scholarly journals THE VILIBOR–EURIBOR SPREAD DYNAMICS DURING THE RECENT FINANCIAL CRISIS

Ekonomika ◽  
2011 ◽  
Vol 90 (4) ◽  
pp. 100-115 ◽  
Author(s):  
Vytenis Lapinskas
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Data Series ◽  
Factors Affecting ◽  
Systemic Analysis ◽  
International Financial Crisis ◽  
Spread Dynamics ◽  
Historical Data Analysis ◽  
Recent Financial Crisis ◽  
The Relationship

This article deals with the influence of the international financial crisis on the Lithuanian interbank market interest rates. Specifically, VILIBOR–EURIBOR spread dynamics over the period from the beginning of 2005 until the end of 2010 is analysed. The objective of the study was to estimate and describe the main factors affecting the VILIBOR spread. Methods used in the study include a systemic analysis of related studies, historical data analysis and statistical testing.Several episodes of increased market volatility could be clearly identified during the period, under study and the volatility of the data series as well as changes in their statistical properties and interdependence make the statistical analysis of the relationship very complicated. Statistically robust results could be achieved only after introducing several restrictions. The EURIBOR, RIGIBOR and Lithuanian CDS indexes have been found to explain more than 40 percent of the largest VILIBOR spread changes.

scholarly journals CONVENTIONAL AND UNCONVENTIONAL MONETARY POLICY. THE CASE OF ROMANIA

2016 ◽  
Author(s):  
Ioana Plescau
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Credit Risk ◽  
Interest Rates ◽  
Banking System ◽  
Central Banks ◽  
Unconventional Monetary Policy ◽  
National Bank ◽  
Recent Financial Crisis ◽  
The Relationship

The aim of our paper is to analyze the conventional and unconventional monetary policy in Romania, in the context of the recent financial crisis. We study the relationship between interest rates and credit risk, but also the non-standard monetary measures that were adopted by the National Bank of Romania and their impact on the banking system. Our results point to a decrease of interest rates in the years after the crisis, which is in line with the majority of central banks that have reduced monetary rates in order to sustain the economy and the credit activity.

scholarly journals To What Extent did Monetary Policy Contribute Towards the Recent Financial Crisis and Subsequent Recession in the US and UK?

2019 ◽  
Vol 3 (2) ◽  
pp. 9
Author(s):  
Tao Hu ◽  
Ceri Davies
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Interest Rates ◽  
Taylor Rule ◽  
Economic Fundamentals ◽  
Nominal Interest Rates ◽  
The Us ◽  
Recent Financial Crisis ◽  
The Uk ◽  
The Relationship

This essay researches the question, “To what extent did monetary policy contribute towards the recent financial crisis and subsequent recession in the US and UK?” This article begins by demonstrating monetary policy’s role in guiding the economy’s development under different economic fundamentals. Then the essay puts forward the existence of possibility that monetary policy may cause potential dangers for the economy. In the next chapter, the essay illustrates the guideline for monetary policy namely Taylor rule and economists’ arguments and explanations for the US monetary policy in the past decade. In chapter 3, this article estimates the nominal interest rates for both the US and the UK based on Taylor rule for different periods and illustrates influences of monetary policy actually taken for each country in different periods. In chapter 4, the article tests the relationship between monetary policy’s deviations from Taylor rule and financial imbalances by using the OLS method and explains results. Finally, in chapter 5, the article concludes that in some degree monetary policy’s deviations from Taylor rule prescriptions contribute to a build-up of financial imbalances.

Determinants of Spot and Forward Interest Rates in Brazil in an International Liquidity Scenario: An Econometric Analysis for the Period 2007-2019

2021 ◽  
Vol 10 (1) ◽  
pp. 19
Author(s):  
Pedro Raffy Vartanian ◽  
Sérgio Gozzi Citro ◽  
Paulo Rogério Scarano
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
International Liquidity ◽  
Vector Autoregressive ◽  
International Financial Crises ◽  
International Financial Crisis ◽  
Level Of Activity ◽  
Systemic Crisis ◽  
The Global Financial Crisis

