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Volume 11 (2022): Issue 3 (September 2022)

Volume 11 (2022): Issue 2 (May 2022)

Volume 11 (2022): Issue 1 (January 2022)

Volume 10 (2021): Issue 3 (September 2021)

Volume 10 (2021): Issue 2 (May 2021)

Volume 10 (2021): Issue 1 (January 2021)

Volume 9 (2020): Issue 3 (September 2020)

Volume 9 (2020): Issue 2 (May 2020)

Volume 9 (2020): Issue s1 (July 2020)

Volume 9 (2020): Issue 1 (January 2020)

Volume 8 (2019): Issue 3 (September 2019)

Volume 8 (2019): Issue 2 (May 2019)

Volume 8 (2019): Issue 1 (January 2019)

Volume 7 (2018): Issue 3 (September 2018)

Volume 7 (2018): Issue 2 (May 2018)

Volume 7 (2018): Issue 1 (January 2018)

Volume 6 (2017): Issue 3 (September 2017)

Volume 6 (2017): Issue 2 (May 2017)

Volume 6 (2017): Issue 1 (January 2017)

Volume 5 (2016): Issue 3 (September 2016)

Volume 5 (2016): Issue 2 (May 2016)

Volume 5 (2016): Issue 1 (January 2016)

Volume 4 (2015): Issue 3 (September 2015)

Volume 4 (2015): Issue 2 (May 2015)

Volume 4 (2015): Issue 1 (January 2015)

Volume 3 (2014): Issue 3 (September 2014)

Volume 3 (2014): Issue 2 (May 2014)

Volume 3 (2014): Issue 1 (January 2014)

Journal Details
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English

Search

Volume 8 (2019): Issue 2 (May 2019)

Journal Details
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English

Search

10 Articles
access type Open Access

Central Bank Communication and Monetary Policy Predictability under Uncertain Economic Conditions

Published Online: 22 May 2019
Page range: 5 - 32

Abstract

Abstract

Modern central banks increasingly value monetary policy transparency, and attempt to build credibility by communicating their decisions to the public. This paper studies whether the communication of central banks can be used to explain upcoming changes in their most important monetary policy instrument, the short-term refinancing rate, and whether the public can trust central bank communication during times of financial crisis.

This is done by constructing an indicator to measure the predictability of monetary policy by calculating the median of the policy makers’ official comments. The performance of this indicator is studied with ordered probit methods. The results show that predictability was reached relatively well at central bank level during the financial crisis despite the rapid growth of economic uncertainty, and that communication can be a useful tool for central banks during uncertain times.

Keywords

  • Monetary Policy
  • Central banking
  • Communication
  • Central Banks and Their Policies

JEL Classification

  • D83
  • E50
  • E52
  • E58
  • E59
access type Open Access

A Model of Crisis Prevention (Based on managing change, quality management and risk management)

Published Online: 22 May 2019
Page range: 33 - 49

Abstract

Abstract

The main task of this research is to create a model that enables an organization to effectively and effeciently resolve its everyday problems and potential incidents in time to prevent them from turning into a crisis. For solving problems, ad hoc measures and activities are often applicable, while incidents can be resolved by applying appropriate, predefined procedures and planned resources. On the other hand, crises are rarely resolvable through the application of any predefined procedures and plans. They demand changes and innovations, as well as a flexible, creative, strategic and sustained response. Therefore, it follows that it is incomparably better to adequately resolve problems and incidents on time, rather than to grapple with a crisis and all the complexity, uncertainty and anxiety that it brings with it. The Model of Crisis prevention presented in this research is based on effectively managing change and conflict, as well as on the synergy of Quality Management Principles and Risk Management Principles.

Keywords

  • Problems
  • Incidents
  • Crisis
  • Quality Management Principles
  • Risk Management Principles
  • Change Management
  • a Model of Crisis Prevention

JEL Classification

  • M10
  • M12
  • M54
access type Open Access

The Swiss National Bank’s fear of float

Published Online: 22 May 2019
Page range: 51 - 64

Abstract

Abstract

We theoretically examine under which assumptions the impossible trinity holds. We also focus on the most recent Swiss experience and ask whether the SNB gained monetary independence by switching from a fixed to a floating exchange rate system in January 2015. The theoretical examination shows that the impossible trinity holds under the following assumptions: Equality of domestic and foreign real interest rates, the quantity theory of money holds, and that the relative PPP is fulfilled. The empirical analysis reveals that relative PPP does not hold for the Swiss case and it was necessary for the SNB to adopt its monetary policy in accordance with the ECB’s expansionary monetary policy. We show that for a small open economy, such as Switzerland, whether the central bank implements a fixed or a floating exchange rate system does not play a role in its monetary policy independence.

