Template-Type: ReDIF-Article 1.0 Author-Name: Manuel Joaquim Da Natividade Silva Author-X-Name-First: Manuel Joaquim Da Natividade Author-X-Name-Last: Silva Author-Name: Gutemberg Hespanha Brasil Author-X-Name-First: Gutemberg Hespanha Author-X-Name-Last: Brasil Author-Name: Ricardo Ramalhete Moreira Author-X-Name-First: Ricardo Ramalhete Author-X-Name-Last: Moreira Title: Dynamic relations of the inertia of monetary policy: application to the Brazilian case by a Kalman approach Abstract: The dynamic impacts of the monetary policy's inertia behaviour have not been empirically investigated by the related literature. This work analyses such impacts for the Brazilian monetary policy's inertia or gradualism from January 2005 to May 2013. The Kalman filter was adopted to extract the inertia series based on a monetary policy rule selected from a sample of specifications and estimated models. The findings show that an increase in Brazil's monetary policy inertia is followed by positive output gaps that cause inflation and inflationary expectation deviations. These results suggest the need for better calibration of the policy's gradualism to improve the inflation-targeting regime's credibility. Journal: Int. J. of Monetary Economics and Finance Pages: 1-24 Issue: 1 Volume: 9 Year: 2016 Keywords: inertia; monetary policy; inflation; Brazil; Kalman filter; inflation; inflationary target deviation. File-URL: http://www.inderscience.com/link.php?id=74577 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:1:p:1-24 Template-Type: ReDIF-Article 1.0 Author-Name: Edward N. Gamber Author-X-Name-First: Edward N. Author-X-Name-Last: Gamber Author-Name: Jeffrey P. Liebner Author-X-Name-First: Jeffrey P. Author-X-Name-Last: Liebner Author-Name: Julie K. Smith Author-X-Name-First: Julie K. Author-X-Name-Last: Smith Title: Inflation persistence: revisited Abstract: This paper presents evidence on the persistence of inflation in the USA over the period 1949-2014. Of particular interest is whether the persistence of inflation has changed over that time period. We use a reduced form approach to measuring inflation persistence, modelling inflation as an autoregressive process. We measure persistence as the half-life of a shock to that process. Our analysis employs both a Frequentist approach and a Bayesian approach to identify breaks in inflation persistence. Both our Frequentist and Bayesian results indicate that inflation persistence has undergone significant changes over the past 60 years. Journal: Int. J. of Monetary Economics and Finance Pages: 25-44 Issue: 1 Volume: 9 Year: 2016 Keywords: inflation persistence; Bayesian econometrics; half-life; breakpoints; inflation modelling; Frequentist econometrics. File-URL: http://www.inderscience.com/link.php?id=74578 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:1:p:25-44 Template-Type: ReDIF-Article 1.0 Author-Name: Andrés Herrera Aramburú Author-X-Name-First: Andrés Herrera Author-X-Name-Last: Aramburú Author-Name: Gabriel Rodríguez Author-X-Name-First: Gabriel Author-X-Name-Last: Rodríguez Title: Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts? Abstract: This paper represents the first attempts to distinguish between long- and short-memory (with level shifts) in volatility of Peruvian stock and Forex rate returns. We utilise the approach of Perron and Qu (2010). The daily data span the period 3 January, 1990 to 13 June, 2013 for the stock market returns, and from 3 January, 1997 to 24 June, 2013 for the Forex rate returns. The analysis of the ACF, the periodogram and the fractional parameter estimates for both volatilities suggests that the theoretical predictions of the simple mixture model of Perron and Qu (2010) are correct. The results are more conclusive for the stock market volatility. The application of one statistic suggests rejection of the long-memory hypothesis for both volatilities. Other two statistics provide weak evidence against the null hypothesis, above all for the Forex rate market. To reinforce the findings, some results associated with other investigations are presented. Journal: Int. J. of Monetary Economics and Finance Pages: 45-66 Issue: 1 Volume: 9 Year: 2016 Keywords: structural change; jumps; long memory processes; fractional integration; frequency domain estimates; RLS; random level shifts; stock markets; Forex rate volatility; Peru; stock market volatility; exchange rate returns; short memory processes. File-URL: http://www.inderscience.com/link.php?id=74579 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66 Template-Type: ReDIF-Article 1.0 Author-Name: Safwan Mohd Nor Author-X-Name-First: Safwan Mohd Author-X-Name-Last: Nor Author-Name: Sardar M.N. Islam Author-X-Name-First: Sardar M.N. Author-X-Name-Last: Islam Title: Beating the market: Can evolutionary-based portfolio optimisation outperform the Talmudic diversification strategy? Abstract: It is argued that with a small number of stocks (N) in a portfolio (which suits individuals rather than institutional investors), naive Talmudic diversification rule (1/N) offers a superior trading outcome against mathematically optimal portfolios due to its robustness against estimation error. As this puzzle has not been resolved, we explore it using an alternative portfolio choice problem that seeks to outperform the benchmark market index - FTSE Bursa Malaysia KLCI. This study makes a significant contribution by using an industry-common objective function and also incorporating floor/ceiling constraints and the effect of delisting. Using evolutionary algorithm, we construct optimal portfolios with varying Ns in-sample for out-of-sample analysis. We find that 1/N is superior with smaller Ns, although optimised portfolio dominates as N increases. However, with both diversification policies underperform the market and produce very low Sharpe ratios, their efficacies for practical applications are highly suspect. Journal: Int. J. of Monetary Economics and Finance Pages: 90-99 Issue: 1 Volume: 9 Year: 2016 Keywords: portfolio optimisation; Talmudic diversification; realistic trading constraints; individual investors; institutional investors; evolutionary algorithms; portfolio selection; floor-ceiling constraints; delisting. File-URL: http://www.inderscience.com/link.php?id=74584 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:1:p:90-99 Template-Type: ReDIF-Article 1.0 Author-Name: Xuan Vinh Vo Author-X-Name-First: Xuan Vinh Author-X-Name-Last: Vo Author-Name: Hong Thu Bui Author-X-Name-First: Hong Thu Author-X-Name-Last: Bui Title: Liquidity, liquidity risk and stock returns: evidence from Vietnam Abstract: The question of whether liquidity is priced is a subject for a huge volume of papers in the asset-pricing literature. Asset-pricing theory suggests a negative relationship between these two variables as investors demand higher returns to compensate for less liquid stocks. However, the empirical evidence is not unanimous. This paper investigates the relationship between liquidity and stock return in Vietnam by employing an updated dataset of market and financial data of listed companies in the Ho Chi Minh City stock exchange ranging from 2007 to 2012. Our results suggest that the relationship between liquidity and stock returns is different in Vietnam stock market. In other words, we document a reliable positive relationship between liquidity measures and stock returns and negative relationship between illiquidity measures and stock returns. However, we do not find evidence in supporting the relation between risk associated with fluctuation in liquidity and stock returns. Journal: Int. J. of Monetary Economics and Finance Pages: 67-89 Issue: 1 Volume: 9 Year: 2016 Keywords: liquidity risk; stock returns; Vietnam; asset pricing; stock markets. File-URL: http://www.inderscience.com/link.php?id=74586 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:1:p:67-89 Template-Type: ReDIF-Article 1.0 Author-Name: Hazera Akter Author-X-Name-First: Hazera Author-X-Name-Last: Akter Author-Name: Suborna Barua Author-X-Name-First: Suborna Author-X-Name-Last: Barua Title: International trade financing: a comparative study on the performance of state-owned and private commercial banks of Bangladesh Abstract: We investigate the comparative performance of state-owned commercial banks (SOCBs) and private commercial banks (PCBs) of Bangladesh with respect to efficiency and profitability in financing international trade. Taking a ten-year panel data over 2003-2012 of all four SOCBs and four categorised PCBs, we apply the non-parametric approach data envelopment analysis (DEA) to measure and compare efficiency of the banks using output-oriented Malmquist Productivity Indices (MPI). Furthermore, we develop some specialised profitability ratios on trade financing business of the banks to measure profitability. Our results suggest that PCBs are more efficient and profitable compared to SOCBs' although PCBs provide less trade financing than SOCBs'. The study recommends SOCBs to progress technologically for sustaining themselves in the competitive banking sector of Bangladesh. Moreover, we identify the sources of profitability that would explain the banks' strategic position in trade financing business which would motivate more banks to support international traders through trade financing. Journal: Int. J. of Monetary Economics and Finance Pages: 164-186 Issue: 2 Volume: 9 Year: 2016 Keywords: international trade financing; bank efficiency; data envelopment analysis; DEA; Malmquist productivity index; MPI; profitability; state-owned banks; commercial banks; private banks; banking industry; Bangladesh. File-URL: http://www.inderscience.com/link.php?id=76475 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:164-186 Template-Type: ReDIF-Article 1.0 Author-Name: Jafar Haghighat Author-X-Name-First: Jafar Author-X-Name-Last: Haghighat Author-Name: Tanaz Salahesh Author-X-Name-First: Tanaz Author-X-Name-Last: Salahesh Title: The role of money multiplier in monetary transmission mechanism in Iran (bank lending and money supply) Abstract: Increasing trend of inflation together