Over the last 25 years, Brazil has been among the countries with the highest interest rates globally. High interest rates have been necessary during several recent times, such as in the period from 1997 to 1999, due to the repeated international financial crises that have plagued the country. From 1999, a sustained path of interest rate reduction begun. With the outbreak of the 2008 international financial crisis, the Brazilian monetary authorities promoted a new round of falling domestic interest rates in response to the recessive effects and the threat of a systemic crisis that could hang over the national financial system. In 2012, a set of interventionist nature policies led to a decrease in the Selic rate. Thus, looking at the last 25 years, it appears that many factors have started to influence the trajectory of Brazilian interest rates. In this context, the present work aims to identify, based on empirical research, the determinants of spot and future interest rates. As a methodology, the research uses a multivariate econometric vector autoregressive model (VAR) with error correction (VEC). The analysis covers the years 2017 to 2019, corresponding to the period in the aftermath of the global financial crisis of 2008. The results evidence that both the spot rate and the DI future can be determined by the fluctuations in the level of inflation and by the level of activity and the real exchange rate, in addition to the effects of the lagged variables themselves.

Lässt sich die Geldschöpfung der Geschäftsbanken noch kontrollieren? – Geldpolitik seit der jüngsten Finanzkrise 2007/2008

2018 ◽  
Vol 87 (3) ◽  
pp. 47-63
Author(s):  
Mathias Binswanger
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Interest Rates ◽  
Financial Crises ◽  
Commercial Banks ◽  
Central Banks ◽  
The Past ◽  
Monetary Authorities ◽  
Money Creation ◽  
Recent Financial Crisis

Zusammenfassung: Als Folge der jüngsten Finanzkrise ist der Einfluss der Zentralbanken auf die Geldschöpfung weitgehend verloren gegangen. Denn die Kontrolle über Reserven funktioniert nur solange, wie diese knapp sind und deren Bezug an bestimmte Bedingungen geknüpft werden kann. Seither halten die Geschäftsbanken in den ökonomisch wichtigsten Ländern de facto dermaßen viele Reserven, dass sie nicht mehr auf die jeweilige Zentralbank angewiesen sind. Diese Entwicklung lässt sich sowohl für die FED als auch für die EZB aufzeigen. Dies führt zu geldpolitisch neuen Herausforderungen, die bisher kaum beachtet wurden. Die Einflussmöglichkeit der Zentralbanken auf den Geldschöpfungsprozess der Geschäftsbanken wurde noch nie in so großem Stil ausgehebelt. Deshalb müssen Zentralbanken in Zukunft ihr Repertoire an geldpolitischen Massnahmen erweitern. Nur mit dem Drehen an der Zinsschraube wird man den Geldschöpfungsprozess in Zukunft kaum mehr in gewünschter Weise beeinflussen können. Summary: As a result of the recent financial crisis, the influence of central banks on money creation has largely disappeared. Controlling this process only works as long as money creation of commercial banks also leads to a need for additional reserves from the central bank. However, the large asset purchase programs of monetary authorities after the financial crises resulted in an enormous increase in reserves at commercial banks. Therefore, commercial banks have enough reserves to create additional money at large amounts and do not depend on central banks any more. This development is indicative for both the FED and the ECB. Therefore central banks face the challenge how they can restore their influence on the process of money creation. Just lowering or increasing interest rates, which was the major way of conducting monetary policy in the past, will not work anymore in the future.

scholarly journals THE IMPACT OF THE MONETARY - FISCAL POLICY MIX ON INVESTMENTS OF EURO AREA COUNTRIES IN THE CONTEXT OF THE FINANCIAL CRISIS

2012 ◽  
Vol 8 (1) ◽  
pp. 228-236
Author(s):  
Joanna Stawska
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Financial Crisis ◽  
Interest Rates ◽  
Euro Area ◽  
Debt Crisis ◽  
Policy Mix ◽  
Monetary Authorities ◽  
Recent Financial Crisis ◽  
The Impact

