scholarly journals THE IMPACT OF KEY VARIABLES FROM THE WORLD FINANCIAL MARKET ON THE ECONOMY OF BOSNIA AND HERZEGOVINA // UTICAJ KLJUČNIH VARIJABLI SA SVJETSKOG FINANSIJSKOG TRŽIŠTA NA BOSANSKOHERCEGOVAČKU EKONOMIJU

2017 ◽  
Vol 14 (2) ◽  
Author(s):  
Dragan Jović
Keyword(s):  
Interest Rate ◽  
Bosnia And Herzegovina ◽  
Financial Market ◽  
Industrial Production ◽  
Price Level ◽  
Var Model ◽  
Domestic Economy ◽  
The World ◽  
Key Variables ◽  
The Impact

In line with the previous surveys, conducted in developed economies, we selected a group of variables for the construction of the VAR model. We tested the link between variables of global financial market and domestic macroeconomic variables. In the VAR model we set the restriction in the way that domestic economic variables cannot affect global variables. We have chosen variables from leading global market – the USA. The key exogenous variables where federal funds rate, index of implied volatility, VIX, while S&P 500 was the control variable. We measured the impact of foreign interest rate and volatility i.e. uncertainty on domestic variables: wages, CPI, employment and industrial production. The world financial market and the real sector in Bosnia and Herzegovina are connected. Federal Fund Rate (FFR) has the influence on wages, employment and industrial production in Bosnia and Herzegovina. Shock in FFR (growth in FFR) leads to contraction of economic activity in Bosnia and Herzegovina; industrial production decrease, employment and also wages. Growth in global financial market volatility, i.e. growth in VIX index, negatively influences the domestic macro variables, but this influence is weaker than the influence of FFR, and is significantly lower. Changes in FFR and VIX have week and statistically insignificant impact on domestic consumer price level in Bosnia and Herzegovina, because domestic CPI is determined by price level in euro zone and by price level of world commodities. We have confirmed the working hypothesis about connection of domestic economy with key variables in the world financial market, and our final conclusion is that the interest rate channel (FFR) has a very strong influence on domestic economy at the significance level of 95% and 68%. The economy of Bosnia and Herzegovina, although in much less extent then FFR, is also affected (at around 68% level) by uncertainty in the global financial market, measured by volatility i.e by using VIX. The new research on this topic should establish a link between key variables in euro zone and macroeconomic performance of domestic economy.

The impact of the digital economy on the development of Russian industry

2018 ◽  
Vol 34 (1) ◽  
pp. 3-9
Author(s):  
M. S. Abrashkin ◽  
A. A. Vershinin
Keyword(s):  
Automotive Industry ◽  
Industrial Production ◽  
Industrial Development ◽  
Digital Economy ◽  
Domestic Economy ◽  
Theoretical Substantiation ◽  
Russian Industry ◽  
Technological Structure ◽  
The Impact ◽  
Technological Paradigms

The article analyzes the market of computer technologies. The theoretical substantiation of the scientific category «digital economy» and its economic components was given. Identified patterns of development of the domestic economy on the basis of informatization, the change of technological paradigms and the dynamics of industrial production. Based on the materials of the automotive industry, the influence of the digital economy on the internal industrial and technological structure of the industry and the results of its activities was proved. Also, the paper presents the main problems of sustainable industrial development in the context of socio-technical and economic means of developing science and technology in Russia.

scholarly journals Monetary Policy and Liquidity of Vietnam’s Stock Market

2016 ◽  
Vol 23 (02) ◽  
pp. 02-21
Author(s):  
Ly Tran Thi Hai
Keyword(s):  
Time Series ◽  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Industrial Production ◽  
Market Liquidity ◽  
Var Model ◽  
Market Returns ◽  
Liquidity Measures ◽  
The Impact

This study investigates the impact of monetary policy on liquidity of Vietnam’s stock market from September 2007 to November 2014. Time series of liquidity are determined by monthly liquidity data for 643 enterprises in the surveyed period. Two variables of the monetary policy, including growth in money supply and interbank rate, are employed in VAR model along with four different measures of market liquidity. The results show that unexpected variance in the two monetary policy variables has no significant impact on the market liquidity, which, in turn, may be improved by the positive shocks of market returns, inflation, and growth in industrial production. Market variance does produce certain effects, but discrepancies occur in the signs of various liquidity measures.

scholarly journals Monetary Transmission through Interest Rate Channel in Vietnam Before and After the Crisis

2014 ◽  
Vol 222 ◽  
pp. 51-75
Author(s):  
Hương Trầm Thị Xuân ◽  
Vinh Võ Xuân ◽  
CẢNH NGUYỄN PHÚC
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Monetary Transmission ◽  
Var Model ◽  
Macroeconomic Theory ◽  
Cost Channel ◽  
Before And After ◽  
The Cost ◽  
The Impact ◽  
Interest Rate Channel