with high rate of unemployment in Iran, have brought more attention to the effects of monetary policy and central bank power on macroeconomic indexes. As the effect of money multiplier increases, the power of the central bank on the monetary system decreases. Previous researches such as monetary attitude assumes money supply exogenous and the most important factor influencing the monetary policies while post-Keynesians assume money endogenous and they believe in other channels for monetary transmission mechanism. This study focuses on the credit channel and explores the role of money multiplier considering the bank lending channel. The analyses of this study are based on the monthly data of 2 March 2008 up to 20 March 2013 and VAR estimations. The results approve the bank lending channel but not the role of money multiplier in transmission mechanism in Iran. Journal: Int. J. of Monetary Economics and Finance Pages: 212-223 Issue: 2 Volume: 9 Year: 2016 Keywords: monetary transmission mechanisms; lending channels; reservable deposits; managed liabilities; money multiplier; Iran; bank lending; money supply; inflation; unemployment; monetary policy; central banks; macroeconomic indexes; VAR; credit channels. File-URL: http://www.inderscience.com/link.php?id=76476 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:212-223 Template-Type: ReDIF-Article 1.0 Author-Name: Muhammad Mohsin Hakeem Author-X-Name-First: Muhammad Mohsin Author-X-Name-Last: Hakeem Author-Name: Ken-ichi Suzuki Author-X-Name-First: Ken-ichi Author-X-Name-Last: Suzuki Title: Fragility and contagion within European Union's banking system: the network prospective Abstract: The 2007 to 2009 financial crises also known as 'global financial crisis' has shown the importance of contagion and interconnectedness among financial nodes. This trickles down the crisis effect to small nodes and whole system becomes fragile. We analysed selected EU members banking system network in terms of their pre- and post-crisis status. By using the matrix of bilateral obligations and their capital levels, conducted stress test simulations for both periods. Different levels of shocks entail most aspects of stress tests in terms of identifying networks strength and interconnectedness. Short-terms to long-term clearing scenarios are used to identify strong and weak nodes within system during both time frames. Default probabilities for different levels of shocks shows realistic picture of the banking systems, as they received huge bailouts and financing from governments and regulators. Default probabilities are used to identify the level of difficulty faced by particular institution or whole system. Journal: Int. J. of Monetary Economics and Finance Pages: 115-131 Issue: 2 Volume: 9 Year: 2016 Keywords: banking networks; bilateral exposure; contagion; credit shock; economic policy; European Union; EU banking systems; global financial crisis; interconnectedness; capital levels; stress tests; simulation; default probability; bank defaults. File-URL: http://www.inderscience.com/link.php?id=76477 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:115-131 Template-Type: ReDIF-Article 1.0 Author-Name: Takayasu Ito Author-X-Name-First: Takayasu Author-X-Name-Last: Ito Title: The behaviour of sovereign CDS and government bond in the Euro zone crisis Abstract: Sovereign CDS and government bond markets are integrated only in the Netherlands and not in Austria, Belgium, Finland, France, Germany, Greece, Italy, Ireland, Portugal, or Spain. Even though the CDS and government bond markets are separated, mutual influences between them are found in Greece, Italy, Ireland and Portugal with a one-way influence from the government bond market to the CDS market in Spain. This means that the CDS market functions as insurance in Spain but not elsewhere. The intensified sovereign crisis delivered a shock to the CDS and government bond markets, resulting in the loss of market integration and the price discovery function. No evidence is found that the CDS market intensified the degree of the crisis because a unilateral influence from the CDS market to the government bond market is not observed in any of the countries studied. Journal: Int. J. of Monetary Economics and Finance Pages: 102-114 Issue: 2 Volume: 9 Year: 2016 Keywords: credit default swaps; CDS; government bonds; Eurozone crsis; sovereign debt crisis; market integration; price discovery function. File-URL: http://www.inderscience.com/link.php?id=76478 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:102-114 Template-Type: ReDIF-Article 1.0 Author-Name: Aminah Author-X-Name-First: Author-X-Name-Last: Aminah Author-Name: Lindrianasari Author-X-Name-First: Author-X-Name-Last: Lindrianasari Author-Name: Rosmiaty Author-X-Name-First: Author-X-Name-Last: Rosmiaty Title: Good government governance and opinions of the audit board of Republik Indonesia Abstract: This study aims to provide an empirical evidence over the transparency and accountability of local governments of Indonesia. This research is important