Template-Type: ReDIF-Article 1.0 Author-Name: Irena Szarowska Author-X-Name-First: Irena Author-X-Name-Last: Szarowska Title: Effect of macroeconomic determinants on non-performing loans in Central and Eastern European countries Abstract: The aim of the paper is to examine and quantify impact of macroeconomic determinants on non-performing loans (NPLs) in 11 selected Central and Eastern European (CEE) countries in the period 1999-2015. The empirical evidence is based on aggregate annual panel data collected from the Bluenomics. Panel regression with fixed effects analysis identified unemployment as the most important macroeconomic factor for NPLs - the relation between unemployment rate and NPLs is proportional. Next, results confirm negative influence of inflation, economic growth and exchange rate on NPLs. Impact of lending interest rate is positive and in line with expectation. Effect of crisis on NPLs is very strong and important as well. Impact of macro-variables is the strongest with a time lag 1 year. Journal: Int. J. of Monetary Economics and Finance Pages: 20-35 Issue: 1 Volume: 11 Year: 2018 Keywords: NPLs; non-performing loans; economic growth; unemployment; inflation; NEER; nominal effective exchange rate; lending interest rate; CEE countries; crisis. File-URL: http://www.inderscience.com/link.php?id=90564 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:20-35 Template-Type: ReDIF-Article 1.0 Author-Name: Jan Černohorský Author-X-Name-First: Jan Author-X-Name-Last: Černohorský Title: Interest rate development as an indicator of credit market integration Abstract: The goal of this paper is to evaluate the development of credit market integration in selected European Union countries on the basis of an analysis of the development of lending and deposit interest rates. We began with the values of the nominal lending and deposit interest rates. For this, we have used existing interest rate differentials in selected European countries calculated as the difference between the given rate in a specific country and the average of the given rate in the European Monetary Union. We judged their relationships using the mathematical-statistical method of single-factor analysis of variance (ANOVA). For deposit interest rates, the degree of integration did not show any distinct changes; for lending interest rates, the degree of integration decreased slightly. We proved that the method used in this paper is able to assess not only the degree of credit market integration but also of financial markets as a whole. Journal: Int. J. of Monetary Economics and Finance Pages: 3-19 Issue: 1 Volume: 11 Year: 2018 Keywords: credit markets; integration; lending interest rate; deposit interest rate. File-URL: http://www.inderscience.com/link.php?id=90565 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:3-19 Template-Type: ReDIF-Article 1.0 Author-Name: Kristína Kočišová Author-X-Name-First: Kristína Author-X-Name-Last: Kočišová Author-Name: Daniel Stavárek Author-X-Name-First: Daniel Author-X-Name-Last: Stavárek Title: The evaluation of banking stability in the European Union countries Abstract: Successful development of the economy is based on the effective and stable performance of credit institutions. This paper discusses some of the existing efforts to evaluate stability in the financial or banking system and brings attempts to construct the banking stability index (BSI), taking into account indicators of the financial strength of banks and major risks affecting banks in the banking system. The BSI is then used for evaluation of banking stability in the European Union (EU) countries. Results showed that in 2014 countries with the most stable banking sectors were Luxembourg and Estonia. On the opposite end of the scale were banking sectors in Spain, Portugal and Greece. The outcome of the study showed a decline of the average banking stability in EU countries during the period of 2005-2008 and its improvement since 2009. The improvement in last year's was positively affected mainly by the development of the capital adequacy. Journal: Int. J. of Monetary Economics and Finance Pages: 36-55 Issue: 1 Volume: 11 Year: 2018 Keywords: FSI; financial soundness indicators; BSI; banking stability index; EU countries. File-URL: http://www.inderscience.com/link.php?id=90566 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:36-55 Template-Type: ReDIF-Article 1.0 Author-Name: Maria Siranova Author-X-Name-First: Maria Author-X-Name-Last: Siranova Author-Name: Jana Kotlebova Author-X-Name-First: Jana Author-X-Name-Last: Kotlebova Title: SVAR description of ECB monetary policy effects via banking sector in individual EA countries: case of Slovenia Abstract: This paper constructs structural vector autoregression (SVAR) model for individual EA member states that is able to capture effects of