The paper employs the VAR model to examine the impact of monetary policy on the economy through interest rate channel (IRC) and levels of transmission before and after the 2008 crisis. The results indicate that in the period before the financial crisis, IRC exists in accordance with macroeconomic theory; however, the crisis period, in which increases in SBV monetary policy rates lead to increased inflation, has proved the existence of the cost channel of monetary transmission in Vietnam.

scholarly journals Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2183
Author(s):  
Jiaqi Zhu ◽  
Shenghong Li
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Financial Market ◽  
Equilibrium Strategy ◽  
Stochastic Interest Rate ◽  
Programming Approach ◽  
Model Parameters ◽  
Stochastic Interest ◽  
The Impact ◽  
Mean Variance

This paper studies the time-consistent optimal investment and reinsurance problem for mean-variance insurers when considering both stochastic interest rate and stochastic volatility in the financial market. The insurers are allowed to transfer insurance risk by proportional reinsurance or acquiring new business, and the jump-diffusion process models the surplus process. The financial market consists of a risk-free asset, a bond, and a stock modelled by Heston’s stochastic volatility model. Interest rate in the market is modelled by the Vasicek model. By using extended dynamic programming approach, we explicitly derive equilibrium reinsurance-investment strategies and value functions. In addition, we provide and prove a verification theorem and then prove the solution we get satisfies it. Moreover, sensitive analysis is given to show the impact of several model parameters on equilibrium strategy and the efficient frontier.

scholarly journals Banking Sector Capitalization and Deposit Money Banks’ Profitability in Nigeria

2016 ◽  
Vol 3 (3) ◽  
pp. 203-213 ◽  
Author(s):  
Lambert Ejokor John Konboye ◽  
Alwell Nteegah
Keyword(s):  
Interest Rate ◽  
Inflation Rate ◽  
Banking Sector ◽  
Price Level ◽  
Real Income ◽  
Financial Deepening ◽  
Frontier Analysis ◽  
Low Efficiency ◽  
Frontier Efficiency ◽  
The Impact

The incessant bank distress coupled with the poor financial intermediation capacity of the banking sector has been identified as the main problems of the banking subsector in Nigeria. This underscores the continue quest for increase capital base of banks as possible remedy to these problems. This development makes it imperative for us to examine how capitalization has affected banks profitability in Nigeria. To achieve our objectives, both panel and Partial Frontier efficiency analyses were utilized in this investigation. Using gross profits of 18 DMBs as dependent variable while capital base of DMBs, real income (GDP), financial deepening, interest rate and inflation rate are independent variables, we found that: capitalization has a significant impact on profitability of banks, while financial development, real income level were found to had contributed less to profitability of banks in Nigeria. It was further discovered that, interest rate has less implication on the profitability, while the impact of inflation on profitability of banks was positively but insignificantly. We also found that 58 % of the total variation in profitability is influenced by capital base, financial deepening, interest rate, GDP and price level in Nigeria over the period. The study further revealed that impact of capitalization on profitability of banks is the same across the banks. Finally, using the partial efficiency frontier analysis, we found that Unity Bank and UBA performed better with improved capital base while Union and Heritage Banks performed abysmally with high capital base given the very low efficiency scores. Based on these findings, the study recommends; periodic upward review of capital base of banks, stable macroeconomic policy, and creating enabling environment for investments as ways of enhancing an efficient financial sector and growth of the Nigerian economy. Int. J. Soc. Sc. Manage. Vol. 3, Issue-3: 203-213

scholarly journals Impact of agricultural supports on competitiveness of agricultural products

2020 ◽  
Vol 66 (No. 6) ◽  
pp. 286-295
Author(s):  
Hasan Arisoy
Keyword(s):  
Competitive Advantage ◽  
Agricultural Sector ◽  
Vector Autoregression ◽  
Terms Of Trade ◽  
Agricultural Products ◽  
Var Model ◽  
Political Variable ◽  
The World ◽  
The Impact ◽  
Over Time

The agricultural sector is being supported in Turkey, as well as in the world. The issue of competitiveness is observed in agriculture, despite supports. This study aims at investigating the impact of agricultural supports in Turkey on competitiveness of agricultural products. Vector autoregression (VAR) model has been adopted in the study. The internal terms of trade (TOT), percentage producer support estimate (PSE), and the producer nominal protection coefficient (NPC) variables have been included in the model. The internal terms of trade in Turkey have developed over time against the benefit of agricultural sector. PSE has had a significant impact on TOT. Therefore, the use of PSE as a political variable has been concluded as a significant. Means of support must be discussed in Turkey more than the amount of supports. In particular, supports that will provide farmers with competitive advantage and boost up product farmyard prices will be more efficient and beneficial for farmers.

scholarly journals PERANAN KEBIJAKAN MONETER DALAM MENJAGA STABILITAS PEREKONOMIAN INDONESIA SEBAGAI RESPON TERHADAP FLUKTUASI PEREKONOMIAN DUNIA

2007 ◽  
Vol 9 (2) ◽  
pp. 145-177
Author(s):  
M. Maulana Al Arif ◽  
Achmad Tohari
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Open Economy ◽  
Small Open Economy ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
The World ◽  
The Exchange Rate ◽  
The Impact

