scholarly journals Modelling Macroeconomic and Bank-Specific Determinants of Credit Risk in the Nigerian Banking Sector: Evidence from Bounds Test Approach to Co-Integration

2021 ◽  
Vol 17 (32) ◽  
pp. 221
Author(s):  
Stanley C. Duruibe ◽  
Nathaniel C. Nwezeaku ◽  
Aghalugbulam B.C. Akujuobi ◽  
Sampson Ikenna Ogoke ◽  
Chidinma Elizabeth Nwabeke
Keyword(s):  
Credit Risk ◽  
Banking Sector ◽  
Negative Relationship ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Short Run ◽  
Specific Factors ◽  
Bounds Test ◽  
Nigerian Banking ◽  
Bank Specific Factors

Credit risk, represented in this study by the ratio of non-performing loans to total loan (NPL), is considered as one of the critical factors that causes bank distress and failure. This study examines the macroeconomic and bankspecific determinants of credit risk in the Nigerian Banking sector from the period 1998Q1 to 2018Q4 using the bounds test approach to co-integration. Literature survey in this subject area using Google Scholar resources reveals that there seems to be a consensus of findings in terms of the negative relationship between credit risk and Gross Domestic Product (GDP) growth rate, while other macroeconomic and bank-specific factors tend to have a random pattern relationship with credit risk attributable to various countries’ economic peculiarities. This study shows that GDP growth rate, return on asset, return on equity, interest rate, unemployment rate, and real exchange rate have a negative relationship with NPL. On the other hand, inflation rate, loan deposit ratio, and ratio of bank capital to asset have positive relationship with NPL. The relationships between the three variables and NPL were found to be individually insignificant to explain credit risk trends in the long run. Moreover, the Wald short-run causality test reveals that the macroeconomic and bank specific indicators jointly influence credit risk in the Nigeria banking sector in the short run. This study, however, recommends that since the macroeconomic and bank specific factors were found to be individually insignificant to explain credit risk trend in the long run, consideration should be accorded to some psychological, political, and socioeconomic factors such as the borrower’s attitude, business climate, social dislocations and distortions, availability of good infrastructural facilities, and the direction of government policies. These factors can affect borrowers’ ability to honor their debt obligations and, thus, determine the level of credit risk in the Nigerian economy.

scholarly journals The Effect of Bank Specific Factors on Loan Performance of HFC Bank in Ghana

2016 ◽  
Vol 8 (7) ◽  
pp. 185
Author(s):  
Grace Ofori-Abebrese ◽  
Robert Becker Pickson ◽  
Eric Opare
Keyword(s):  
Sample Period ◽  
Loan Loss ◽  
Quarterly Data ◽  
Loan Loss Provision ◽  
Bank Management ◽  
Long Run ◽  
Specific Factors ◽  
Default Rate ◽  
Bounds Test ◽  
Bank Specific Factors

The default rate of loan in the country has been on the increase and worrying to all in recent times. This study assessed the effect of bank specific factors on the loan performance in HFC Bank in Ghana. The sample period used for the study was based on a quarterly data from 2008 to 2015. The study employed the ARDL bounds test of co-integration as an estimation technique to show the evidence of long run relationship among the variables. The study found bank’s loan interest rate, loan to asset ratio and bank’s loan loss provision over reserve as bank specific factors that influenced loan performance. These therefore showed that bank specific factors do have significant impact on loan performance. Hence, there is the need for bank management and regulators to undertake policies that can ensure efficiency in banks’ operations.

scholarly journals Determinants of Liquidity Considering Role of Market Competition; Evidence from Pakistan’s Banking Sector

2020 ◽  
Vol 2 (2) ◽  
pp. 51-59
Author(s):  
Amir Rafique ◽  
Muhammad Adeel ◽  
Kalsoom Akhtar ◽  
Muhammad Amir Alvi
Keyword(s):  
Credit Risk ◽  
Banking Sector ◽  
Panel Data Analysis ◽  
Market Competition ◽  
Data Set ◽  
Macroeconomic Factors ◽  
Negative Effect ◽  
Specific Factors ◽  
Bank Specific Factors

