The housing market and the credit default swap premium in the UK banking sector: A VAR approach

Benbouzid, Nadia; Mallick, Sushanta; Pılbeam, Keith

doi:10.1016/j.ribaf.2017.01.009

Cited by 15 publications

(6 citation statements)

References 57 publications

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“…The unstable liquidity created by uncertain investments exposes people to a significant chance that they will not be able to acquire further financing. As such, they may cut back on current expenditure to lower this risk (Benbouzid et al, 2018). As long as the financial markets are functional, long-term investments will mitigate the risk associated with volatility (Liu et al, 2022c).…”

Section: Literature Review 21 Household Financial Investment and Cons...mentioning

confidence: 99%

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Unraveling the influence and mechanism of digital inclusive finance on household financial substitution: evidence from China

Sui

2023

APJML

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PurposeThe development of digital inclusive finance (DIF) has increased households' financial investments and consumption. However, few studies have considered whether DIF strengthens the substitution of household financial investment for consumption behavior. To clarify the relationship between DIF, household financial investment and household consumption behavior, the authors combine matched data from the China Family Panel Studies (CFPS) and Peking University Digital Inclusive Finance Index (2011–2018) to explore the impact of DIF on household financial substitution. This study aims to discuss the aforementioned objectives.Design/methodology/approachThis study's empirical analysis applies ordinary least squares (OLS) to answer how DIF affects household financial investment substitution for consumption. This study uses three approaches to examine the robustness of the benchmark regression model. These three approaches are replacing the core explanatory variables, using the lagged Digital Inclusive Finance Index and using the data of additional years. This article also assesses endogeneity by applying the instrumental variable method.FindingsThe results indicate that DIF significantly enhances household financial substitution. This article also assesses endogeneity by applying the instrumental variable method and robustness test methods. The impact mechanism test shows that DIF positively affects household financial substitution, by improving information dissemination efficiency and enhancing financial participation. Further research finds that the impact of DIF on household financial substitution is more pronounced in households with low to moderate savings rates, low to average income households and homes without family members who start their businesses.Research limitations/implicationsThis study analyzed the effect and mediating mechanisms of digital financial inclusion on household financial substitution. Like all studies, the research had some limitations. First, due to differences in culture and infrastructure development, people do not understand and judge economic behaviors, such as household financial investment and consumption, in the same way. It can lead to certain biases in their understanding and study responses. Second, the study is mainly based on data from China. Future studies should be extended to foreign countries for comparative analysis. Third, the development of DIF has not yet completed a full cycle, and many problems have not been fully identified.Practical implicationsThis study provides some practical implication. First, the public sectors should effectively weigh the spending relationship between household financial investment and consumption. Second, the public sector should focus on the policy optimization and consistency of DIF. The public sector should both enhance the breadth of coverage and depth of impact of DIF and focus on long-tail groups to fully reflect the equity and inclusiveness of DIF.Originality/valueThis study responds to the discussion on the relationship between financial investment, saving and consumption games in household expenditures and enhances our understanding of how DIF affects households' complex economic behavior. The most revealing finding is that DIF reinforces the substitution of household financial investment for household consumption. DIF positively affects household financial substitution by improving the efficiency of information dissemination and increasing financial participation, which is a valid extension of the study on the mechanisms of information dissemination and financial participation in financial investment and consumption proposed.

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Section: Literature Review 21 Household Financial Investment and Cons...mentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Unraveling the influence and mechanism of digital inclusive finance on household financial substitution: evidence from China

Sui

2023

APJML

View full text Add to dashboard Cite

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“…Other studies, such as Wisniewski and Lambe (2015), Augustin (2018) and Wang et al (2019), Shahzad et al (2017), andTang (2017), also document a significant effect of numerous macro-uncertainty and liquidity proxies on corporate and sovereign CDS premiums across global debt markets. Finally, Hkiri et al (2018) add crude oil to the equation, while Benbouzid et al (2018) include real estate prices.…”

Section: Nexus Between Corporate and Sovereign Debt Markets: A Review...mentioning

confidence: 99%

Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter

Gómez-González¹,

Uribe²,

Valencia³

2022

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This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect of global common factors on the various CDS series. Results indicate that most spillovers occur within groups that is, within the series of sovereign CDS contracts and the price contracts of CDS issued by global corporations. However, considerable spillovers are also registered between LAC sovereigns and corporations. Interesting differences are encountered between filtered and unfiltered data. Specifically, spillovers from countries to corporations are overestimated (by about 4.3 percentage points) and spillovers from corporations to sovereigns are underestimated (by about 5.8 percentage points) when unfiltered data are used. This result calls for a revision of results obtained from studies that do not consider the role played by global common factors in system spillovers. Like in most related studies, spillovers show considerable time variation, being larger during times of financial or economic distress. When looking at total system spillovers over time, those corresponding to unfiltered series are always larger than those corresponding to filtered series. The difference between the two time series is largest in times of distress, indicating that global factors play a major role in times of crisis. Similar conclusions are derived from network analysis.

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“…These facts may help to explain why the British house price index published by Nationwide is very popular and often used in empirical studies. Examples are, for instance, Antonakakis and Floros (2016) as well as Benbouzid, Mallick and Pilbeam (2018). We examine monthly data.…”

Section: Datamentioning

confidence: 99%

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators?

Kunze¹,

Basse²,

Gonzalez

et al. 2020

JRF

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Purpose In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and forward-looking risk management procedures, this market should be analyzed in more detail. Therefore, this study aims to examine the housing market data from the UK. More specifically, sentiment data and house prices are examined, using techniques of time-series econometrics suggested by Toda and Yamamoto (1995). The monthly data used in this study is the RICS Housing Market Survey and the Nationwide House Price Index – covering the period from January 2000 to December 2018. Furthermore, the authors also analyze the stability of the implemented Granger causality tests. In sum, the authors found clear empirical evidence for unidirectional Granger causality from sentiment indicator to the house prices index. Consequently, the sentiment indicator can help to forecast property prices in the UK. Design/methodology/approach By investigating sentiment data for house prices using techniques of time-series econometrics (more specifically the procedure suggested by Toda and Yamamoto, 1995), the research question whether sentiment indicators can be helpful to predict property prices in the UK is analyzed empirically. Findings The empirical results show that the RICS Housing Market Survey can help to predict the house prices in the UK. Practical implications Given these findings, the information provided by property market sentiment indicators certainly should be used in a forward-looking early warning system for house prices in the UK. Originality/value To authors’ knowledge, this is the first paper that uses the procedure suggested by Toda and Yamaoto to search for suitable early warning indicators for investors in UK real estate assets.

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The housing market and the credit default swap premium in the UK banking sector: A VAR approach

Cited by 15 publications

References 57 publications

Unraveling the influence and mechanism of digital inclusive finance on household financial substitution: evidence from China

Unraveling the influence and mechanism of digital inclusive finance on household financial substitution: evidence from China

Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators?

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