because local governments should be able to apply the principles of good government governance, as a ways of improving services to the public. This study used two variables as predictors of the performance of local government financial reporting, transparency and accountability. The final sample for testing the relationship of transparency on the performance of local government financial statements are as many as 461 local governments. While the sample for testing the relationship of accountability on the performance of local government financial statements is as many as 1,238 in period 2009-2011. The results of the testing of both hypotheses of this study indicate that good government governance (shown by the degree of transparency and accountability) have been associated with the performance of local government financial statements. Journal: Int. J. of Monetary Economics and Finance Pages: 198-211 Issue: 2 Volume: 9 Year: 2016 Keywords: audit boards; Republik Indonesia; financial reporting; transparency; accountability; good governance; local government; auditing; financial statements. File-URL: http://www.inderscience.com/link.php?id=76479 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:198-211 Template-Type: ReDIF-Article 1.0 Author-Name: Tri Mulyaningsih Author-X-Name-First: Tri Author-X-Name-Last: Mulyaningsih Author-Name: Anne Daly Author-X-Name-First: Anne Author-X-Name-Last: Daly Author-Name: Riyana Miranti Author-X-Name-First: Riyana Author-X-Name-Last: Miranti Title: Creating contestable banking market: the effect of changes in the regulatory structure in Indonesia Abstract: Banks have market power due to the existence of product differentiation, high switching costs, locational characteristics, banks specialised knowledge and segmented customers. Therefore, creating a contestable market is more realistic than establishing perfect competition. This study aims to examine the role of opening the market to create contestability. In the last 30 years, the industry experienced structural changes from a closed-regulated into open-less regulated industry. The Panzar-Rosse method is employed to estimate the degree of competition, find the market structure and assess the impact of opening the market to competition. This study found that in a free entry market, banks are more competitive. The potential entrants act as market discipline so it facilitates the creation of a contestable market as observed in 1989. On the other hand, the absence of potential entrants explains the lack of market discipline for the incumbents to operate efficiently in the 2000s. Journal: Int. J. of Monetary Economics and Finance Pages: 149-163 Issue: 2 Volume: 9 Year: 2016 Keywords: contestable markets; Panzar-Rosse method; potential entrants; emerging economies; Indonesia; banking industry; regulation changes; regulatory structure; contestability; competition; bank competitiveness. File-URL: http://www.inderscience.com/link.php?id=76480 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:149-163 Template-Type: ReDIF-Article 1.0 Author-Name: Cevat Tosun Author-X-Name-First: Cevat Author-X-Name-Last: Tosun Author-Name: Necmiddin Bağdadioğlu Author-X-Name-First: Necmiddin Author-X-Name-Last: Bağdadioğlu Title: Evaluating gender responsive budgeting in Turkey Abstract: Public budgets which are the statement of government financial plans, create economic, financial, political and legal consequences for development, challenge such as poverty, inequalities between women and men, and social exclusion. Economical and political dynamics, which simultaneously come up with globalisation process, have dramatically changed the scope and form of budgeting application. Gender responsive budgeting, one of these budgeting applications is a practice to provide equitable distribution of public burden and public spending between women and men. In this approach, the public budget is used to eliminate discriminations between women and men. Turkey has been adapting the idea of gender responsive budgeting since 1987. The gender responsive budgeting approach has been incorporated in the budgeting process in Turkey since 2008. This study examines the gender budgeting applications in Turkey so far, pictures the current situation, and identifies the steps to be taken for a successful application of gender responsive budgeting in Turkey. Journal: Int. J. of Monetary Economics and Finance Pages: 187-197 Issue: 2 Volume: 9 Year: 2016 Keywords: public budgets; gender equality; gender responsive budgeting; GRB; Turkey; government budgets; gender discrimination. File-URL: http://www.inderscience.com/link.php?id=76481 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:187-197 Template-Type: ReDIF-Article 1.0 Author-Name: Dengbao Yao Author-X-Name-First: Dengbao Author-X-Name-Last: Yao Author-Name: Xiaoxing Liu Author-X-Name-First: Xiaoxing Author-X-Name-Last: Liu Author-Name: Xu Zhang Author-X-Name-First: Xu Author-X-Name-Last: Zhang Title: Financial contagion in interbank network Abstract: Contagion effect is a key concern for banks