Current study empirically analyzes bank specific factors and macroeconomic factors that determine the liquidity reserves of banks functioning in Pakistan. To highlight the association, current study performed random effects estimates on a data set of 20 banks from 2006 to 2016.  Bank specific factors include bank size, capital and credit Risk. GDP and Inflation are the macroeconomic factors that were considered. Market competition has been measured through HHI. Based on panel data analysis, current study suggests that bank specific factors (except capital), macroeconomic factors and market competition significantly affect liquidity reserves of banks in Pakistan. These factors include bank size, credit risk, market competition, GDP and inflation. In addition, bank size, credit risk, GDP and Inflation revealed a negative effect on bank liquidity. On the other hand, market competition revealed a positive effect on bank liquidity. Capital showed an insignificant effect on bank liquidity.

scholarly journals Bank Interest Rate Margin, Portfolio Composition and Institutional Constraints

2019 ◽  
Vol 12 (3) ◽  
pp. 121
Author(s):  
Liu ◽  
Sathye
Keyword(s):  
Banking Sector ◽  
Panel Data Analysis ◽  
Institutional Constraints ◽  
Institutional Variables ◽  
Credit Quality ◽  
Portfolio Composition ◽  
Gdp Growth Rate ◽  
Interest Margins ◽  
Specific Factors ◽  
Bank Specific Factors

This study empirically examines how the bank specific factors, macro-economic, and institutional variables impact interest margins in China’s banking sector. A panel data analysis of bank data for the period 1988–2015 was carried out. We found a significant association between credit quality, risk aversion, liquidity risk, and the proportion of corporate and industrial loans and the adjusted interest spread (AIS). GDP growth rate, inflation, and the proportion of national savings to the GDP were found to have significant association with the AIS. Furthermore, institutional variables were found to have a significant moderating effect on the AIS. We contribute to the literature by examining a unique context and a more accurate measure of bank interest margin not used in prior studies.

scholarly journals Cointegration and Causality between Macroeconomic variables and Stock Prices: Empirical Analysis from Indian Economy

2015 ◽  
Vol 5 (2) ◽  
pp. 327 ◽  
Author(s):  
Pooja Joshi ◽  
A. K. Giri
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Negative Relationship ◽  
Real Effective Exchange Rate ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
Bounds Test

<p class="ber"><span lang="EN-IN">The study aims at examining how fiscal fundamental macroeconomic variables affect the performance of the stock market in India by using monthly data from April 2004- July 2015. The study makes use of Ng-Perron unit root tests to check the non-stationarity property of the series; the Auto Regressive Distributed Lag (ARDL) bounds test and a Vector Error Correction Model (VECM) for testing both short and long run dynamic relationships. The variance decomposition (VDC) is used to predict the exogenous shocks of the variables. The findings of the bounds test </span><span lang="EN-GB">confirm that there exists a long-run co-integrating relationship between different macroeconomic variables and the stock prices in India. The ARDL result suggests a long-run negative relationship exists between crude oil prices, inflation and stock prices. The results of the influence of both the variables on stock prices are consistent in the short run as well. The results of the short-run estimation confirm positive and significant relationship for Gold, T-bill rates and Real Effective Exchange Rate. The VECM result shows a bidirectional causality is running between Inflation and CNX nifty index. Further, the result indicates the presence of long run causality for the equation with a CNX nifty index as the dependent variable. The results of VDC analysis and IRF show that a major percentage of stock prices change is its own innovative shocks. The study implies that appropriate policy measures should be taken by the proficient authorities for the purpose of controlling inflation, which ultimately leads to the control of volatility of the stock market.</span></p>

scholarly journals Macroeconomic Dynamics, Bank-specific Factors and Deposit Mobilization of the Nigerian Banking Sector

2019 ◽  
pp. 1-16
Author(s):  
Azolibe, Chukwuebuka Bernard
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Inflation Rate ◽  
Banking Sector ◽  
Government Expenditure ◽  
Macroeconomic Dynamics ◽  
Lending Rate ◽  
Specific Factors ◽  
Nigerian Banking ◽  
Bank Specific Factors

