Contagion risk for Australian authorised deposit-taking institutions

This paper investigates the contagion risk for Australian-owned authorized deposit taking institutions (ADIs) spilling from the US and UK banks. We hypothesized that Australian ADIs are prone to extreme shocks experienced by its US and UK counterparts. We define four discrete events for the Australian banking sector in terms of the number of banks exceeding at a time an extreme value. The extreme value is defined as the 90th percentile on the negative tail of the distribution of changes in the distance to default obtained through Black and Scholes (1973) and Merton (1974) formula. Then we fit a multinomial logistic model (MLM) to relate these events to the number of exceedances (extreme events) occurring in the US and the UK in the previous day for the time period September 2006 to September 2011. The MLM estimates reveal strong contagion effects for Australian ADIs from the US and UK banks

Pseudo Random Binary Sequence Based on Cyclic Difference Set

With the increasing reliance on technology, it has become crucial to secure every aspect of online information where pseudo random binary sequences (PRBS) can play an important role in today's world of Internet. PRBS work in the fundamental mathematics behind the security of different protocols and cryptographic applications. This paper proposes a new PRBS namely MK (Mamun, Kumu) sequence for security applications. Proposed sequence is generated by primitive polynomial, cyclic difference set in elements of the field and binarized by quadratic residue (QR) and quadratic nonresidue (QNR). Introduction of cyclic difference set makes a special contribution to randomness of proposed sequence while QR/QNR-based binarization ensures uniformity of zeros and ones in sequence. Besides, proposed sequence has maximum cycle length and high linear complexity which are required properties for sequences to be used in security applications. Several experiments are conducted to verify randomness and results are presented in support of robustness of the proposed MK sequence. The randomness of proposed sequence is evaluated by popular statistical test suite, i.e., NIST STS 800-22 package. The test results confirmed that the proposed sequence is not affected by approximations of any kind and successfully passed all statistical tests defined in NIST STS 800-22 suite. Finally, the efficiency of proposed MK sequence is verified by comparing with some popular sequences in terms of uniformity in bit pattern distribution and linear complexity for sequences of different length. The experimental results validate that the proposed sequence has superior cryptographic properties than existing ones

Asymmetry and persistence of energy price volatility

This study estimates and compares the asymmetry and persistence of volatility of crude oil, natural gas and coal- three main sources of energy. This study also evaluates the effect of recent Global Financial Crisis (GFC) on the return and volatility of these energy prices. Threshold GARCH (TGARCH) and fractionally integrated GARCH (FIGARCH) model are employed to facilitate the study. The estimated results show that coal return volatility exhibits strong mean reversion whereas crude oil and natural gas return volatility endures shocks for relatively higher period. The estimated results also confirm that volatility of crude oil and natural gas increases after positive shocks in prices

Mandibular Deformity Correction by Distraction Osteogenesis

Distraction osteogenesis (DO) is a biological process of new bone formation. It could be used as an alternative treatment method for the correction of mandibular hypoplastic deformity. Modern distraction osteogenesis evolved primarily from the work of Gavriel llizarov. DO has been first applied to craniofacial region since McCarthy et al. In this case report, the patient was 17 years old male with bird face deformity due to hypoplasia of mandible resulted from bilateral TMJ ankylosis due to the fracture of both condyle at the age of 4 years. Patient’s intraincisal opening was absent 1 year back. He underwent condylectomy in both sides to release the ankylosis and to increase intraincisal opening. His mandibular length was markedly short. To increase his mandibular antero-posterior length, mandibular body distraction was done in Oral and Maxillofacial Surgery department, BSMMU. Through this procedure length of the body of mandibule was increased by 10 mm, occlusion was edge to edge and his lower facial appearance increased markedly. Mandibular body distraction osteogenesis was considerably effective when performed in a hypoplastic mandible to facilitate post-operative functional and esthetic restoration. Long term follow-up is necessary to evaluate relapse and complications. DOI: 10.3329/bsmmuj.v3i2.7061BSMMU J 2010; 3(2): 103-10