European Central Bank's (ECB) unconventional measures. We separately model innovation to ECB key interest rate representing standard interest rate policy as exogenous variable and effects of balance sheet policies through change in claims against domestic sector of individual central banks as endogenous variable. By incorporating banking sector, we specifically examine effects of monetary policy on credit provisioning in individual countries. This model is applied on Slovenian economy after the euro adoption in 2007. Our results suggest that while standard interest rate policy has an effect on long-term interest rates for government bonds and interest rates on loans to households, the balance sheet policy brings about an additional impulse affecting bank interest rates but fails to affect bank spreads, government bonds or directly the credit provisioning. Journal: Int. J. of Monetary Economics and Finance Pages: 56-75 Issue: 1 Volume: 11 Year: 2018 Keywords: quantitative easing; MTM; monetary transmission mechanism; banking sector; SVAR; structural vector autoregression. File-URL: http://www.inderscience.com/link.php?id=90574 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:56-75 Template-Type: ReDIF-Article 1.0 Author-Name: Gábor Dávid Kiss Author-X-Name-First: Gábor Dávid Author-X-Name-Last: Kiss Author-Name: Enikő Balog Author-X-Name-First: Enikő Author-X-Name-Last: Balog Title: Conventional and unconventional balance sheet practices and their impact on currency stability Abstract: The principal objective of this study is to examine the different policy implications of balance sheet expansion and the impact on currency stability on a monthly basis. Balance sheets can evolve due to conventional and unconventional monetary practices, generally through foreign exchange reserve policies or by qualitative and quantitative easing. Monetary policy instruments are measured by different balance sheet ratios. Currency stability is captured by two methods, one focuses on monthly number of extreme currency fluctuations through the contravention of normal distribution at tails, and another utilises conditional volatility. The sample contains seven European central banks between 2006 and 2014: one manages a key currency, four has a safe haven currency while two of them are considered as an emerging currency. The key currency issuer central bank presented a significant interaction between its balance sheet ratios and currency stability only, where monetary expansion calmed its currency market. Journal: Int. J. of Monetary Economics and Finance Pages: 76-94 Issue: 1 Volume: 11 Year: 2018 Keywords: central bank balance sheet; monetary expansion; extreme currency fluctuation. File-URL: http://www.inderscience.com/link.php?id=90575 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:1:p:76-94 Template-Type: ReDIF-Article 1.0 Author-Name: Ioannis A. Tampakoudis Author-X-Name-First: Ioannis A. Author-X-Name-Last: Tampakoudis Author-Name: Demetres N. Subeniotis Author-X-Name-First: Demetres N. Author-X-Name-Last: Subeniotis Author-Name: Ioannis G. Kroustalis Author-X-Name-First: Ioannis G. Author-X-Name-Last: Kroustalis Title: Sovereign credit default swap and bond markets' dynamics: evidence from the European debt crisis Abstract: This study investigates the sovereign credit market dynamics of the heavily indebted southern European countries, considering the dynamic relationship between credit default swap (CDS) and bond spreads. We employ a three-step econometric analysis, intending to shed light on whether the CDS spreads can trigger rises in bond spreads and on the relative efficiency of credit risk pricing in the CDS and bond spreads. The VECM analysis suggests that during an economic turbulence the CDS market leads the price discovery process in Portugal, Greece and Spain, while in Italy the Granger causality test indicates bilateral causality between CDS and bond spreads without identifying the leading market. Hence, an increase in the CDS spread may directly affect the sovereign cost of borrowing. Governments, investors and policy makers should place specific emphasis on the CDS market, since it constitutes the main source of information for sovereign credit risk. Journal: Int. J. of Monetary Economics and Finance Pages: 110-125 Issue: 2 Volume: 11 Year: 2018 Keywords: credit risk; CDS; sovereign bonds; debt crisis; cointegration; price discovery. File-URL: http://www.inderscience.com/link.php?id=92351 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:2:p:110-125 Template-Type: ReDIF-Article 1.0 Author-Name: Irwan Trinugroho Author-X-Name-First: Irwan Author-X-Name-Last: Trinugroho Author-Name: Sutaryo Author-X-Name-First: Author-X-Name-Last: Sutaryo Author-Name: Sylviana Maya Damayanti Author-X-Name-First: Sylviana Maya Author-X-Name-Last: Damayanti Author-Name: Sudarso Kaderi