Phillips Curve ◽  
Time Series Data ◽  
Policy Formulation ◽  
Least Square ◽  
Series Data ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Relationship

This study intended to empirically validate the applicability of the Phillips Curve in Namibia since independence, using semi-annual time series data, and taking into account the periods of the annus horribilis of the global financial crises and the Coronavirus Disease pandemic. It further sought to examine the nature of the relationship between inflation and unemployment to determine whether it is short-run or long-run and establish the causal relationship between the variables using various econometric analyses. The unit root tests indicate that the variables were stationary in their level forms, implying the absence of the long-run relationship. Hence, the Ordinary Least Square (OLS) model was performed to measure the short-run relationship between the variables. Results from the OLS analysis reveal a bidirectional nexus between inflation and unemployment, validating the presence of the Phillips Curve in the Namibian economy. These results correspond to the findings that incorporated the periods of economic shocks; thus, adjudging the critics of the Philips Curve regarding the consideration of economic shockwaves to be nonsensical in the Namibian economy. Finally, Granger causality test was conducted to establish the causal relationship between the variables, and results found inflation and unemployment to be unrelated. Based on these findings, the study recommends policymakers to adopt a policy mix, skewed to reducing unemployment predominately among the youth since the issues cannot be addressed simultaneously. Lastly, the study suggests future investigations to assess panel analyses on the phenomenon concerning developing countries, particularly those in the same region. It also recommends a significant focus on the determinants of inflation and unemployment since the variables were found to be independent of each other. This will give accurate directives to policymakers in an attempt to address the matter in terms of policy formulation and assimilation when they understand where the issue is deriving from.

Macroeconomics and Its Impact on Stock Markets of India, China, and Japan

2019 ◽  
pp. 177-194
Author(s):  
Amith Vikram Megaravalli
Keyword(s):  
Stock Markets ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Short Run ◽  
China And Japan

The objective of this chapter is to examine the long-run and the short-run relationship between India, China, and Japanese stock markets and key macroeconomic variables such as exchange rates and inflation (proxied by consumer price index) of ASIAN 3 economies (India, China, and Japan). Monthly time series data spanning the period from 2008 January to November 2016 has been used. The unit root test, the cointegration test, Granger causality test, and pooled mean group estimator have been applied to derive the long-run and short-run statistical dynamics. The findings of pooled estimated results of ASIAN 3 countries show that exchange rate has a positive and significant long-run effect on stock markets while the inflation has a negative and insignificant long-run effect. In the short run, there is no statistically significant relationship between macroeconomic variables and stock markets. This study emphasizes the impact of macroeconomic variables on the stock market performance of a developing economy (India and China) and developed economy (Japan).

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