Keywords

  • Foreign exchange market
  • Swiss crisis
  • impossible trinity
  • monetary policy independence

JEL Classification

  • E52
  • E58
  • E42
access type Open Access

Forecasting CEMAC’s foreign exchange reserves in presence of unanticipated changes in oil prices: an interrupted time series modelling

Published Online: 22 May 2019
Page range: 65 - 83

Abstract

Abstract

The foreign exchange reserves of the Central African Economic and Monetary Community (CEMAC) countries have decreased since the fall of world oil price that began in July 2014. In fact, five of the six of the CEMAC countries are oil producers. Based on interrupted time series modeling, the analysis shows that the unanticipated changes in oil prices immediately led to a decline in the level of their foreign exchange reserves. The trend is also decreasing. The model predicts a continued degradation of these reserves if oil prices remain low. In these conditions, the CEMAC could experience a currency crisis if economic policies implemented in this region do not lead to a return of economic growth.

Keywords

  • oil prices
  • CEMAC countries
  • foreign exchange reserves
  • interrupted time series analysis

JEL Classification

  • E4
  • E5
  • E6
access type Open Access

Impact of Sovereign Debt Credit Rating Revision on Banking Industry: Evidence from G7 Countries

Published Online: 22 May 2019
Page range: 85 - 100

Abstract

Abstract

The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as ‘rating watch’ announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.

Keywords

  • Sovereign Debt
  • Sovereign Credit Rating
  • Credit Rating Agency (CRA)
  • Event Study

JEL Classification

  • H63
  • E58
  • G21
access type Open Access

Basel III LCR Requirement and Banks’ Deposit Funding: Empirical Evidence from Emerging Markets

Published Online: 22 May 2019
Page range: 101 - 128

Abstract

Abstract

In December 2010, the Basel Committee on Baking Supervision introduced the liquidity coverage ratio (LCR) standard for banking institutions in response to disturbances that rocked banks during the 2007/08 global financial crisis. The rule is aimed at enhancing banks’ resilience to short term liquidity shocks as it requires banks to hold ample stock of high grade securities. This study attempts to evaluate the impact of the LCR specification on the funding structures of banks in emerging markets by answering the question “Did Basel III LCR requirement induced banks in emerging market economies to increase deposit funding more than they would otherwise do?” The study found that the LCR charge has been effective in persuading banks in emerging markets to garner more stable retail deposits. This response may engender banking sector stability if competition for retail deposits is properly regulated.

Keywords

  • Basel III
  • LCR
  • commercial banks
  • emerging market economies

JEL Classification

  • G11
  • G18
  • G19
  • G21
  • G28
access type Open Access

Leverage Ratio and its Potential For Enhancing the Effectiveness of Capital Regulation

Published Online: 22 May 2019
Page range: 129 - 146

Abstract

Abstract

The article deals with the procyclical development of risk weights and hence the risk-weighted capital ratio. The leverage ratio should be included in the regulatory reform package (CRR2) as a (non-risk-weighted) prudential backstop. The article defines the complementary relationship of capital and leverage by describing their different responses to the cyclical development associated with the change in the quality of assets in the various phases of the financial cycle. The results of the panel regression on a sample of selected countries illustrate: (i) that the banking sectors with lower capital adequacy relatively more increased the capital ratio in the period of financial stress and more often changed the structure of the assets into less risky assets for the improvement of the capital ratio, with a negative impact on profit; (ii) significantly lower pro-cyclicality of the leverage ratio than the capital ratio.

Keywords

  • macroprudential policy
  • leverage ratio
  • capital requirements

JEL Classification

  • G2
  • G18
  • G21
access type Open Access

Monetary Policy and Economic Growth in Lebanon

Published Online: 22 May 2019
Page range: 147 - 171

Abstract

Abstract

The central bank of Lebanon adopted exchange rate targeting in 1994 and it has exploited several instruments (particularly interest rate) since then to stimulate foreign financial inflows. This study aims at testing the impact of this strategy on economic performance and welfare in both the short- and long-run. In this regard, we exploit monthly data covering the period January 2002-June 2017 and implement cointegration analysis and VEC model. The empirical results suggest that monetary tools exploited by the central bank of Lebanon depress economic growth in the long-run. Moreover, despite their importance for external balance, financial inflows may hinder economic activity in both short- and long-run. On the other hand, monetary policy transmission channels through bank credit and capital play a constructive role for GDP growth.