Wiryono Author-X-Name-First: Sudarso Kaderi Author-X-Name-Last: Wiryono Author-Name: Linggar Ikhsan Nugroho Author-X-Name-First: Linggar Ikhsan Author-X-Name-Last: Nugroho Title: Regional banks and market power: evidence from Indonesia Abstract: This paper investigates market power difference between regional banks and other banks in the context of Indonesia over the period of 2001-2009 resulting in 641 observations. Further, we also examine the determinants of market power of regional banks by considering local institutional development. According to the univariate and multivariate tests, we do find that Indonesian regional banks have a larger market power than other commercial banks. However, contrary to our expectation, in the regions with poor governance, market power of those banks is lower than that of well-governed regions. Similarly, socio-economic development is positively linked to the market power of regional banks. Journal: Int. J. of Monetary Economics and Finance Pages: 126-139 Issue: 2 Volume: 11 Year: 2018 Keywords: regional banks; market power; Indonesia; institutional development; socio-economic development. File-URL: http://www.inderscience.com/link.php?id=92352 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:2:p:126-139 Template-Type: ReDIF-Article 1.0 Author-Name: Thiago Henrique Carneiro Rios Lopes Author-X-Name-First: Thiago Henrique Carneiro Rios Author-X-Name-Last: Lopes Author-Name: Cleiton Silva De Jesus Author-X-Name-First: Cleiton Silva De Author-X-Name-Last: Jesus Author-Name: Miguel Angel Rivera-Castro Author-X-Name-First: Miguel Angel Author-X-Name-Last: Rivera-Castro Title: A hybrid Phillips curve and consumer confidence: the case of Brazil Abstract: The main aim of this paper is to verify the determinants of Brazilian inflation using a hybrid Phillips curve. Its innovation is in its incorporation of consumer confidence and by combining this with the unemployment rate as an explanatory variable in the empirical Phillips curve. The main results show that: (i) the effect of unemployment in reducing inflation occurs when the level of consumer confidence is below 125 and (ii) the level of consumer confidence is negatively influenced by both nominal exchange rate and unemployment shocks. This means that increasing unemployment does not necessarily reduce inflation. The unemployment rate needs to be high enough to reduce consumer confidence to the specific level at which a recessive policy can produce the expected effects. Journal: Int. J. of Monetary Economics and Finance Pages: 163-176 Issue: 2 Volume: 11 Year: 2018 Keywords: Phillips curve; inflation; unemployment; consumer confidence. File-URL: http://www.inderscience.com/link.php?id=92353 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:2:p:163-176 Template-Type: ReDIF-Article 1.0 Author-Name: Claudio Socci Author-X-Name-First: Claudio Author-X-Name-Last: Socci Author-Name: Francesca Severini Author-X-Name-First: Francesca Author-X-Name-Last: Severini Author-Name: Rosita Pretaroli Author-X-Name-First: Rosita Author-X-Name-Last: Pretaroli Author-Name: Irfan Ahmed Author-X-Name-First: Irfan Author-X-Name-Last: Ahmed Author-Name: Clio Ciaschini Author-X-Name-First: Clio Author-X-Name-Last: Ciaschini Title: Unconventional monetary policy expansion: the economic impact through a dynamic CGE model Abstract: The ongoing economic stagnation and low inflation rates affecting EU have refuelled the debate on the role and the limits of monetary policy in pushing the economic growth. Given the tight margins for fiscal policy for EU state members, traditional and unconventional monetary policies are becoming more looked-for to break out of this condition. However, the main issue on whether the real or nominal aspects prevails still remains. In this situation, a framework able to identify and analyse any interaction between economic and financial flows becomes crucial to detect the dynamics pushing towards expansions or contractions resulting from monetary policies. Therefore, the aim of this paper is to investigate the direct and indirect impact of monetary policies implemented by the European Central Bank on the main Italian macroeconomic variables both in aggregate and disaggregate terms. For this purpose we use dynamic computable general equilibrium (CGE) model calibrated on the financial social accounting matrix for Italian economy. Journal: Int. J. of Monetary Economics and Finance Pages: 140-162 Issue: 2 Volume: 11 Year: 2018 Keywords: monetary policy; central banking; money supply; dynamic computable general equilibrium models; social accounting matrix; Italy. File-URL: http://www.inderscience.com/link.php?id=92354 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:2:p:140-162 Template-Type: ReDIF-Article 1.0 Author-Name: Musa Essayyad Author-X-Name-First: Musa Author-X-Name-Last: Essayyad