An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions

PurposeThe paper investigates the interest rate policy transmission mechanism and the role of market structure of the banking industry in Qatar.Design/methodology/approachCompetitiveness indexes are used to measure the degree of market power in the banking industry in Qatar. The momentum threshold autoregressive model is applied over the monthly period from January 2005 to June 2018 to examine the magnitude of intermediation and adjustment to disequilibria in the deposit market. In addition, to model interest rate volatility and overcome the problem of heteroscedastic errors in the error correction standard models, an asymmetric EC-EGARCH-M model is applied.FindingsThe findings suggest incomplete pass-through and asymmetric response to monetary shocks. The asymmetric adjustment mechanism is found to be downward rigid which suggests a high degree of customer sophistication and an elastic supply of deposits. The results of the EC-EGARCH-M show that the impact of monetary policy shocks has a significant positive impact on deposit interest rates and that negative monetary shocks trigger more conditional interest rate volatility in the next period than positive monetary shocks for a short maturity rate.Originality/valueThe paper is the first to highlight the behaviour of the interest rate pass through channel and measures the degree of competitiveness of the banking industry for the case of a small, rich country. In addition, using recent data, the paper applies different econometric methodologies and overcomes the problem of heteroskedastic errors by modelling the interest rate volatility using the EC-EGARCH-M model.

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The Effect of Monetary Policy on Interest Rates in Turkey: A Microstructural Analysis

Business and Economic Research ◽

10.5296/ber.v7i2.11683 ◽

2017 ◽

Vol 7 (2) ◽

pp. 299

Author(s):

Muharrem Afsar ◽

Aslı Afsar ◽

Emrah Dogan

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Interest Rates ◽

Microstructural Analysis ◽

Turkish Republic ◽

Interest Rate Volatility ◽

The Interest Rate ◽

One Year ◽

Effect Of Monetary Policy ◽

The Impact

The purpose of this study it to investigate the impact of monetary policy announcements by Central Bank of the Turkish Republic (CBRT) on market interest rates via micro variables on interest rates. In this context, this study investigated the relationship between monetary policy announcements and market interest rates for 2011:01-2015:10 term using GARCH model. The estimates have indicated that monetary policy announcements have different impacts on interest rate volatilities when distinguished as decisions on increasing, decreasing or fixing interest rates. It was found that contractionary monetary policy announcements have different impacts on market interest rates volatilities analyzed in the present study, while expansionary monetary policy announcements decrease the volatility on market interest rates. On the other hand, the announcements towards fixing the monetary policy increases the interest rate volatility of market interest rates. The results of the analysis also indicated that deposit interest rate weighted up to one year are affected the least by the monetary policy changes.

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PENGARUH SUKU BUNGA REVERSE REPO RATE DAN INFLASI TERHADAP RETURN SAHAM (Studi Empiris Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2018)

JURNAL AKUNTANSI DAN KEUANGAN DAERAH ◽

10.52062/jakd.v15i1.1463 ◽

2020 ◽

Vol 15 (1) ◽

Author(s):

Sandi Rendy Tumundo ◽

Syaikhul Falah ◽

Bill J.C Pangayow

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Stock Return ◽

Stock Exchange ◽

Financial Sector ◽

Significance Test ◽

T Test ◽

Repo Rate ◽

The Interest Rate ◽

Simple Regression

This research aims to see the influence of the interest rate (reverse) repo rate directly and indirectly through inflation on the return of shares as well as interest rates (reverse) The repo rate to inflation and inflation on the return of shares, the financial sector companies listed on the Indonesia Stock Exchange in June year 2016 to December year 2018.Results showed that the interest rate (reverse) repo rate has no significant effect either directly and indirectly through inflation on return of shares, can be seen from the analysis of the line and calculation of Sobel test in get t count is-3.64 whereas T table is 2.0518 (significance 0.05) then, in the view of T count (-3.64) < T table (2.0518) meaning there is no while the interest rate (reverse) repo rate has a significant effect on inflation in the see of simple regression rates of reverse repo rate against inflation based on T-Test sig value of 0.05 < 0.05, and inflation also significantly and partial impact on the stock return with the value of the significance test T is 0.041. (0.041 < 0.05) and T count2.150 > 2.0518 t tables.

