The Relationship between Interest Rate Differentials and Macroeconomic Variables: A Panel Data Study for European Countries

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 13-15
Author(s):  
William A. Barker
Keyword(s):  
Panel Data ◽  
Interest Rate ◽  
European Countries ◽  
Macroeconomic Variables ◽  
The Relationship ◽  
Interest Rate Differentials

scholarly journals MACROECONOMIC VARIABLES AND CAPITAL STRUCTURE: PUBLIC FINANCE AND INSURANCE IN LATIN AMERICA AND ASIA

2021 ◽  
Vol 9 (2) ◽  
pp. 133-142
Author(s):  
Caio Augusto Franco Lucas ◽  
Rafael Martins Noriller ◽  
Rosemar José Hall ◽  
Maria Aparecida Farias de Souza Nogueira ◽  
Ducineli Regis Botelho
Keyword(s):  
Public Finance ◽  
Latin America ◽  
Exchange Rate ◽  
Interest Rate ◽  
Capital Structure ◽  
Insurance Companies ◽  
Panel Analysis ◽  
Macroeconomic Variables ◽  
The Relationship ◽  
The Capital Structure

This article analyzes the relationship between macroeconomic variables and the capital structure of public finance and insurance companies in Latin America and Asia. The variables used were: Gross Domestic Product (GDP), Exchange Rate (ER), Interest Rate (%Δ IR), and Capital Structure (CS). Data were analyzed annually from 2010 to 2018 by static panel analysis and multiple regression using the Newey-West estimator. Interest rate and exchange rate were negatively correlated with CS. However, GDP was not significantly correlated with CS at 10% probability. It is concluded that macroeconomics interferes with the capital structure of financial institutions in Latin America and Asia.

The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials

2003 ◽  
Vol 4 (4) ◽  
pp. 409-431 ◽  
Author(s):  
Peter Tillmann
Keyword(s):  
Interest Rate ◽  
Impulse Response Functions ◽  
Relative Importance ◽  
Response Functions ◽  
Macroeconomic Shocks ◽  
Macroeconomic Variables ◽  
Policy Measures ◽  
Over Time ◽  
Interest Rate Differentials

Abstract With persistence in macroeconomic variables two aspects of exchange rate credibility emerge whose relative importance varies over time. Both aspects have opposite implications for the relation between fundamentals and credibility. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper a Markov-switching VAR that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent determination of credibility for major EMS currencies. Regime-dependent impulse response functions reveal substantial differences in the response of spreads to macroeconomic shocks across regimes.

Debt-oriented Capital Structure and Economic Growth: Panel Evidence for OECD Countries

2019 ◽  
Vol 27 (4) ◽  
pp. 519-542
Author(s):  
Syed Munawar Shah ◽  
Mariani Abdul-Majid ◽  
Zulkefly Abdul Karim
Keyword(s):  
Economic Growth ◽  
Panel Data ◽  
Capital Structure ◽  
Direct Relationship ◽  
Oecd Countries ◽  
European Countries ◽  
Real Sector ◽  
The Real ◽  
The Relationship

This paper examines the relationship between debt-oriented capital structure and economic growth by analysing a panel data of 16 European countries, based on the availability of data. We find that the corporate leverage in financial and non-financial corporations affects economic growth negatively. Furthermore, the results indicate that the leverage in non-financial corporations affects economic growth more than the leverage in financial corporations. This is due to the direct relationship between economic growth and the real sector and the fact that non-financial corporations in OECD countries hold more debt as compared with financial corporations.

scholarly journals The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach

World Economy ◽  
2012 ◽  
Vol 35 (9) ◽  
pp. 1162-1185 ◽  
Author(s):  
R. Scott Hacker ◽  
Hyunjoo Kim Karlsson ◽  
Kristofer Månsson
Keyword(s):  
Interest Rate ◽  
Exchange Rates ◽  
The Relationship ◽  
Interest Rate Differentials

The Distorting Impact of Capital Controls

2012 ◽  
Vol 13 (1) ◽  
pp. 41-55 ◽  
Author(s):  
Makram El-Shagi
Keyword(s):  
Panel Data ◽  
Interest Rate ◽  
Interest Rates ◽  
Capital Controls ◽  
Capital Allocation ◽  
Asian Crisis ◽  
Capital Inflows ◽  
International Capital ◽  
Interest Rate Differentials

