Macroeconomic Determinants of Interest Rate Volatility in Indonesia: A Structural VAR Analysis

Salim, Agus

doi:10.33094/8.2017.2019.52.101.108

Cited by 7 publications

(4 citation statements)

References 20 publications

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“…2019;Okolo, Irem and Ugwuoke, 2019;Monogbe, et.al. 2019;Nzeribe, 2019;Rahman, 2019;Salim, 2019). Hence it can be obtained from the literature that a lasting relationship is presented between money supply, the real GDP, inflation and interest rate and movements in exchange rate.…”

Section: Empirical Study Of Demand For Moneymentioning

confidence: 99%

Demand for Money Function in Case of Philippines: An Empirical Analysis

Kerdpitak¹

2020

RWE

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An effective formulation of monetary policy provides an empirical and coherent model of money related with demand. In order for the monetary authorities to understand the demand for the purpose of money function, the steadiness of money demand is important as it leads towards an application of efficient monetary policy. In order to examine the stability of money demand function of Philippines, following study was conducted with broad money, real asset price index, GDP deflator, real GDP, long-term interest rate and short-term interest rate. For empirical investigation, unit root test, cointegration, and Granger-Causality tests were used. However, the findings of the cointegration suggests that cointegration reveals there is presence of linear combinations, and results shows that there are four cointegrating equations present. Therefore, it is evident that there are at least 4 cointegrating relations between the variables. Hence, some of macroeconomic indicators can be used to predict the broad money due to presence of vector. However, the Granger-Causality shows that no macroeconomic variable granger cause broad money (M1). Therefore, the selected macroeconomic indictors RS, LS, CPI, GDP deflator, RGDP and AP/P cannot be used to predict the variation in the broad money (M1) in case of Philippines. This means the money demand function in Philippines is not stable, and for this purpose further investigation is suggested by increasing sample size and time window in quarterly or semi-annually.

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Section: Empirical Study Of Demand For Moneymentioning

confidence: 99%

Demand for Money Function in Case of Philippines: An Empirical Analysis

Kerdpitak¹

2020

RWE

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“…Interest rates risks is the exposure of the firm's financial position due to the interest rates volatility, which over time poses a significant threats to the firms earnings and capital base changes and increases operational expenses of the firm. Interest rate volatility may also affect the underlying worth of assets, liabilities and present value of the future cash flows (Salim, 2019).…”

Section: I0 Introduction 11 Background Of the Studymentioning

confidence: 99%

Effect of Macroeconomic Factors on Financial Performance of Commercial Banks in Kenya

Onyancha,

Prof. Willy Mwangi Muturi

2023

ijsshr

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The Kenyan banking industry plays a vital role in economic development of the country. However, performance in the banking sector has not be satisfactory given that there are commercial banks that have collapsed while others are under receivership or operating under statutory management. In light of this fact, the purpose of the study was to investigate the effect of macroeconomic factors on financial performance of commercial banks in Kenya. The study was informed by the following objectives: to determine the effect of exchange rate on financial performance of the commercial banks in Kenya; to establish the effect of real Gross Domestic Product on financial performance of the commercial banks in Kenya; to assess the effect of inflation rate on financial performance of commercial banks in Kenya; and to determine the effect of real interest rate on financial performance of the commercial banks in Kenya. The study utilized a causal research design and carried out a census of all the 35 commercial banks that were fully operational for the period 2011-2019. The study used secondary data, which was extracted from the Central Bank of Kenya, Kenya National Bureau of Statistics, and banks’ audited financial statements. Both descriptive and inferential statistics were used in data analysis. Panel regression model was used to establish the effect of macroeconomic factors on financial performance of commercial banks in Kenya. Presentation of data was aided by tables and diagrams. The findings of the study showed that exchange rate and interest rate significantly affected financial performance of commercial banks in Kenya. On the other hand, GDP growth rate and inflation rate did not significantly affect financial performance of commercial banks in Kenya. The study concluded that exchange rate and interest rate affected financial performance of commercial banks. Conversely, the study concluded that financial performance of commercial banks in Kenya was not affected by GDP and inflation rate. The study recommends that policy formulation in the banking sector should take into consideration the exchange rate as the basis of managing its effect on financial performance. Moreover, the study recommends that commercial banks should moderately raise their interest rates in the quest to increase profitability in the banking industry.

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“…Although it is mentioned generally from the interest rate concept, in practice, there are various interest rate types. Central bank repo interest rates (i.e., one-week repo interest rate as a monetary policy indicator), credit interest rates deposit interest rates, interbank interest rates, reference interest rates, and Treasury bond/bill interest rates are some types of interest rates (Dinçer et al, 2019;Kartal, 2019;Salim, 2019;Kartal, 2020;Depren et al, 2021a;Depren et al, 2021b). Each type of interest rate is used in different economic and financial activities.…”

Section: Introductionmentioning

confidence: 99%

Makroekonomik Göstergelerin Borç Faiz Oranları Üzerindeki Etkileri: BRICST, MINT ve Kırılgan Beşli Ülkelerinden Kanıtlar

Korkmaz

Kartal

Ayhan

2022

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi

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This study analyzes the effects of the macroeconomic indicators on the lending interest rates in the leading emerging countries by considering the significance of the interest rates for economic growth since high-level interest rates decrease economic growth and volatile interest rates deteriorate economic stability. In this context, the lending interest rate is considered as the dependent variable; foreign exchange (FX) rates, gross domestic product (GDP), and inflation are included as the independent variables that are the main macroeconomic indicators; annual data from 1990 to 2019 are used, and the panel data analysis is applied. The empirical analysis results reveal that (i) FX rates, GDP, and inflation have a significant effect on the lending interest rates at the panel level; (ii) the significance of these macroeconomic indicators vary at the country level; (iii) GDP is the most influential factor on the lending interest rates at both panel and the country level. The analysis results underline the effects of macroeconomic factors on the lending interest rates. Therefore, countries should apply appropriate policies to lessen the adverse effects of the macroeconomic indicators on the interest rates so that economic growth can be supported by low-level lending interest rates. Hence, emerging countries can benefit from low-level lending interest rates.

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Macroeconomic Determinants of Interest Rate Volatility in Indonesia: A Structural VAR Analysis

Cited by 7 publications

References 20 publications

Demand for Money Function in Case of Philippines: An Empirical Analysis

Demand for Money Function in Case of Philippines: An Empirical Analysis

Effect of Macroeconomic Factors on Financial Performance of Commercial Banks in Kenya

Makroekonomik Göstergelerin Borç Faiz Oranları Üzerindeki Etkileri: BRICST, MINT ve Kırılgan Beşli Ülkelerinden Kanıtlar

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