This study critically examined the nexus between macroeconomic dynamics, bank-specific factors and deposit mobilization of the Nigerian banking sector. Macroeconomic dynamics was proxied by inflation rate, lending rate, exchange rate, government expenditure, unemployment rate and Gross domestic product (GDP) while bank-specific factors was proxied by deposit interest rate, branch network expansion and bank’s liquidity. The study which is ex-post facto, relied mostly on secondary data which were collected through the Central Bank of Nigeria (CBN) and National Bureau of Statistics (NBS) statistical bulletin from 1985-2018. Multiple regression Ordinary Least Square (OLS) statistical tool was applied to establish the like fit to the observed data and the degree of relationship that exist between variables. The granger causality test was employed to establish the causal relationship between the variables. Findings revealed among others that inflation rate measured by the consumer price index and deposit interest rate have negative and significant relationship with deposit mobilization in Nigeria. Exchange rate, unemployment rate and loan-to deposit ratio have negative and insignificant relationship. Lending rate and Government expenditure have insignificant positive relationship while it was only Gross domestic product and number of bank branches that have positive and significant relationship with deposit mobilization in Nigeria. It was recommended among others that deposit interest rate should be fixed based on the level of customer’s deposit so as to act as compensation against the rising trend in inflation rate and also, banks should be more socially responsive by partnering with the Government and other private sectors in sponsoring various entrepreneurship and skill acquisition training programmes in the country that are employment driven. This will ensure that a good number of the unemployed persons are into paid employment and are earning. This will in turn boost their deposit base.

scholarly journals Do Military Expenditure and Conflict Affect Economic Growth in Sri Lanka? Evidence from the ARDL Bounds Test Approach

2016 ◽  
Vol 8 (3) ◽  
pp. 1
Author(s):  
Abdul Rasheed Sithy Jesmy ◽  
Mohd Zaini Abd Karim ◽  
Shri Dewi Applanaidu
Keyword(s):  
Growth Rate ◽  
Civil War ◽  
Sri Lanka ◽  
Military Expenditure ◽  
Gdp Growth ◽  
Per Capita Gdp ◽  
Long Run ◽  
Gdp Growth Rate ◽  
Per Capita ◽  
Bounds Test

Conflicts in the form of civil war, ethnic tensions and political discord are of enduring concern and a major bottleneck to economic development in Sri Lanka. Three decades of civil war and unethical political culture have caused severe economic problems for the country, including slower rate of growth and a huge defence expenditure. The aim of this study is to examine the effect of military expenditure and conflict on per capita GDP growth rate in Sri Lanka from 1973 to 2014 using the Solow growth model and ARDL bounds test approach. The results of the bounds test are highly significant and lead to cointegration. The negative and significant coefficients of the error correction term illustrate the expected convergence process in the long-run dynamic of per capita GDP. The estimated empirical results show that, the coefficients of military expenditure and conflict are negative and statistically significant in the short-run as well as in the long-run in determining per capita GDP growth rate in Sri Lanka. Hence, it is critically important to take necessary action to decrease military expenditure and provide an efficient political solution to the problem of minorities, specifically in the post-war period.

scholarly journals Determinants of Insurance Penetration in West African Countries: A Panel Auto Regressive Distributed Lag Approach

2021 ◽  
Vol 14 (8) ◽  
pp. 350
Author(s):  
Odunayo Olarewaju ◽  
Thabiso Msomi
Keyword(s):  
Banking Sector ◽  
West African ◽  
Education Sector ◽  
African Countries ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Auto Regressive ◽  
Insurance Penetration ◽  
The Government

This study analyses the long- and short-term dynamics of the determinants of insurance penetration for the period 1999Q1 to 2019Q4 in 15 West African countries. The panel auto regressive distributed lag model was used on the quarterly data gathered. A cointegrating and short-run momentous connection was discovered between insurance penetration along with the independent variables, which were education, productivity, dependency, inflation and income. The error correction term’s significance and negative sign demonstrate that all variables are heading towards long-run equilibrium at a moderate speed of 56.4%. This further affirms that education, productivity, dependency, inflation and income determine insurance penetration in West Africa in the long run. In addition, the short-run causality revealed that all the pairs of regressors could jointly cause insurance penetration. The findings of this study recommend that the economy-wide policies by the government and the regulators of insurance markets in these economies should be informed by these significant factors. The restructuring of the education sector to ensure finance-related modules cut across every faculty in the higher education sector is also recommended. Furthermore, Bancassurance is also recommended to boost the easy penetration of the insurance sector using the relationship with the banking sector as a pathway.