charged with safeguarding overall financial stability and avoiding bankruptcy. In this paper, we investigate how the default contagion caused by a single bank's initial shock spread to its creditors and even the whole system, and how to estimate the contagion probability and contagion index, which reflects the impact on the rest of interbank system if one bank fails. By constructing the interbank network, we combine some parameters, such as net worth, leverage of outside assets and the network connectivity, to derive the explicit measures on the potential magnitude of interbank network effect on contagion with little detailed information. Results suggest that contagion effects are most significant if the originating bank is highly leveraged or has high network connectivity. Journal: Int. J. of Monetary Economics and Finance Pages: 132-148 Issue: 2 Volume: 9 Year: 2016 Keywords: contagion effects; interbank networks; contagion probability; contagion index; financial contagion; banking industry; default contagion; bank defaults; bank failure; net worth; outside assets; network connectivity. File-URL: http://www.inderscience.com/link.php?id=76482 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:2:p:132-148 Template-Type: ReDIF-Article 1.0 Author-Name: Bhaskar Bagchi Author-X-Name-First: Bhaskar Author-X-Name-Last: Bagchi Title: Volatility spillovers between exchange rates and Indian stock markets in the post-recession period: an APARCH approach Abstract: In this paper, we examine the dynamic relationship between stock prices volatility and exchange rates volatility in Indian context in the post-recession period from 12 July, 2009 to 1 February, 2015. The stock prices volatility is partly explained by volatility in exchange rates. We adopt an asymmetric power ARCH (APARCH) model which takes into account long memory behaviour, speed of market information, asymmetries and leverage effects. For BSE Sensex, NIFTY and JPY/INR there is an asymmetric response of volatilities to positive and negative shocks and negative correlation exists between returns and volatility and thus bad news will create greater volatility. However, for USD/INR, Euro/INR and GBP/INR good news has greater effect on price volatility than the bad news. The study results also suggest the presence long memory behaviour and persistent volatility clustering phenomenon amongst exchange rates and stock markets. Journal: Int. J. of Monetary Economics and Finance Pages: 225-244 Issue: 3 Volume: 9 Year: 2016 Keywords: APARCH; asymmetric power ARCH; BSE Sensex; NIFTY; exchange rates; exchange rate volatility; volatility spillovers; India; stock markets; stock price volatility; long memory behaviour; market information speed; asymmetry; leverage effects; persistent volatility clustering. File-URL: http://www.inderscience.com/link.php?id=78395 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:3:p:225-244 Template-Type: ReDIF-Article 1.0 Author-Name: José Soares Da Fonseca Author-X-Name-First: José Soares Da Author-X-Name-Last: Fonseca Title: Euro area stock markets performance comparison and its dependence on macroeconomic variables Abstract: This paper compares the performance of 11 euro area stock markets through the estimation of market models with betas dependent on the stock indexes levels and a certain number of their past changes. Time-varying Treynor ratios are then calculated and a vector autoregressive model (VAR) of the Treynor ratios is used to estimate the performance causality between this group of markets. The VAR model estimations provide evidence that there is reciprocal performance influence between the majority of these stock markets. Finally, the Treynor ratios dependence on a group of macroeconomic variables (real gross domestic product (GDP) growth rate, inflation rate, long-term public debt interest rates and public budget deficit ratio) was estimated by panel data regression methods. According to the evidence provided by these estimations, the long-term interest rate is the macroeconomic variable that most clearly affects the performance differences between these domestic stock markets. Journal: Int. J. of Monetary Economics and Finance Pages: 245-266 Issue: 3 Volume: 9 Year: 2016 Keywords: ARDL; autoregressive distributed lag; Euro area; Eurozone; time-varying betas; Treynor ratios; stock markets; stock market performance; performance comparison; macroeconomic variables; real GDP; gross domestic product; growth rate; inflation rate; long-term interest rates; public debt interest rates; public budget deficit ratio. File-URL: http://www.inderscience.com/link.php?id=78397 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:3:p:245-266 Template-Type: ReDIF-Article 1.0 Author-Name: Bartholomew Moore Author-X-Name-First: Bartholomew Author-X-Name-Last: Moore Title: The stability of learning prior to an anticipated change in the target inflation rate Abstract: I examine the stability of least-squares learning in a flexible-price endowment economy when there is an anticipated change in the inflation