This paper analyzes the impact of the inflation and the world interest rate on the Indonesian economy and the effectiveness of the Indonesian central bank policy to adopt the domestic macroeconomic fluctuation.Assuming Indonesia as a small-open economy, the Stuctural Vector Autoregressive Model is utilized on the monthly data during the periode of 1999: 1 – 2004: 12 covering the main domestic macroeconomic indicator (output, price, money supply, interest rate and the exchange rate) and the world oil price and world interest rate as the disturbance source.The analysis provides 2 main results, first, the international variables do have impacts on the domestic variables fluctuation, implying the fragility of the domestic economy due to the external shock, second, the monetary policy is effective on supporting the economic growth and stabilizing the price level. However, the Bank Indonesia policy to stabilize the international shock via the exchange rate channel, contributes to a higher impact of the international shock on domestic interest rate.Keywords: monetary policy, business cycle, SVARJEL Classification: E52, E32, C32, F41

scholarly journals The Impact of Macroeconomic Factors on US Islamic and Conventional Equity

2019 ◽  
Vol 32 (2) ◽  
pp. 43-58
Author(s):  
Mazhar Hallak Kantakji Mazhar Hallak Kantakji
Keyword(s):  
Interest Rate ◽  
Industrial Production ◽  
Stock Index ◽  
Screening Process ◽  
Macroeconomic Factors ◽  
Long Run ◽  
The Us ◽  
Endogenous Variables ◽  
Short Run ◽  
The Impact

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities.

СОВРЕМЕННЫЕ ТЕНДЕНЦИИ И ПЕРСПЕКТИВЫ РАЗВИТИЯ БАНКОВСКОГО СЕКТОРА

2021 ◽  
Author(s):  
A.A. Mussina ◽  
M.A. Svyatova ◽  
А.А. Мусина ◽  
М.А. Святова
Keyword(s):  
Financial Market ◽  
Banking Sector ◽  
Integrated Approach ◽  
Real Sector ◽  
The Real ◽  
Current Trends ◽  
The World ◽  
State Of The Economy ◽  
Banking Business ◽  
The Impact

The state of the economy in any country determines the level of development of banking, since these two areas are directly interconnected and interdependent. This was confirmed again in 2020-21, when the world was hit by a pandemic associated with Covid19, which led to a fall in the economies of the countries of the world and, accordingly, to restrictions on the activities of all spheres, including the banking sector. The banking statistics of recent years characterize a rather tense situation in the industry, which cannot but arouse interest in studying both the causes and possible consequences not only for the banking business, but also for the economy as a whole. Despite the fact that in 2020 the banking sector of Kazakhstan showed a positive result, it is impossible to make an optimistic conclusion about a favorable situation in the banking business. It is necessary to pay attention to the importance of such an integrated approach due to the fact that recently there is often a one-sided interpretation of a commercial bank as a financial intermediary, which infringes on its role as a producer of loans, which are one of the main banking products. The bank, as a credit provider, has recently begun to lose its position in terms of its target direction in the real sector, reorienting itself to profitable and risky areas. The consequences of such a policy are felt, first of all, on the general state of the economy, the lag in the development of the real sector, and the outstripping growth of the financial market, which is disconnected from real projects. The article presents the results of a study conducted to assess the impact of current trends in the development of the banking sector on the prospects of the banking activities in Kazakhstan. Состояние экономики в любой стране определяет уровень развития банковской деятельности, поскольку эти две сферы непосредственно взаимосвязаны и взаимообусловлены. Это еще раз подтвердилось в 2020-21 годах, когда на мир обрушилась пандемия, связанная с Covid19, приведшая к падению экономик стран мира и, соответственно, к ограничениям деятельности всех сфер, в том числе банковского сектора. Статистика банковской деятельности последних лет характеризует достаточно напряженную ситуацию в отрасли, что не может не вызывать интереса к исследованию как причин, так и возможных последствий не только для банковского бизнеса, но и для экономики в целом. Несмотря на то, что за 2020 год банковский сектор Казахстана показал положительный результат, нельзя сделать оптимистичный вывод о благоприятной ситуации в сфере банковского бизнеса. Следует обратить внимание на важность такого комплексного подхода в связи с тем, что в последнее время часть встречается однобокая трактовкакоммерческого банка как финансового посредника, ущемляющая его роль как производителя кредитов, являющихся одними из главных банковских продуктов. Банк, как поставщик кредита, в последнее время стал терять свои позиции в части его целевого направления в отрасли реального сектора, переориентировавшись на прибыльные и рисковые направления. Последствия такой политики ощутимы, в первую очередь, на общем состоянии экономики, отставании развития реального сектора, опережении темпов роста финансового рынка, оторванного от реальных проектов. В статье приведены результаты исследования, проведенного с целью оценки влияния текущих трендов развития банковского сектора на перспективы банковской деятельности в Казахстане.

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