Author-Name: Omar Al-Titi Author-X-Name-First: Omar Author-X-Name-Last: Al-Titi Title: Re-examination of an improved Euro index under different market conditions Abstract: This paper updates Essayyad et al. (2011) research using multivariate tests to identify the most objective financial and economic factors that would improve the construction of the Euro index in order to improve measurement of movements in the currency markets. The data covers the expanded period from June 1999 to June 2015. The difference in the results of 2011 and 2016 studies can be attributed to the changes in the values of economic and financial variables due to economic/market collapse, natural disasters including droughts, escalating cost associated with the entanglement of the West in regional wars, and the subsequent recession that prevailed in the member countries of Organization for Economic Cooperation and Development (OECD). The aforementioned factors and the persistent increase in national debt have affected the exchange rate of the Euro. Journal: Int. J. of Monetary Economics and Finance Pages: 95-109 Issue: 2 Volume: 11 Year: 2018 Keywords: Euro index; principal components; international finance; international trade. File-URL: http://www.inderscience.com/link.php?id=92379 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:2:p:95-109 Template-Type: ReDIF-Article 1.0 Author-Name: Rindu Rika Gamayuni Author-X-Name-First: Rindu Rika Author-X-Name-Last: Gamayuni Title: Factors affecting internal audit function effectivity (internal auditor competence and objectivity, management support and organisation culture) at local government Abstract: Internal audit function is important at the central and local government, but is still weak, and it needs to be improved. Therefore, this research aims to examine the effect of the internal auditor competence and objectivity, management support and organisation culture on the effectiveness of the internal audit function. This research uses survey method with description verification approach, and it is conducted on local government in Lampung Province, Indonesia. Primary data are statistically tested by using SEM partial least square (PLS). This research has shown that the internal auditor competence and objectivity, and organisation culture has significant influence to the effectiveness of internal audit function, but management support does not. Journal: Int. J. of Monetary Economics and Finance Pages: 179-191 Issue: 3 Volume: 11 Year: 2018 Keywords: internal auditor competence; objectivity; management support; organisation culture; internal audit function effectivity. File-URL: http://www.inderscience.com/link.php?id=93786 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:179-191 Template-Type: ReDIF-Article 1.0 Author-Name: Paul-Francois Muzindutsi Author-X-Name-First: Paul-Francois Author-X-Name-Last: Muzindutsi Author-Name: Jean Claude Manaliyo Author-X-Name-First: Jean Claude Author-X-Name-Last: Manaliyo Title: Econometric analysis of real exchange rate shocks and real growth of the tourism sector in South Africa Abstract: The aim of this study was to analyse the interactions between real exchange rate and real income from the tourism sector in South Africa. The vector autoregressive model (VAR) with Johansen multivariate cointegration approach was used to analyse monthly time series from January 2007 to December 2015. This study found a negative long-run relationship between the real exchange rate and real tourism revenue (LTR) in South Africa, where the depreciation of the local currency is associated with an increase in the LTR. Short-run results revealed that LTR is affected by short-run fluctuations in the real exchange rate; while Granger causality test showed that the real exchange rate Granger causes LTR. This study concluded that the weakening of the local currency, against major foreign currencies, seems to be good news for the South African tourism sector. Journal: Int. J. of Monetary Economics and Finance Pages: 205-214 Issue: 3 Volume: 11 Year: 2018 Keywords: cointegration; real exchange rate; tourism income; South Africa; VAR model. File-URL: http://www.inderscience.com/link.php?id=93787 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:205-214 Template-Type: ReDIF-Article 1.0 Author-Name: Attasuda Lerskullawat Author-X-Name-First: Attasuda Author-X-Name-Last: Lerskullawat Title: Financial development and the lending channel of monetary policy transmission: evidence from Thailand Abstract: This paper examines the bank lending channel of monetary policy transmission and the effect of financial market development on the bank lending channel in Thailand using bank-level panel data from the quarterly period of 1992Q1-2011Q4. The empirical results show a significant effect of monetary policy via the bank lending channel of monetary