The study presents the impact of monetary-fiscal policy mix on economic growth, mainly for the investments of euro area in financial crisis. Fiscal policy and monetary policy play an important role in the economy, influencing each other and on a number of economic variables as well. In the face of the recent financial crisis, which turned into a debt crisis, fiscal and monetary authorities have been working together to revive economic activity. There was a significant economic impact on the level of government investments. The central bank kept interest rates at very low levels and used nonstandard instruments of monetary policy. Fiscal authorities have increased government spending to stimulate investment and economic recovery. The paper concludes that the management of the fiscal and monetary authorities in a crisis situation has been modified compared to the period before the crisis, when the coordination of these policies was clearly weaker.

scholarly journals European and global financial integration: some panel evidence of the convergence of interest rates

2016 ◽  
Vol 11 (4) ◽  
pp. 152-160
Author(s):  
Cândida Ferreira
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Financial Integration ◽  
Jel Classification ◽  
Time Interval ◽  
The European Union ◽  
International Financial Crisis ◽  
Banking Market ◽  
Sigma Convergence ◽  
Panel Estimates

This paper seeks to contribute to the literature on financial integration using panel estimates to test beta- and sigma-convergence across the European Union countries’ interest rates and towards two specific benchmarks — the German and US rates — covering the time interval between 1999 and 2014 and taking into account the recent international financial crisis. The findings point to the existence of a process of convergence of interest rates and this process may be considered as part of the global process of integration. Furthermore, there is evidence of convergence to the chosen benchmarks, in particular of short-term real interest rates; the speed of this convergence towards the German rates clearly increased in the EU as a response to the financial crisis. Keywords: financial integration, banking market, European interest rates, beta-convergence, sigma-convergence, panel data estimates. JEL Classification: C2, E4, F3, G1, G2

scholarly journals Liquidity Risk and Bank Performance: An Empirical Test for Tunisian Banks

2017 ◽  
Vol 7 (1) ◽  
pp. 46 ◽  
Author(s):  
Abdelaziz Hakimi ◽  
Khemais Zaghdoudi
Keyword(s):  
Panel Data ◽  
Financial Crisis ◽  
Credit Risk ◽  
Empirical Test ◽  
Random Effect ◽  
Liquidity Risk ◽  
Bank Performance ◽  
International Financial Crisis ◽  
Effect Regression ◽  
The Relationship

An important part of banking literature was interested in the relationship between credit risk and bank performance. However, only few studies investigated the association between liquidity risk and bank performance. The aim of this paper is to study the effect of liquidity risk on the Tunisian bank performance. To this end, we used a sample of 10 Tunisian banks over the period 1990-2013. By applying panel data method, precisely random effect regression, results show that liquidity risk decreases significantly Tunisian bank performance. Also, findings indicate that international financial crisis and inflation act negatively and significantly on bank performance.

scholarly journals Diversification and Community Bank Performance during a Financial Crisis

2016 ◽  
Vol 3 (4) ◽  
pp. 1 ◽  
Author(s):  
Kathy Estes
Keyword(s):  
Financial Crisis ◽  
Economies Of Scale ◽  
Economic Downturn ◽  
Community Banks ◽  
Community Bank ◽  
Diversification Strategies ◽  
Multiple Regression Models ◽  
Recent Financial Crisis ◽  
The Impact ◽  
The Relationship

<p><em>Many U.S. banks failed or performed poorly during the recent financial crisis.  Although the costliest failures were large institutions, the majority of failures were community banks (less than $1 billion in total assets).  Community banks, which are considered instrumental in small business lending and employment growth, face different risks and challenges than their larger counterparts, including a lack of economies of scale and scope and exclusion from “too-big-to-fail” status.  These challenges, coupled with the recent failures, motivate research into potential strategies managers can use to improve performance.  This study examined the relationship between three potential diversification strategies and community bank risk-adjusted performance from 2007 to 2011.  Understanding these relationships could improve management’s decision-making, allowing them to choose risk-mitigating strategies during a severe economic downturn.  Herfindahl-Hirschman Indexes (HHIs) were calculated as proxies for geographic, activity, and asset diversification.  Multiple regression models for each of the five years were used to calculate the impact of diversification variables on risk-adjusted ROA.  The results show that diversification in all areas is directly related to performance; however, only the asset diversification relationship is significant.  To the extent possible for community banks, diversification may improve risk-adjusted performance.</em></p>

Sign in / Sign up

Export Citation Format

Share Document