target. Monetary policy follows a Taylor rule and a change in the target is announced several periods in advance. I show that highly plausible parameter values may lead to short-run instability and that the conditions for the stability of learning are more demanding soon after the policy change is announced. Also, the farther in advance the change is announced the narrower is the range of policy parameters that generate stability. This is because with a long transition, any estimation error is projected farther into the future and its effects are therefore magnified. These results suggest that advance communication of a change in the inflation target may destabilise inflation in the short run; when the central bank changes its inflation target, a brief transition may be preferable. Journal: Int. J. of Monetary Economics and Finance Pages: 267-293 Issue: 3 Volume: 9 Year: 2016 Keywords: monetary policy; expectations; learning stability; anticipated changes; target inflation rate; flexible-price endowment economy; policy changes. File-URL: http://www.inderscience.com/link.php?id=78403 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:3:p:267-293 Template-Type: ReDIF-Article 1.0 Author-Name: Ijaz Ur Rehman Author-X-Name-First: Ijaz Ur Author-X-Name-Last: Rehman Author-Name: Nurul Shahnaz Mahdzan Author-X-Name-First: Nurul Shahnaz Author-X-Name-Last: Mahdzan Author-Name: Rozaimah Zainudin Author-X-Name-First: Rozaimah Author-X-Name-Last: Zainudin Title: Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market Abstract: This study investigates whether macroeconomic variables and stock market liquidity have any impact on each other in an emerging market. The Granger causality test and innovative accounting approach (IAA) are used to test the causality among the variables of interest over the period of 2000 M<SUB align="right"><SMALL>1</SMALL></SUB>-2014 M<SUB align="right"><SMALL>12</SMALL></SUB>. Our results suggest that in the short-run, monetary base, interest rate, inflation and foreign equity net inflow have a lagged impact on stock market liquidity. The causality analyses suggest that only industrial production and foreign equity net inflow cause stock market liquidity. The IAA approach suggests that shocks to inflation and foreign equity net inflow increase stock market illiquidity while positive shocks to industrial production decrease stock market illiquidity. Our results suggest weak evidence of feedback from stock market liquidity to macroeconomic variables. Journal: Int. J. of Monetary Economics and Finance Pages: 294-316 Issue: 3 Volume: 9 Year: 2016 Keywords: monetary policy; business cycles; foreign equity net inflow; stock market liquidity; order-driven markets; macroeconomic variables; emerging markets; monetary base; interest rates; industrial production; stock markets. File-URL: http://www.inderscience.com/link.php?id=78405 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:3:p:294-316 Template-Type: ReDIF-Article 1.0 Author-Name: Takayasu Ito Author-X-Name-First: Takayasu Author-X-Name-Last: Ito Title: The reaction of the Japanese REIT market to stock prices and interest rates: a comparison of the periods before and after Abenomics Abstract: This paper focuses on the impact of stock prices and interest rates on the Real Estate Investment Trust (REIT) market in Japan by comparing the periods before and after Abenomics. The results show that stock prices have a positive impact, indicating that the wealth effect holds and the stock market leads the REIT market. Before the introduction of Abenomics, the positive impact of stock prices is larger. This is consistent with the fact that REIT was sometimes actively purchased when the stock market showed weakness after the introduction of Abenomics. The negative impact of interest rates indicates that an increase causes a decline in the REIT price. After the introduction of Abenomics, the negative impact of interest rates is larger for the maturity of 10 years. This is consistent with the fact that the Bank of Japan (BOJ) started to buy Japanese Government Bond (JGB) aggressively to flatten the yield curves of both JGB and swap through quantitative and qualitative easing. Journal: Int. J. of Monetary Economics and Finance Pages: 319-329 Issue: 4 Volume: 9 Year: 2016 Keywords: Abenomics; interest rate swaps; JGB; Japanese Government Bonds; REIT; Real Estate Investment Trust; stock prices; Japan; interest rates; wealth effect; stock markets; quantitative easing; qualitative easing. File-URL: http://www.inderscience.com/link.php?id=80076 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:319-329 Template-Type: ReDIF-Article 1.0 Author-Name: Bechir Bouzid Author-X-Name-First: Bechir Author-X-Name-Last: Bouzid Title: Bayesian estimation of a new Keynesian policy model for a small open economy Abstract: The estimation of dynamic stochastic general equilibrium (DSGE) models has gained momentum during the last decade. In this paper, we estimate a small scale new Keynesian model for an emerging economy, Tunisia. We study the transmission