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FAKTOR DETERMINAN PENYALURAN KREDIT BANK PERSERO

Journal of Business Economics ◽

10.35760/eb.2018.v23i1.1812 ◽

2018 ◽

Vol 23 (1) ◽

pp. 60-71

Author(s):

Wigiyanti Masodah

Keyword(s):

Interest Rate ◽

Linear Regression ◽

Interest Rates ◽

Regression Models ◽

Linear Regression Models ◽

Negative Impacts ◽

Main Activity ◽

The Impact ◽

The Given ◽

Multiple Linear Regression Models

Offering credit is the main activity of a Bank. There are some considerations when a bank offers credit, that includes Interest Rates, Inflation, and NPL. This study aims to find out the impact of Variable Interest Rates, Inflation variables and NPL variables on credit disbursed. The object in this study is state-owned banks. The method of analysis in this study uses multiple linear regression models. The results of the study have shown that Interest Rates and NPL gave some negative impacts on the given credit. Meanwhile, Inflation variable does not have a significant effect on credit given. Keywords: Interest Rate, Inflation, NPL, offered Credit.

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Determinants of Treasury-LIBOR Swap Spreads

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091505000567 ◽

2005 ◽

Vol 08 (04) ◽

pp. 687-705 ◽

Cited By ~ 3

Author(s):

D. K. Malhotra ◽

Vivek Bhargava ◽

Mukesh Chaudhry

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Default Risk ◽

Yield Curve ◽

Short Term ◽

Long Run ◽

Interest Rate Volatility ◽

Short Run ◽

Using Data ◽

Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

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Volatility integration of gold and crude oil prices with the interest rates in India

South Asian Journal of Business Studies ◽

10.1108/sajbs-02-2021-0074 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Shailesh Rastogi ◽

Adesh Doifode ◽

Jagjeevan Kanoujiya ◽

Satyendra Pratap Singh

Keyword(s):

Interest Rate ◽

Crude Oil ◽

Interest Rates ◽

Global Economy ◽

Spillover Effect ◽

Price Volatility ◽

Volatility Spillover ◽

Content Type ◽

Crude Oil Prices ◽

The Impact

PurposeCrude oil, gold and interest rates are some of the key indicators of the health of domestic as well as global economy. The purpose of the study is to find the shock volatility and price volatility effects of gold and crude oil market on interest rates in India.Design/methodology/approachThis study finds the mutual and directional association of the volatility of gold, crude oil and interest rates in India. The bi-variate GARCH models (Diagonal VEC GARCH and BEKK GARCH) are applied on the sample data of gold price, crude oil price and yield (interest rate) gathered from November 30, 2015 to November 16, 2020 (weekly basis) to investigate the volatility association including the volatility spillover effect in the three markets.FindingsThe main findings of the study focus on having a long-term conditional correlation between gold and interest rates, but there is no evidence of volatility spillover from gold and crude oil on the interest rates. The findings of the study are of great importance especially to the policymakers, as they state that the fluctuations in prices of gold and crude oil do not adversely impact the interest rates in India. Therefore, the fluctuations in prices of gold and crude may generally impact the economy, but it has nothing to do with interest rate in particular. This implies that domestic and foreign investments in the country will not be affected by gold and crude oil that are largely driven by interest rates in the country.Practical implicationsGold and crude oil are two very important commodities that have their importance not only for domestic affairs but also for international business. They veritably influence the economy including forex exchange for any nation. In addition to this, the researchers believe the findings will provide insights to policymakers, stakeholders and investors.Originality/valueGold and crude oil undoubtedly influence the exchange rates but their impact on the interest rates in an economy is not definite and remains ambiguous owing to the mixed findings of the studies. The lack of studies related to the impact of gold and crude oil on the interest rates, despite them being essentials for the health of any economy is the main motivation of this study. This study is novel as it investigates the volatility impact of crude oil and gold on interest rates and contributes to the existing literature with its findings.