Financial soundness and development : a multi-country analysis using panel data

A large body of the literature argues that the soundness of financial system is largely determined by the economic and institutional environment in which the financial system works. Drawing on this theoretical underpinning, research in this thesis models financial soundness indicators (FSIs) across the globe in terms of a set of macroeconomic and institutional variables. We have considered three core aspects of the health of financial intermediaries namely capital adequacy, asset quality and profitability. After controlling for time-invariant country specific heterogeneities in the panel data, our econometric analysis reveals a strong influence from the business cycle, inflation, and real effective exchange rates, and size of the industry on capital adequacy. Moreover, by incorporating rarely changing variables in the econometric models, we have found that the variation of financial soundness across countries can largely be explained by institutional and political characteristics. Furthermore, our analyses provide evidence that banks’ profitability is determined by a combination of macroeconomic, bank specific and industry characteristics such as business cycle, inflation, credit risk and capital adequacy, and the level of competition. Empirical research in the thesis also considers whether increases in aggregate money balances with banks and aggregate credits provided by them to the private sectors directly help alleviate poverty. Our results suggest that other than the indirect effect that trickles down to the poor through growth, an increase in the ratio of private credits to GDP does not directly translate into improved living conditions of the poor. Our analysis provides evidence that if financial development has any direct effect on the poor at all, that is realized through the McKinnon’s conduit effect captured by the ratio of M3 to GDP. Our analysis also predicts a positive correlation between the level of financial development and financial instability, implying that the latter may seriously downsize the potential conduit effect. Furthermore, in our analysis, corruption appears as a threat to both the direct and the indirect effects of financial development

Bank health in varying macroeconomic conditions: A panel study

Using panel data on selected Financial Soundness Indicators (FSIs) this paper investigates the potential strengths and vulnerabilities of financial intermediaries across more than 50 countries. Our econometric analysis reveals strong influence of business cycle, inflation, and real effective exchange rates, and size of the industry on capital adequacy --a core indicator of banks' financial soundness. Furthermore, our analyses provide evidence that banks' profitability is determined by a combination of macroeconomic, bank specific and industry characteristics such as business cycle, inflation, credit risk, capital adequacy, and the level of competition.Global financial stability Financial Soundness Indicators Generalized Method of Moments Financial intermediaries

Finance and poverty : evidence from fixed effect vector decomposition

In this paper we attempt to distinguish the direct effect of financial development on poverty reduction from its indirect effect through economic growth. Using an efficient estimator called fixed effect vector decomposition (FEVD) we employ a set of panel data from 54 developing countries for the period 1993–2004. Our results indicate that on average financial development is conducive for poverty reduction but the instability accompanying financial development is detrimental to the poor. The major policy recommendations suggested by the paper indicate that financial sector reforms should be directed at easing credit restrictions while taking into consideration the effects of financial instability on the poor

Finance and poverty: Evidence from fixed effect vector decomposition

In this paper we attempt to distinguish the direct effect of financial development on poverty reduction from its indirect effect through economic growth. Using an efficient estimator called fixed effect vector decomposition (FEVD) we employ a set of panel data from 54 developing countries for the period 1993-2004. Our results indicate that on average financial development is conducive for poverty reduction but the instability accompanying financial development is detrimental to the poor. The major policy recommendations suggested by the paper indicate that financial sector reforms should be directed at easing credit restrictions while taking into consideration the effects of financial instability on the poor.Finance Poverty Vector decomposition Emerging markets

Indicators of financial soundness : can they forewarn us of impending crisis?

In this paper we investigate how Financial Soundness Indicators (FSI) responds to changing macroeconomic and institutional conditions. FSls are aggregate measures of the current financial health and soundness of financial institutions in a country including corporate and household counterparties. FSls are now compiled and disseminated by a large number of national regulatory authorities. Post Asian Financial crisis revealed major gaps in the statistical coverage of both the domestic and external financial sectors which allowed serious vulnerabilities to remain undetected. Such gaps in information flows prohibited national authorities from taking timely and appropriate steps to improve conditions. More recently in the aftermath of the 2008 Credit Crisis financial regulators were pushed to explain why there was no official forewarning of the impending crisis. The paper documents various Financial Soundness Indicators employed by authorities to monitor the financial health of economies. The conclusion from surveying the available financial indicators is that these tools appear to have become more reliable and consistent especially in illustrating asset quality across groups of countries. However financial regulators require a better understanding and a more appropriate framework for assessing financial indicators if they are to position themselves at the forefront in providing warnings of impending crisis

Bank health in varying macroeconomic conditions : a panel study

Using panel data on selected Financial Soundness Indicators (FSIs) this paper investigates the potential strengths and vulnerabilities of financial intermediaries across more than 50 countries. Our econometric analysis reveals strong influence of business cycle, inflation, and real effective exchange rates, and size of the industry on capital adequacy —a core indicator of banks' financial soundness. Furthermore, our analyses provide evidence that banks' profitability is determined by a combination of macroeconomic, bank specific and industry characteristics such as business cycle, inflation, credit risk, capital adequacy, and the level of competition