scholarly journals Impact of credit risk and profitability on liquidity shocks of Namibian banks: an application of the structural VAR model

2021 ◽  
Vol 8 (3) ◽  
pp. 349-359
Author(s):  
Albert V. Kamuinjo ◽  
Ravinder Rena ◽  
Andrew Maredza
Keyword(s):  
Credit Risk ◽  
Granger Causality ◽  
Impulse Response ◽  
Forecast Error ◽  
Error Variance ◽  
Variance Decomposition ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Liquidity Shocks ◽  
Forecast Error Variance

The main purpose of this paper was to investigate the relationship between banks’ credit risk and profitability and liquidity shocks in Namibia for the period 2009 to 2018 using the SVAR model. In estimating the SVAR regression model, granger causality, impulse-response functions and forecast error variance decomposition were employed and evaluated. The sample consisted of Namibian commercial banks. By auditing liquidity data between 2009 and 2018, empirical results showed that liquidity risk is caused by a combination of structural shocks. The granger causality, impulse-response functions and forecast error variance decomposition documented that credit risk (non-performing loans) is key factor affecting liquidity conditions in Namibia in the medium to long run. In addition, the empirical results showed that quality earnings (ROA) have minimal impact on liquidity conditions in the short run. Reforming assets quality policies and earnings quality policies can be valuable policy tools to minimize liquidity shortages and avoid insolvent banks in Namibia.

scholarly journals The price transmission in pork meat agri-food chain

2008 ◽  
Vol 54 (No. 2) ◽  
pp. 77-84 ◽  
Author(s):  
L. Čechura ◽  
L. Šobrová
Keyword(s):  
Market Structure ◽  
Impulse Response ◽  
Food Chain ◽  
Forecast Error ◽  
Wholesale Price ◽  
Error Variance ◽  
Price Transmission ◽  
Response Analysis ◽  
Pork Meat ◽  
Impulse Response Analysis

The paper deals with the analysis of price transmission in pork meat agri-food chain. The analysis is aimed at the determination of the type of market structure in the chain based on the derived theoretical model and fitted reduced model of price transmission in the form of VECM. Then, impulse-response analysis and decomposition of variance of fitted VECM show the system’s reaction to innovations and the interaction between variables for longer forecast horizons. The results imply that processing stage may exercise oligopsonic power, i.e. the market structure has the type of oligopsony. Impulse-response analysis shows that the system approaches relatively fast the equilibrium and all responses are positive. Moreover, decomposition of variance informs about the increasing role of the wholesale price in the explanation of forecast error variance of agricultural price. Then, it follows from the obtained results (among other) that the pork meat agri-food chain may be characterised as demand-driven. The type of market structure implies that the agricultural support is in this case shared within the vertically related markets and thus is less efficient.

Sign in / Sign up

Export Citation Format

Share Document