policy in Thailand. This effect of monetary policy is higher especially in bank with larger size as well as bank with lower capitalisation. Financial market development, including the banking sector development and the capital market development, mainly weakens the effect of monetary policy through the bank lending channel in Thailand. Journal: Int. J. of Monetary Economics and Finance Pages: 224-234 Issue: 3 Volume: 11 Year: 2018 Keywords: monetary policy; bank lending channel; financial market development; Thailand. File-URL: http://www.inderscience.com/link.php?id=93788 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:224-234 Template-Type: ReDIF-Article 1.0 Author-Name: Lathaporn Ratanavararak Author-X-Name-First: Lathaporn Author-X-Name-Last: Ratanavararak Title: The impact of financial and trade integration on business cycles in emerging markets Abstract: This paper investigates the combined effect of financial integration (FI) and trade integration (TI) on macroeconomic volatility and business cycle synchronisation (BCS) in emerging markets. The study adopts a two-country real business cycle model with the adjustment cost of foreign asset holding, domestic leverage constraint and asymmetric financial accessibility. The results reveal that the impacts of FI and TI are intertwined. Increasing foreign asset holding generally has a weaker impact at high trade intensity. People with restricted financial access face large consumption volatility from increased FI under low trade. The findings suggest that trade could help mitigate the negative effect of FI on consumption smoothing, and FI could help lower output fluctuation and dependence on foreign economies, while trade increases them. Journal: Int. J. of Monetary Economics and Finance Pages: 215-223 Issue: 3 Volume: 11 Year: 2018 Keywords: financial integration; trade integration; business cycles; EMEs; emerging market economies; macroeconomic volatility; BCS; business cycle synchronisation; financial access; RBC model. File-URL: http://www.inderscience.com/link.php?id=93789 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:215-223 Template-Type: ReDIF-Article 1.0 Author-Name: Kartika Dewi Sri Susilowati Author-X-Name-First: Kartika Dewi Sri Author-X-Name-Last: Susilowati Title: Creating economic value through multi-stakeholder partnership (case study on the black soybean farmers development programme of Unilever Indonesia) Abstract: This study examines the black soybean farmers development programme created by Unilever Indonesia (UI). These programmes was developed in collaboration with several stakeholders made up of scientists/university staff, non-government organisations (NGOs), financial institution, farmers, wives of farmers and cooperative. The programme basically aims to set up local black soybean production centres to assure a continuous supply of the main ingredients of Bango soy sauce, a flagship product of UI with a quantity, quality and price in accordance to the company's standards. This interpretive research study follows a post-positivist paradigm. Data were collected by conducting in-depth interviews of all the partners involved in the programme. Result of the study shows that the multi-stakeholder partnership created by Unilever was capable of creating positive economic value to all the partners and, at the same time, improving the quality of life of the farmers. Journal: Int. J. of Monetary Economics and Finance Pages: 289-297 Issue: 3 Volume: 11 Year: 2018 Keywords: partnership; multi-stakeholder; black soybean programme; Unilever Indonesia; UI. File-URL: http://www.inderscience.com/link.php?id=93790 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:289-297 Template-Type: ReDIF-Article 1.0 Author-Name: Sylviana Maya Damayanti Author-X-Name-First: Sylviana Maya Author-X-Name-Last: Damayanti Author-Name: Isrochmani Murtaqi Author-X-Name-First: Isrochmani Author-X-Name-Last: Murtaqi Author-Name: Rudy Bekti Author-X-Name-First: Rudy Author-X-Name-Last: Bekti Author-Name: Anggoro Budi Nugroho Author-X-Name-First: Anggoro Budi Author-X-Name-Last: Nugroho Title: Asset allocation strategy to create superior portfolio from equity mutual funds Abstract: There are many factors that cause an investor's success or failure in investing. One of the most decisive factors is the strategy to allocate investment assets. Therefore, investors need to allocate his or her assets such that an optimal return is achieved. This study discusses three strategies of asset allocation, namely buy and hold, instalment plan, and rebalancing. Three rebalancing processes are applied; quarterly, semi-annually and annually. Thirty active equity mutual funds from 2008 to 2014 have been used as research sample to calculate the superior portfolio. This study uses the Sharpe ratio to calculate portfolio return. The research result