Keywords

  • Monetary policy transmission channels
  • Financial Inflows
  • Economic growth
  • Vector Error Correction Model

JEL Classification

  • E51
  • E58
  • O42
access type Open Access

Using External Financing in a One Factor Model Measuring the Volatility of Market Risk of Vietnam's Banking Industry During and After the Global Crisis

Published Online: 22 May 2019
Page range: 173 - 187

Abstract

Abstract

This paper evaluates the impact of external financing on market risk for the listed firms in Vietnam`s banking industry, especially during and after the financial crisis 2009-2011.

First of all, by using quantitative and analytical methods to estimate asset and equity beta of total 9 listed companies in Vietnam banking industry with a proper traditional model, we found out that the beta values, in general, for many institutions are acceptable.

Second, under 3 different scenarios of changing leverage (in 2011 financial reports, 30% up and 20% down), we recognized that the risk level, measured by equity and asset beta mean, decreases when leverage increases to 30% and increases more if leverage decreases down to 20%.

Third, by changing leverage in 3 scenarios, we recognized the dispersion of risk level, measured by equity beta var, increases from 0,108 to 0,181 if the leverage increases to 30% whereas decreases to 0,073 if leverage decreases to 20%. But the dispersion measured by asset beta var decreases to 0,007 (leverage up 30%), showing leverage impact. Finally, this paper provides some outcomes that could provide companies and the government with more evidence in establishing their policies in governance.

Keywords

  • equity beta
  • financial structure
  • financial crisis
  • risk
  • external financing
  • banking industry

JEL Classification

  • G010
  • G100
  • G390
access type Open Access

Market Share, Concentration Ratio and Profitability: Evidence from Indonesian Islamic Banking Industry

Published Online: 22 May 2019
Page range: 189 - 201

Abstract

Abstract

Various literatures mention that an increasingly concentrated market will have an impact on performance. This study aims to analyze the influence of market structure on the profitability of the Islamic banking industry in Indonesia, especially after the enactment of the Islamic banking act. This research used panel regression with random effect model. The result shows that market structure - proxies by market share (MS) and concentration ratio (CR4)- does not affect profitability of the Indonesian Islamic banking industry. This result implies that the performance of the Islamic banking industry in Indonesia is not supported by the traditional hypothesis and the efficient structures hypothesis. However, this research indicates that there is no collusive behavior in the Islamic banking industry in Indonesia. Meanwhile, for control variables such as liquidity ratio, default rate, and operational efficiency ratio have been found to have adverse effect on the performance of the Islamic banking industry in Indonesia.

Keywords

  • market structure
  • performance
  • Islamic banking

JEL Classification

  • G21
  • L10
  • L25
10 Articles
access type Open Access

Central Bank Communication and Monetary Policy Predictability under Uncertain Economic Conditions

Published Online: 22 May 2019
Page range: 5 - 32

Abstract

Abstract

Modern central banks increasingly value monetary policy transparency, and attempt to build credibility by communicating their decisions to the public. This paper studies whether the communication of central banks can be used to explain upcoming changes in their most important monetary policy instrument, the short-term refinancing rate, and whether the public can trust central bank communication during times of financial crisis.

This is done by constructing an indicator to measure the predictability of monetary policy by calculating the median of the policy makers’ official comments. The performance of this indicator is studied with ordered probit methods. The results show that predictability was reached relatively well at central bank level during the financial crisis despite the rapid growth of economic uncertainty, and that communication can be a useful tool for central banks during uncertain times.