Abstract This paper uses panel data to show that capital controls have a significant impact on international interest rate differentials. Various types of controls can be distinguished within the data. The analysis shows that the aforementioned effects of capital controls on interest rates are especially strong in the case of capital import controls on portfolio capital; the implementation of these controls has been suggested in the wake of the Asian Crisis to prevent further crises. The results presented herein contradict the hypothesis that capital controls can achieve a restructuring of the maturity of capital inflows without a distortion in international capital allocation.

scholarly journals Financial Inclusion and Tax Revenue: Evidence From Europe

2021 ◽  
Vol 12 (2) ◽  
pp. 27
Author(s):  
Bassam Al-Own ◽  
Tareq Bani-Khalid
Keyword(s):  
Panel Data ◽  
Strong Evidence ◽  
Credit Card ◽  
Financial Inclusion ◽  
European Countries ◽  
Tax Revenue ◽  
Bank Account ◽  
The Government ◽  
The Relationship ◽  
Over Time

This paper aimed to investigate the relationship between financial inclusion and tax revenue using measures from the Global Findex database for a sample of 28 European countries between 2011- 2017. The data were analysed using panel data methodology. The number of people who are financially included in this observed period might increase over time, which would create more income and in turn lead to higher tax contributions to the government. We found strong evidence to suggest that financial inclusion represents one of the determinants of tax revenue in European countries. Results of the analysis show positive and significant impact of financial inclusion as measured by Bank account (% of age +15) and credit card ownership (% age 15+) on tax revenues measures. The results are robust using several sources of taxation. The findings suggest that higher financial inclusion is associated with more tax revenue. These results should be of great interest to regulators and policymakers to take advantage of the developments on financial inclusion.

scholarly journals A Study on the Relationship between Money Supply and Macroeconomic Variables in China

2017 ◽  
Vol 8 (6) ◽  
pp. 99-107 ◽  
Author(s):  
Yugang He
Keyword(s):  
Interest Rate ◽  
Money Supply ◽  
Inflation Rate ◽  
Series Data ◽  
Macroeconomic Variables ◽  
The Real ◽  
Real Gdp ◽  
The Interest Rate ◽  
The Impact ◽  
The Relationship

AbstractMany scholars have examined the importance of the money supply to the macroeconomics in developed countries. However, few studies have explored this proposition in developing countries. So, in this paper, annual series data from 2000 to 2016 is applied to analyze the relationship between the money supply (M2) and the macroeconomic variables (the real GDP, the inflation rate & the interest rate) under the vector auto regression (VAR) model in China. The purpose of this paper is to verify the impact of these variables on the money supply in China. After performing an empirical analysis, conclusions can be obtained that an increase in the real GDP can result in an increase in the money supply; Also, an increase in the inflation rate can lead to an increase in the money supply; Conversely, an increase in the interest rate can cause a decrease in the money supply. Therefore, via adjusting the change of real GDP, inflation rate and interest rate, a better control of the money supply can be performed for the policy-makers in China.

scholarly journals The Effect of Changes in GDP and Interest Rate on Savings: Panel Data Evidence on 6 ASEAN Countries

2016 ◽  
Vol 2 (3) ◽  
pp. 110
Author(s):  
Nurhikmah Ola Lairi ◽  
Cheng-Wen Lee
Keyword(s):  
Panel Data ◽  
Interest Rate ◽  
Fixed Effect Model ◽  
Positive Relation ◽  
Hausman Test ◽  
Effect Model ◽  
Panel Data Econometrics ◽  
Asean Countries ◽  
To Come ◽  
The Relationship

The objecive of this study is to examine the relationship between GDP, Interest rate and saving across the ASEAN-6 countries namely Indonesia, Malaysia, Singapore, Vietnam, Philippines and Thailand using Panel Data Econometrics. This paper uses Hausman Test to come up with fixed effect model as the best model. The study found the positive relation between GDP and Interest rate with saving.

Sign in / Sign up

Export Citation Format

Share Document