shows that strategic asset allocation with rebalancing strategy is considered the best strategy to be applied by investors. This finding can be used by investors as reference to invest in equity mutual funds to enhance returns. Journal: Int. J. of Monetary Economics and Finance Pages: 243-250 Issue: 3 Volume: 11 Year: 2018 Keywords: asset allocation; portfolio; equity mutual fund. File-URL: http://www.inderscience.com/link.php?id=93791 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:243-250 Template-Type: ReDIF-Article 1.0 Author-Name: Normala Zulkifli Author-X-Name-First: Normala Author-X-Name-Last: Zulkifli Author-Name: Shahrun Nizam Abdul-Aziz Author-X-Name-First: Shahrun Nizam Author-X-Name-Last: Abdul-Aziz Title: Supply-side pay determinants in the Malaysian manufacturing sector Abstract: This study examines the determinants of an individual worker's pay from the employee's perspective using the new disaggregated dataset obtained from the Second Malaysian Productivity Investment Climate Survey. A quantile regression analysis on the extended Mincerian pay model was used in the estimation. The findings suggest that higher education level, training and skills are the key determinants of the individual worker's pay. Interestingly, training from current employer has a bigger impact on pay than training from a previous employer or off-the-job training. Additionally, advanced computer skill has a more positive impact on pay compared with having medium, basic or no computer skill. Moreover, workers in professional employment and management are also paid significantly higher salaries than those in other types of jobs. Journal: Int. J. of Monetary Economics and Finance Pages: 280-288 Issue: 3 Volume: 11 Year: 2018 Keywords: pay determination; manufacturing sector; Malaysian economy; quantile regression analysis. File-URL: http://www.inderscience.com/link.php?id=93792 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:280-288 Template-Type: ReDIF-Article 1.0 Author-Name: Noermijati Author-X-Name-First: Author-X-Name-Last: Noermijati Author-Name: Misbahuddin Azzuhri Author-X-Name-First: Misbahuddin Author-X-Name-Last: Azzuhri Title: Analysis of transformational leadership effect towards organisational citizenship behaviour mediated by organisational commitment in the heritage hotel Abstract: Many organisations are shifting the pattern of their leadership style from transactional into transformational leadership as a way of achieving the strategy and goals. This study aimed to analyse transformational leadership influence on organisational citizenship behaviour (OCB) and organisational commitment role in mediating its effects. The type of research is explanatory research with a quantitative approach. The populations in this study are 82 employees from the heritage hotel in Malang, East Java, Indonesia. Census method is used and involves the entire population as respondents. Data are processed by structural equation modelling (SEM) analysis that conducted by the partial least square (PLS) method. The results indicated that transformational leadership has a significant positive effect on OCB and against organisational commitment, where organisational commitment does not much affect OCB. Evidently, organisational commitment does not mediate the effect of transformational leadership on OCB. Journal: Int. J. of Monetary Economics and Finance Pages: 298-306 Issue: 3 Volume: 11 Year: 2018 Keywords: transformational leadership; organisational commitment; OCB; organisational citizenship behaviour; heritage hotel. File-URL: http://www.inderscience.com/link.php?id=93793 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:298-306 Template-Type: ReDIF-Article 1.0 Author-Name: Ramede Sodsai Author-X-Name-First: Ramede Author-X-Name-Last: Sodsai Author-Name: Karoon Suksonghong Author-X-Name-First: Karoon Author-X-Name-Last: Suksonghong Title: Does market capitalisation matters? Tests of weak-form efficient market hypothesis for Thai stock market Abstract: This study contributes to the literature of stock market efficiency by examining the weak-form efficient hypothesis for Thai stock market, especially after the subprime mortgage crisis in which the restricted financial policies issued by Thai government has been implemented. Thus, the full sample and sub-sample windows covering pre- and post-subprime financial crisis periods are investigated. The newly developed multiple variance ratio tests based on the wild bootstrap together with the Lo-MacKinlay and the Chow-Denning variance ratio tests are employed for testing the hypothesis. In addition, sub-indices based upon market capitalisation are categorised for further investigation on the impact of firm-sized on efficiency. The results reveal that, for the market level, the Stock Exchange of Thailand exhibits the market efficiency during