Factors Affecting NPAs in Indian Banking Sector

Paradigm ◽  
2021 ◽  
Vol 25 (2) ◽  
pp. 181-193
Author(s):  
Nitya Garg
Keyword(s):  
Regression Model ◽  
Multiple Regression ◽  
Banking Sector ◽  
Relative Weight ◽  
Multiple Regression Model ◽  
Factors Affecting ◽  
Weight Analysis ◽  
Specific Factors ◽  
Relative Weight Analysis ◽  
Bank Specific Factors

Banking sector is the backbone of any economy, so it is necessary to focus on its performance which is largely affected by its non-performing assets (NPAs). In the year 2018–2019, NPA of scheduled banks was Rs 355,076 Crore which is 3.7% of net advances. The purpose of this study is to identify the determinants based on analysis from previous literatures, and majorly macroeconomic and bank specific factors which are affecting NPAs using the relative weight analysis and to frame a model to predict future NPAs using multiple regression model using SPSS. The study also attempts to focus on actions and remedies that banks should make to control future NPAs. Findings of the study will act as a scaffolding for financial analysts and policymakers to prevent the conversion of its performing assets into NPAs and also help in proper management of banks and also in the recovery of economy.

Determinants of Total Factor Productivity in Mexico, Indonesia, Nigeria, and Turkey (1980–2014)

2018 ◽  
Vol 4 (2) ◽  
pp. 192-217 ◽  
Author(s):  
Phillip Akanni Olomola ◽  
Tolulope Temilola Osinubi
Keyword(s):  
Human Capital ◽  
Total Factor Productivity ◽  
Negative Relationship ◽  
Annual Data ◽  
Factor Productivity ◽  
Distributed Lag ◽  
Long Run ◽  
The World ◽  
Government Stability ◽  
Short Run

This study analyzed the macroeconomic and institutional determinants of total factor productivity (TFP) in the MINT (Mexico, Indonesia, Nigeria, and Turkey) countries during the period 1980–2014. Annual data covering the period between 1980 and 2014 were used. Data on real gross domestic product (real GDP), labor force, gross fixed capital formation, foreign direct investment (FDI), human capital, and inflation were sourced from the World Development Indicators published by the World Bank. Also, data on corruption, government stability, and law and order were obtained from the database of International Country Risk Guide. Panel autoregressive distributed lag (PARDL) regression technique was used to estimate the model. Results showed that TFP growth rate declined on average by 1.4 per cent and 1.8 per cent in Mexico and Turkey, respectively, while Indonesia and Nigeria did not experience productivity growth on the average. Results also showed that in the long run, human capital and government stability had positive and significant effects on TFP, while FDI and corruption had negative but significant effects on TFP. In the short run, there existed a significant negative relationship between TFP and inflation. However, the effects of human capital and corruption on TFP were positive and significant. The study concluded that human capital and corruption were key drivers of TFP in the MINT countries both in the long run and short run.

scholarly journals MONETARY POLICY AND TELECOMMUNICATION OUTPUT IN NIGERIA

2020 ◽  
Vol 3 (2) ◽  
pp. 62-73
Author(s):  
John Abiodun Akinde ◽  
Elijah Oludayo
Keyword(s):  
Monetary Policy ◽  
Money Supply ◽  
Negative Relationship ◽  
Negative Influence ◽  
Favourable Effect ◽  
Data Series ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Positive Effect

Different policies impact on the growth of the telecommunication sector in Nigeria. One of these policies which influence the expansion or contraction of the telecommunication output is monetary policy. To this end, this research examined the effect of monetary policy on telecommunication output in Nigeria. For the purpose of analysis, time series secondary data were sourced from Central Bank of Nigeria (CBN) statistical bulletin covering the periods1986 to 2018. Autoregressive Distributed Lag (ARDL) technique was employed after examining the stationarity of the data series using Augmented Dickey-Fuller technique. The bound co-integration test revealed that there is long run equilibrium between the monetary policy variables employed and telecommunication output. The ARDL result revealed that money supply had significant and positive effect on telecommunication output in the short and long run; liquidity ratio produced an insignificant and negative relationship with telecommunication output in the short run and insignificant positive effect in the long run; exchange rate had insignificant negative effect in the short run and a significant positive effect on telecommunication output in the long run; consumer price index had significant negative influence on telecommunication outputboth in the short run and long run. The study concluded that monetary policy stimulates telecommunication output in Nigeria. Thus, it was recommended that the monetary authority should pursue an expansionary monetary policy to sustain the positive influence of money supply on telecommunication output in Nigeria while rolling out policy to reduce the liquidity ratio of banks in the short run but increase it in the long run so that the long term favourable effect of liquidity ratio can be felt on telecommunication output.  

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