224 research outputs found
Financial Liberalization and Emerging Stock Market Volatility
In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative methodologies of of endogenous breakpoints detection that estimate the dates at which the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a diÀerent manner over the periodemerging markets, volatility, multiple structural breaks
Banksâ Net Interest Margin in the 2000s: A Macro-Accounting International Perspective
This paper re-examines the determinants of Net Interest Margin (NIM) in the banking industries
of 15 developed and emerging economies. It presents three main contributions
with respect to previous studies: first, we analyze the determinants of NIM in the years
leading to the 2008 financial crisis; second, we account for the role of different accounting
standards across countries; third, we use multi-way cluster estimation methodologies
which control for cross-sectional and time-series dependence in macroeconomic and
banking variables. We find that the introduction of International Financial Reporting
Standards (IFRSs) contributed to lower NIM variations unexplained by standard accounting
variables. Interest rate volatility is found to be positively and strongly related to
NIM dynamics, whereas inflation risk is often found to be a relevant driver of NIM crosscountry
differences
Time Series
This paper first shows that survey-based expectations (SBE) outperform standard time
series models in U.S. quarterly inflation out-of-sample prediction and that the term structure
of survey-based inflation forecasts has predictive power over the path of future inflation
changes. It then proposes some empirical explanations for the forecasting success
of survey-based inflation expectations. We show that SBE pool a large amount of heterogeneous
information on inflation expectations and react more flexibly and accurately
to macro conditions both contemporaneously and dynamically. We illustrate the flexibility
of SBE forecasts in the context of the recent financial crisis
Exploring the oil prices and exchange rates nexus in some African economies
This paper investigates the relationship between oil prices and exchange rates in three African countries using a Vector AutoRegressive (VAR) model. We use daily dataset on nominal exchange rates, oil prices and short term interbank interest rates from 01/12/2003 to 02/07/2014. The results suggest that the exchange rate of three selected countries displayed differing in the event of an oil price shock, not only before and after the oil peak of July of 2008, but also between each other, implying that no general rule can be made for net oil importing sub-Saharan countries, such as Botswana, Kenya and Tanzania. From our analysis we conclude that after an oil price peak, the Botswanan pula clearly appreciates against the US dollar, the Kenyan and Tanzanian shilling
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