channels of monetary policy on the fluctuations of domestic output and inflation over the short and long run in open and closed economy settings. We find that domestic shocks have higher impact on monetary policy calibration and the dynamic of the internal demand. The inclusion of the working capital channel for a country like Tunisia exhibiting high level of indebtedness of local firms helps better describe the behaviour of macroeconomic variables in response to shocks emanating from the policy side. We show that the policy reaction parameters of the Central Bank confirm our hypothesis that the latter has been following closely the Taylor rule. This finding explains the recent inflation trend in the country. Journal: Int. J. of Monetary Economics and Finance Pages: 330-352 Issue: 4 Volume: 9 Year: 2016 Keywords: DSGE; dynamic stochastic general equilibrium; emerging markets; monetary policy; Bayesian estimation; Keynesian policy; small economies; open economies; Tunisia; domestic output; inflation; domestic shocks; internal demand; working capital; firm indebtedness; macroeconomic variables. File-URL: http://www.inderscience.com/link.php?id=80077 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:330-352 Template-Type: ReDIF-Article 1.0 Author-Name: Nasarudin Abdul Rahman Author-X-Name-First: Nasarudin Abdul Author-X-Name-Last: Rahman Author-Name: Mohd Hasbullah Mohamad Faudzi Author-X-Name-First: Mohd Hasbullah Mohamad Author-X-Name-Last: Faudzi Author-Name: Haniff Ahamat Author-X-Name-First: Haniff Author-X-Name-Last: Ahamat Author-Name: Zuhairah Ariff Abd Ghadas Author-X-Name-First: Zuhairah Ariff Abd Author-X-Name-Last: Ghadas Title: Competition law and the Malaysian financial services market: an analysis of the structure and level of competition in the market Abstract: The main objective of competition law is to protect the process of competition by preventing anti-competitive behaviour such as abuse of dominant position and anti-competitive mergers. The assessment of market structure and the level of competition in the financial sector are important for the exercise of the competition authority's power to enforce the national competition law. It helps the competition authority to better understand the nature of the financial services market such as the existence of market power and features that facilitate anti-competitive behaviour. This paper attempts to analyse structure of the market and the level of competition in the Malaysian financial market using two measures, namely concentration ratio (CR) and Herfindahl-Hirschman index (HHI). The study shows that the banking sector can be considered as 'unconcentrated'. However, based on ownership (foreign or local) the study indicates such sector is 'moderately' concentrated. For the insurance sector, general insurance can be considered as 'unconcentrated', whereas life insurance is 'highly concentrated'. Journal: Int. J. of Monetary Economics and Finance Pages: 353-362 Issue: 4 Volume: 9 Year: 2016 Keywords: competition law; market concentration; financial services; market structure; market power; oligopoly; monopoly; concerted practice; Herfindahl-Hirschman index; Malaysia; anti-competitive behaviour; concentration ratio; banking industry; ownership; insurance industry; life insurance. File-URL: http://www.inderscience.com/link.php?id=80078 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:353-362 Template-Type: ReDIF-Article 1.0 Author-Name: Muljanto Moechdi Author-X-Name-First: Muljanto Author-X-Name-Last: Moechdi Author-Name: Munawar Ismail Author-X-Name-First: Munawar Author-X-Name-Last: Ismail Author-Name: Candra Fajri Ananda Author-X-Name-First: Candra Fajri Author-X-Name-Last: Ananda Author-Name: Ahmad Erani Yustika Author-X-Name-First: Ahmad Erani Author-X-Name-Last: Yustika Title: Study on empirical characteristic of rural bank sustainability in Indonesia Abstract: This study examines the financial sustainability of the Indonesian rural banking industry from 2009:Q1 to 2012:Q3. The study uses the data of 8.104 observations, and is investigated using regression of panel data. The study found that assets, spread of interest rate and capital were the most significant factors influencing the financial sustainability of rural banking industry. Furthermore, a rural bank relying its funding on non-traditional deposits had a stronger financial sustainability. The study also found that, in terms of quality of loan and earning capacity, rural banks that are located in Sumatra region were better than two other regions. However, if the measurement uses a profitability indicator, Java region was better than other regions in the study. Journal: Int. J. of Monetary Economics and Finance Pages: 363-378 Issue: 4 Volume: 9 Year: 2016 Keywords: rural banking; microfinance; financial sustainability; panel data; rural banks; bank sustainability; Indonesia; assets; interest rates; capital; non-traditional deposits; loans quality; earnings capacity; profitability. File-URL: http://www.inderscience.com/link.php?id=80079 