Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries

In this study, we investigate the financial and monetary policy responses to oil price shocks using a Structural VAR framework. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial variables. Most of these studies though, do not make a distinction between oil-importing and oil-exporting economies. Overall, our results indicate that the level of inflation in both net oil-exporting and net oil-importing countries is significantly affected by oil price innovations. Furthermore, we find that the response of interest rates to an oil price shock depends heavily on the monetary policy regime of each country. Finally, stock markets operating in net oil-importing countries exhibit a negative response to increased oil prices. The reverse is true for the stock market of the net oil-exporting countries. We find evidence that the magnitude of stock market responses to oil price shocks is higher for the newly established and/or less liquid stock market

Diversification and bank stability in the GCC

This study examines bank diversification strategies and links to financial sector stability. Using a sample of listed and unlisted banks operating in the Gulf Cooperation Council (GCC) countries over 2001 to 2014 we investigate the diversification features of conventional and Islamic banks. Our main finding overall is that income or asset diversification does not enhance bank stability. However, there is evidence of a non-linear relationship between non-interest (non-financing) income and stability indicating that banks are able to reduce risk at higher levels of diversification. Conventional banks appear to be more adversely impacted on the risk side than Islamic banks. We also find that factors such as improved institutional quality, macroeconomic conditions, and other bank-specific factors motivate greater stability.Scopu

Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting

This study evaluates the sector risk of the Qatar Stock Exchange (QSE), a recently upgraded emerging stock market, using value-at-risk models for the 7 January 2007–18 October 2015 period. After providing evidence for true long memory in volatility using the log-likelihood profile test of Qu and splitting the sample and dth differentiation tests of Shimotsu, we compare the FIGARCH, HYGARCH and FIAPARCH models under normal, Student-t and skewed-t innovation distributions based on in and out-of-sample VaR forecasts. The empirical results show that the skewed Student-t FIGARCH model generates the most accurate prediction of one-day-VaR forecasts. The policy implications for portfolio managers are also discussed. 2017 Informa UK Limited, trading as Taylor & Francis Group.Scopu

Efficient Termination Detection for Asynchronous Parallel Computations

A solution is presented to the problem of quickly detecting the end of an asynchronous parallel computation, in which processors exchange task request messages asynchronously, and termination occurs when all processors are idle and no messages are in transit. The proposed termination detection scheme is based on a finite automaton consisting of only two states, and one possible transition between states. This solution is superior in many cases to ad hoc solutions such as polling processors periodically to see if they are done, because it is simple, efficient, and has fast response time. Simulation results show that the scheme has low overhead. 1 Introduction In a shared-nothing parallel computer system [8, 11], each processor has its own memory and hard disk units, and different processors in the system communicate via message passing. In this paper we address the problem of testing for termination of a parallel computation on this type of machine when the computation is asynchronous,..

A Solution to the Parallel Trigger Termination Problem

In the design of a parallel active database system for a shared-nothing hardware platform, a problem that arises is how to quickly determine when triggers have terminated. This problem is important because triggers normally run as part of the update transaction that triggered them. This update transaction cannot commit until its triggers have finished executing. Hence, for fast update response time, trigger termination must be detected as soon as possible. In addition, in a parallel active database system for a shared-nothing system, it is important to allow trigger actions to execute concurrently on multiple processors to get intra-transaction parallelism. The parallel trigger termination problem is to determine correctly and as quickly as possible when all trigger activations running on behalf of an update transaction have terminated. This paper presents a solution to this problem based on use of a state transition graph for each concurrently executing rule agenda, and pro..

TriggerMan: An Asynchronous Trigger Processor as an Extension to an Object-Relational DBMS

This paper describes the architecture of the TriggerMan asynchronous trigger processor. TriggerMan processes triggers after updates have committed in the source database. It is designed to be able to gather updates from a wide variety of sources, including relational databases, object-relational databases, legacy databases, flat files, the web, and others. TriggerMan achieves the ability to gather updates from so many sources using an extensible data source mechanism. TriggerMan supports single-table (single data-source) triggers, sophisticated multiple-table (multiple-data-source) triggers, and temporal triggers. It maintains persistent copies of derived data (including materialized views and time series objects) to enable highperformance trigger condition testing. In order to take advantage of an existing database storage manager rather then create a new one, TriggerMan is being implemented as an extension to an object-relational DBMS. To do parallel trigger condition testing, Trigge..