Keywords

  • Monetary Policy
  • Central banking
  • Communication
  • Central Banks and Their Policies

JEL Classification

  • D83
  • E50
  • E52
  • E58
  • E59
access type Open Access

A Model of Crisis Prevention (Based on managing change, quality management and risk management)

Published Online: 22 May 2019
Page range: 33 - 49

Abstract

Abstract

The main task of this research is to create a model that enables an organization to effectively and effeciently resolve its everyday problems and potential incidents in time to prevent them from turning into a crisis. For solving problems, ad hoc measures and activities are often applicable, while incidents can be resolved by applying appropriate, predefined procedures and planned resources. On the other hand, crises are rarely resolvable through the application of any predefined procedures and plans. They demand changes and innovations, as well as a flexible, creative, strategic and sustained response. Therefore, it follows that it is incomparably better to adequately resolve problems and incidents on time, rather than to grapple with a crisis and all the complexity, uncertainty and anxiety that it brings with it. The Model of Crisis prevention presented in this research is based on effectively managing change and conflict, as well as on the synergy of Quality Management Principles and Risk Management Principles.

Keywords

  • Problems
  • Incidents
  • Crisis
  • Quality Management Principles
  • Risk Management Principles
  • Change Management
  • a Model of Crisis Prevention

JEL Classification

  • M10
  • M12
  • M54
access type Open Access

The Swiss National Bank’s fear of float

Published Online: 22 May 2019
Page range: 51 - 64

Abstract

Abstract

We theoretically examine under which assumptions the impossible trinity holds. We also focus on the most recent Swiss experience and ask whether the SNB gained monetary independence by switching from a fixed to a floating exchange rate system in January 2015. The theoretical examination shows that the impossible trinity holds under the following assumptions: Equality of domestic and foreign real interest rates, the quantity theory of money holds, and that the relative PPP is fulfilled. The empirical analysis reveals that relative PPP does not hold for the Swiss case and it was necessary for the SNB to adopt its monetary policy in accordance with the ECB’s expansionary monetary policy. We show that for a small open economy, such as Switzerland, whether the central bank implements a fixed or a floating exchange rate system does not play a role in its monetary policy independence.

Keywords

  • Foreign exchange market
  • Swiss crisis
  • impossible trinity
  • monetary policy independence

JEL Classification

  • E52
  • E58
  • E42
access type Open Access

Forecasting CEMAC’s foreign exchange reserves in presence of unanticipated changes in oil prices: an interrupted time series modelling

Published Online: 22 May 2019
Page range: 65 - 83

Abstract

Abstract

The foreign exchange reserves of the Central African Economic and Monetary Community (CEMAC) countries have decreased since the fall of world oil price that began in July 2014. In fact, five of the six of the CEMAC countries are oil producers. Based on interrupted time series modeling, the analysis shows that the unanticipated changes in oil prices immediately led to a decline in the level of their foreign exchange reserves. The trend is also decreasing. The model predicts a continued degradation of these reserves if oil prices remain low. In these conditions, the CEMAC could experience a currency crisis if economic policies implemented in this region do not lead to a return of economic growth.

Keywords

  • oil prices
  • CEMAC countries
  • foreign exchange reserves
  • interrupted time series analysis

JEL Classification

  • E4
  • E5
  • E6
access type Open Access

Impact of Sovereign Debt Credit Rating Revision on Banking Industry: Evidence from G7 Countries

Published Online: 22 May 2019
Page range: 85 - 100

Abstract

Abstract

The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as ‘rating watch’ announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.

Keywords

  • Sovereign Debt
  • Sovereign Credit Rating
  • Credit Rating Agency (CRA)
  • Event Study

JEL Classification

  • H63
  • E58
  • G21
access type Open Access

Basel III LCR Requirement and Banks’ Deposit Funding: Empirical Evidence from Emerging Markets

Published Online: 22 May 2019
Page range: 101 - 128

Abstract

Abstract

In December 2010, the Basel Committee on Baking Supervision introduced the liquidity coverage ratio (LCR) standard for banking institutions in response to disturbances that rocked banks during the 2007/08 global financial crisis. The rule is aimed at enhancing banks’ resilience to short term liquidity shocks as it requires banks to hold ample stock of high grade securities. This study attempts to evaluate the impact of the LCR specification on the funding structures of banks in emerging markets by answering the question “Did Basel III LCR requirement induced banks in emerging market economies to increase deposit funding more than they would otherwise do?” The study found that the LCR charge has been effective in persuading banks in emerging markets to garner more stable retail deposits. This response may engender banking sector stability if competition for retail deposits is properly regulated.