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The Impact of Interest Rate Ceilings on Microfinance Industry

International Journal of Social Work ◽

10.5296/ijsw.v2i2.7953 ◽

2015 ◽

Vol 2 (2) ◽

pp. 10

Author(s):

Ali Saleh Alshebami ◽

D. M. Khandare

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Low Income ◽

Secondary Data ◽

Research Subject ◽

Access To Credit ◽

The Poor ◽

Good Intention ◽

The Interest Rate ◽

The Impact

<p>Imposing ceilings on the interest rate has recently become one of the new hottest topics in microfinance industry; various debates have been discussing this issue to know the effect of interest rate ceilings on the supply of credit in particular and on microfinance industry in general. However in spite of the good intention behind these ceilings, there was no absolute result stating that ceilings have really contributed to the improvement or protection of the poor clients, indeed, these ceilings have hurt those low income people instead of helping them, due to these ceilings most of MFIs left the market or reduced their scale due to the inability to continue operating with low interest rate leaving the very poor clients without access to credit. Thus, the purpose of this paper is to review the impact of imposing such ceilings on the interest rates and to find out what alterative solutions can be employed as substitutes for them. This paper is entirely based on the secondary data collected from various records related to microfinance such as microfinance books, official websites and reports, published papers, and other sources related to the research subject.</p>

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The Impact of Financial Deepening on Economic Growth in Nigeria (1981-2018)

WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS ◽

10.37394/23207.2020.17.96 ◽

2020 ◽

Vol 17 ◽

Keyword(s):

Economic Growth ◽

Private Sector ◽

Interest Rates ◽

Money Supply ◽

Commercial Banks ◽

Financial Sector ◽

Financial Deepening ◽

Growth Data ◽

Main Research ◽

The Impact

Different academics and experts have acknowledged that developing the financial sector positively impacts economic growth by increasing productivity, progress and national investment. Expanding the financial sector allows financial intermediaries to carry out functionalities of deploying, aggregating and directing a country’s savings into an investment which contributes to domestic progression. This research explores the effect of financial deepening on Nigeria’s growth for 38 years covering 1981- 2018. The main research goals were to investigate the linkages among time and savings deposit of commercial banks, money supply and credit to the private sector on the economy’s growth. Data was obtained from CBN Bulletin different issues and analyzed using Autoregressive Distributed Lag. From the result of analysis, we found out that long run relationship existed but no regressor was found to be significant. Credit to the private sector to GDP was inversely related to GDP growth whereas money supply to GDP had positive relations with economic growth rate, time and savings deposits in commercial banks negatively affected national growth. Policies favoring credit lending to the private sector should be encouraged by stakeholders in the economy, for instance, higher savings interest rates would encourage more savings. More importantly, policies should be enacted to make sure that savings are transmitted into productive investments that can yield financial deepness

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Natural Interest Rate: Sraffa Vs. Hayek Debates

Moscow University Economics Bulletin ◽

10.38050/01300105201931 ◽

2019 ◽

Vol 2019 (3) ◽

pp. 3-16

Author(s):

Aleksandr Kovalev

Keyword(s):

Interest Rate ◽

Interest Rates ◽

Economic Thought ◽

Business Cycle Theory ◽

Natural Rate ◽

Main Method ◽

Natural Rate Of Interest ◽

History Of ◽

The Impact

This article deal with the discussion between F. Hayek and P. Sraffa in the 1930s. This piece of the history of economic thought is not presented in the Russian-speaking literature. The main method is a content analysis. The directions of criticism Hayek’s business cycle theory by Sraffa and the response towards is analyzed in the paper. The author compared the opponents’ approaches to the essence of the equilibrium, to the savings-investments equality, to the possibility to lose capital as a result of malinvestments, to the role of expectations, and to the natural rate of interest. A version was offered for explaining the ineffectiveness of Hayek's answer to the question on the multiplicity of natural interest rates and the reasons why the barter economy has been perceived as theoretical basis of the Hayekian analysis. It is the inaccurate wording of the natural interest rate and the representation the theory within the framework of the equilibrium paradigm. The findings of the research may be applied to analyze the impact of interest rate regulation on the economic.

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