Interest rate pass through in a Markov-switching Vector Autoregression model: Evidence from Greek retail bank interest rates

Papadamou, Stephanos; Μαρκοπουλοσ, Θωμασ

doi:10.1016/j.jeca.2018.03.002

Cited by 10 publications

(5 citation statements)

References 32 publications

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“…The probabilities to remain at the low and high state have a higher probability in maintaining on its ongoing state, but the probabilities for the low regime are higher than the probabilities for the high regime. The evidence demonstrates that the Exchange rate changes and stock returns in China low-volatility regime tends to be more persistent than the high-volatility regime, which is consistent with the findings from Papadamou and Markopoulos (2018). The high state roughly corresponds to the periods of the 1997 Asian financial crisis and the 2008 global financial crisis.…”

Section: A Parsimonious Conventional Svar Analysissupporting

confidence: 82%

A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

Cuestas

Tang

2020

IJOEM

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PurposeThis study investigates the spillover effects between exchange rate changes and stock returns in China. The authors find that no significant interconnections exist between stock returns and exchange rates changes.Design/methodology/approachAlthough the conventional structural VAR (SVAR) approach fails to examine the contemporaneous effects, the Markov switching SVAR model captures the volatile structure of the Chinese financial market. The regime-switching estimates indicate that volatile structure tends to be significant during two financial crisis periods.FindingsNotwithstanding the fact that exchange rate changes cannot Granger-cause stock returns in the long run, its contemporaneous spillover effects on stock returns are found to be statistically significant.Originality/valueThis study aims to shed light on the spillover effects between exchange rate changes and stock returns in China, as the Chinese currency is becoming flexible and China’s stock market has undertaken important reforms. The spillovers between the two markets are of topical importance due to the increasing connections between China and the global economy.

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Section: A Parsimonious Conventional Svar Analysissupporting

confidence: 82%

A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

Cuestas

Tang

2020

IJOEM

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“…Moreover, these models have assumed significant roles within econometric time series analyses. For example, Papadamou and Markopoulos (2018) harnessed the MS-VAR to unveil the intricate transmission mechanism of a positive shock within the EONIA index to Greek banks' retail rates, a process that necessitated an evaluation of its stochastic factors. In a different context, Aimer and Lusta (2021) utilized the MS-VAR model to dissect the repercussions of the U.S. economic policy uncertainty index and oil price fluctuations on the dollar exchange rate, utilizing monthly data from January 2006 to August 2020.…”

Section: Methodsmentioning

confidence: 99%

Transmission of Inflation and Exchange Rate Effects: The Markov Switching Vector Autoregressive Methodology

Boubaker,

Mouna

2024

JRFM

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The aim of this study is to delve into the intricate the mechanism through which alterations in currency exchange rates give rise to shifts in inflation rates, while taking into careful consideration the country’s economic cycle. In order to accomplish this objective, we used a dataset that spanned from 1 January 1999 to 1 July 2023, focusing our analytical lens on three specific geographic areas, namely the Eurozone, the United Kingdom, and Canada. In our pursuit of understanding this complex relationship, we employed the Markov Switching Vector Autoregressive model. Our research outcomes can be succinctly encapsulated as follows: in the initial stages, particularly during phases characterized by robust economic growth, the transmission of exchange rate effects onto inflation levels appeared to exhibit a partial impact across all geographic areas under examination. However, during periods marked by economic downturns, both the United Kingdom and Canada displayed a distinctly more comprehensive transmission of these effects. Moreover, the prevailing projections for the forthcoming time horizon, across all the countries encompassed by our study, strongly indicate the onset of an expansionary phase that is projected to extend over a span of 25 months. Lastly, concerning the implications of unexpected disturbances or shocks, it is noteworthy that the response of exchange rates to inflation induced shocks was neither immediate nor as pronounced as the corresponding reaction of inflation to sudden shifts in exchange rates.

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“…Selain itu juga, perbankan akan memastikan sumber daya mereka untuk jangka panjang selama periode risiko yang tinggi dengan meningkatkan secara signifikan simpanannya. Perbankan juga cenderung mengutamakan perusahaan dari pada rumah tangga (Papadamou & Markopoulos, 2018). Di Eropa, kebijakan suku bunga cenderung menurun selama hampir satu dekade dari sekarang.…”

Section: Pembahasanunclassified

Kendala Pembiayaan Bank Syariah : Pendekatan Granger Causality

Mubarok

Rusdianto

2019

jesya

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Penelitian ini bertujuan untuk menguji hubungan dua atau satu arah antara pembiayaan perbankan syariah, nilai tukar, inflasi dan suku bunga di Indonesia. Alat analisis yang digunakan adalah Granger Causality. Data yang digunakan menggunakan data sekunder meliputi pembiayaan perbankan syariah, nilai tukar, inflasi dan suku bunga dari Januari 2010 hingga Desember 2017. Hasil yang diperoleh menunjukkan bahwa variabel pembiayaan dan variabel inflasi, variabel pembiayaan dan variabel suku bunga, variabel nilai tukar dan variabel inflasi, variabel nilai tukar dan variabel tingkat bunga tidak memiliki hubungan dua arah atau satu arah, sementara variabel inflasi dan variabel suku bunga memiliki hubungan satu arah, variabel pembiayaan dan variabel nilai tukar memiliki hubungan dua arah.

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Interest rate pass through in a Markov-switching Vector Autoregression model: Evidence from Greek retail bank interest rates

Cited by 10 publications

References 32 publications

A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China

Transmission of Inflation and Exchange Rate Effects: The Markov Switching Vector Autoregressive Methodology

Kendala Pembiayaan Bank Syariah : Pendekatan Granger Causality

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