Keywords

  • Basel III
  • LCR
  • commercial banks
  • emerging market economies

JEL Classification

  • G11
  • G18
  • G19
  • G21
  • G28
access type Open Access

Leverage Ratio and its Potential For Enhancing the Effectiveness of Capital Regulation

Published Online: 22 May 2019
Page range: 129 - 146

Abstract

Abstract

The article deals with the procyclical development of risk weights and hence the risk-weighted capital ratio. The leverage ratio should be included in the regulatory reform package (CRR2) as a (non-risk-weighted) prudential backstop. The article defines the complementary relationship of capital and leverage by describing their different responses to the cyclical development associated with the change in the quality of assets in the various phases of the financial cycle. The results of the panel regression on a sample of selected countries illustrate: (i) that the banking sectors with lower capital adequacy relatively more increased the capital ratio in the period of financial stress and more often changed the structure of the assets into less risky assets for the improvement of the capital ratio, with a negative impact on profit; (ii) significantly lower pro-cyclicality of the leverage ratio than the capital ratio.

Keywords

  • macroprudential policy
  • leverage ratio
  • capital requirements

JEL Classification

  • G2
  • G18
  • G21
access type Open Access

Monetary Policy and Economic Growth in Lebanon

Published Online: 22 May 2019
Page range: 147 - 171

Abstract

Abstract

The central bank of Lebanon adopted exchange rate targeting in 1994 and it has exploited several instruments (particularly interest rate) since then to stimulate foreign financial inflows. This study aims at testing the impact of this strategy on economic performance and welfare in both the short- and long-run. In this regard, we exploit monthly data covering the period January 2002-June 2017 and implement cointegration analysis and VEC model. The empirical results suggest that monetary tools exploited by the central bank of Lebanon depress economic growth in the long-run. Moreover, despite their importance for external balance, financial inflows may hinder economic activity in both short- and long-run. On the other hand, monetary policy transmission channels through bank credit and capital play a constructive role for GDP growth.

Keywords

  • Monetary policy transmission channels
  • Financial Inflows
  • Economic growth
  • Vector Error Correction Model

JEL Classification

  • E51
  • E58
  • O42
access type Open Access

Using External Financing in a One Factor Model Measuring the Volatility of Market Risk of Vietnam's Banking Industry During and After the Global Crisis

Published Online: 22 May 2019
Page range: 173 - 187

Abstract

Abstract

This paper evaluates the impact of external financing on market risk for the listed firms in Vietnam`s banking industry, especially during and after the financial crisis 2009-2011.

First of all, by using quantitative and analytical methods to estimate asset and equity beta of total 9 listed companies in Vietnam banking industry with a proper traditional model, we found out that the beta values, in general, for many institutions are acceptable.

Second, under 3 different scenarios of changing leverage (in 2011 financial reports, 30% up and 20% down), we recognized that the risk level, measured by equity and asset beta mean, decreases when leverage increases to 30% and increases more if leverage decreases down to 20%.

Third, by changing leverage in 3 scenarios, we recognized the dispersion of risk level, measured by equity beta var, increases from 0,108 to 0,181 if the leverage increases to 30% whereas decreases to 0,073 if leverage decreases to 20%. But the dispersion measured by asset beta var decreases to 0,007 (leverage up 30%), showing leverage impact. Finally, this paper provides some outcomes that could provide companies and the government with more evidence in establishing their policies in governance.

Keywords

  • equity beta
  • financial structure
  • financial crisis
  • risk
  • external financing
  • banking industry

JEL Classification

  • G010
  • G100
  • G390
access type Open Access

Market Share, Concentration Ratio and Profitability: Evidence from Indonesian Islamic Banking Industry

Published Online: 22 May 2019
Page range: 189 - 201

Abstract

Abstract

Various literatures mention that an increasingly concentrated market will have an impact on performance. This study aims to analyze the influence of market structure on the profitability of the Islamic banking industry in Indonesia, especially after the enactment of the Islamic banking act. This research used panel regression with random effect model. The result shows that market structure - proxies by market share (MS) and concentration ratio (CR4)- does not affect profitability of the Indonesian Islamic banking industry. This result implies that the performance of the Islamic banking industry in Indonesia is not supported by the traditional hypothesis and the efficient structures hypothesis. However, this research indicates that there is no collusive behavior in the Islamic banking industry in Indonesia. Meanwhile, for control variables such as liquidity ratio, default rate, and operational efficiency ratio have been found to have adverse effect on the performance of the Islamic banking industry in Indonesia.

Keywords

  • market structure
  • performance
  • Islamic banking

JEL Classification

  • G21
  • L10
  • L25

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