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:363-378 Template-Type: ReDIF-Article 1.0 Author-Name: Ardi Gunardi Author-X-Name-First: Ardi Author-X-Name-Last: Gunardi Author-Name: Erie Febrian Author-X-Name-First: Erie Author-X-Name-Last: Febrian Author-Name: Aldrin Herwany Author-X-Name-First: Aldrin Author-X-Name-Last: Herwany Title: The implication of firm-specific characteristics on disclosure: the case of Indonesia Abstract: This research is aimed at empirically testing the effect of corporate-specific characteristics on corporate social responsibility (CSR) reporting. The sample has 61 listed companies, of which 32 of them received Indonesian sustainability reporting awards (ISRA) and 29 of them did not. This research uses secondary data such as annual report of public companies and sustainability report of companies, which received ISRA and which did not in 2008-2011. All companies are in the same industry. Logistic regression approach is used as the statistical method of this research. The result of this research shows that company size, profitability and public stock ownership significantly influence CSR reporting, whereas the variables of leverage and liquidity do not influence CSR reporting. Journal: Int. J. of Monetary Economics and Finance Pages: 379-387 Issue: 4 Volume: 9 Year: 2016 Keywords: corporate social responsibility; CSR reporting; Indonesia; sustainability reporting awards; logistic regression; firm-specific characteristics; disclosure; annual reports; firm size; profitability; public stock ownership; leverage; liquidity. File-URL: http://www.inderscience.com/link.php?id=80080 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:379-387 Template-Type: ReDIF-Article 1.0 Author-Name: Subiakto Soekarno Author-X-Name-First: Subiakto Author-X-Name-Last: Soekarno Author-Name: Mandra Lazuardi Kitri Author-X-Name-First: Mandra Lazuardi Author-X-Name-Last: Kitri Author-Name: Suryo Utomo Author-X-Name-First: Suryo Author-X-Name-Last: Utomo Title: Capital structure determinants and the speed of adjustment towards capital structure target: evidence from Indonesian state-owned enterprises Abstract: This paper provides the empirical evidence of the capital structure determinants and the speed of adjustment to reach the target in Indonesian state-owned enterprises (SOEs) during the period between 1995 and 2013. Using static and dynamic model with Generalised Least Squares estimation multiple regression technique, the result shows that Indonesian SOEs have their own capital structure determinants. The SOEs have a target capital structure following trade-off theory. The speed of adjustment towards capital structure target is 45.65% annually, which means that SOEs close two-third of the gap to their capital structure target within two years. Journal: Int. J. of Monetary Economics and Finance Pages: 388-400 Issue: 4 Volume: 9 Year: 2016 Keywords: static capital structure; dynamic capital structure; speed of adjustment; SOEs; state-owned enterprises; Indonesia; static modelling; dynamic modelling; generalised least squares; GLS; trade-off theory. File-URL: http://www.inderscience.com/link.php?id=80081 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:388-400 Template-Type: ReDIF-Article 1.0 Author-Name: Mohammed Umar Author-X-Name-First: Mohammed Author-X-Name-Last: Umar Author-Name: Jauhari Dahalan Author-X-Name-First: Jauhari Author-X-Name-Last: Dahalan Author-Name: Mukhriz Izraf Azman Aziz Author-X-Name-First: Mukhriz Izraf Azman Author-X-Name-Last: Aziz Title: The South African monetary policy and inflation targeting as a nominal anchor: Does the monetary policy become more effective? Abstract: This study investigates whether the South African inflation-targeting (IT) framework has performed the role of the nominal anchor and the process through which the monetary authority determines its instrument in the economy. The study employs generalised method of moments (GMM) estimators. The results of the post-IT adoption and full sample periods are characterised by forward-looking IT rule. Furthermore, the paper uses the augmented monetary policy rule to identify the factors that determine the monetary policy instrument for South Africa. The results confirm that the South African monetary economy practised full-fledged IT principle immediately after the adoption of the IT framework and the monetary policy rule serves as a nominal anchor for the economy. The policy implication is that for South Africa to continue keeping inflation to the required single-digit target, the Reserve Bank should further strengthen the IT framework adopted in the economy. Journal: Int. J. of Monetary Economics and Finance Pages: 401-416 Issue: 4 Volume: 9 Year: 2016 Keywords: baseline policy rule; forward-looking rule; GMM; generalised method of moments; inflation targeting; instrumental variables; Lagrange multiplier; monetary policy; nominal anchor; South Africa; structural breaks. File-URL: http://www.inderscience.com/link.php?id=80082 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:9:y:2016:i:4:p:401-416