the period of pre- and post-subprime mortgage crisis. For the sub-indices point of view, however, the small-capitalisation index provides some evidences against a weak-form efficiency. Journal: Int. J. of Monetary Economics and Finance Pages: 235-242 Issue: 3 Volume: 11 Year: 2018 Keywords: market efficiency; random walk; multiple variance ratio test; market capitalisation; SET; Stock Exchange of Thailand. File-URL: http://www.inderscience.com/link.php?id=93794 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:235-242 Template-Type: ReDIF-Article 1.0 Author-Name: Shu Fen Chuah Author-X-Name-First: Shu Fen Author-X-Name-Last: Chuah Author-Name: Chee-Wooi Hooy Author-X-Name-First: Chee-Wooi Author-X-Name-Last: Hooy Title: The impact of board ethnic diversity on firm performance: evidence from public listed firms in Malaysia Abstract: This paper examines the impact of board ethnic diversity on firm performance (FP) as well as the interacting effects of board independence and board meeting attendance. Unlike prior local research which mainly studied Bumiputera and non-Bumiputera (Malays and non-Malays) directors, this paper views the board from the perspective of diversity. We hand-collected the directors' details and identified them as Malay, Chinese, Indian or other ethnics directors. Using panel data analysis of public listed firms in Malaysia, this paper reveals that diverse ethnic directors in the board increase FP only if more than half of the board consists of independent directors. The finding suggests that when the board is independent, this effectively functioning board allows the diverse ethnic directors to participate in the board activities and make decision that ensure the benefits of all stakeholders, which ultimately increase FP. Journal: Int. J. of Monetary Economics and Finance Pages: 260-270 Issue: 3 Volume: 11 Year: 2018 Keywords: BED; board ethnic diversity; firm performance; board independence; BMA; board meeting attendance; Herfindahl Index. File-URL: http://www.inderscience.com/link.php?id=93795 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:260-270 Template-Type: ReDIF-Article 1.0 Author-Name: Amelia Amelia Author-X-Name-First: Amelia Author-X-Name-Last: Amelia Author-Name: Ronald Ronald Author-X-Name-First: Ronald Author-X-Name-Last: Ronald Title: Generic drug in Indonesia: why physicians and pharmacists matters Abstract: Since 2014, Indonesia began imposing the National Health Insurance program. One of the goals of implementing the program is to increase the use of generic drugs. This action was done to respond the low use of generic drugs, which is around 11%, in 2011 (World Bank, 2008). Therefore, this study tried to examine the factors that influence the purchase intention of generic drugs based on the information from physicians and pharmacists. Also the overall information risk with experience was used as moderating variable. The research sample for this includes 400 respondents. The questionnaires were distributed from September 2014 until December 2015. The questionnaire distribution takes a relatively long time due to the very small number of generic drug users were available. The result shows that physician information have the biggest effect on the purchase intention of generic drugs, and that experience has a significant effect as moderating variable. Journal: Int. J. of Monetary Economics and Finance Pages: 307-315 Issue: 3 Volume: 11 Year: 2018 Keywords: generic drugs; physician information; pharmacist information; experience; Indonesia. File-URL: http://www.inderscience.com/link.php?id=93796 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:307-315 Template-Type: ReDIF-Article 1.0 Author-Name: Sam'un Jaja Raharja Author-X-Name-First: Sam'un Jaja Author-X-Name-Last: Raharja Title: Strategic challenge in the management of the regional water company: study in West Java Indonesia Abstract: Drinking Water Regional Company (Perusahaan Daerah Air Minum or PDAM) is owned and controlled by local governments. PDAM faces a number of problems in Indonesia, including the West Java Province. Two major problems exist, which are internal technical and external strategic concerns. These are challenges faced by PDAM in the improvement of service coverage and its business development. Results showed that the management of PDAM still faces many strategic internal and external challenges associated with environmental aspects inside and outside the organisation. Journal: Int. J. of Monetary Economics and Finance Pages: 271-279 Issue: 3 Volume: 11 Year: 2018 Keywords: regional company; environmental; strategic challenge. File-URL: http://www.inderscience.com/link.php?id=93797 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:271-279 Template-Type: ReDIF-Article 1.0 Author-Name: Subiakto Soekarno Author-X-Name-First: Subiakto Author-X-Name-Last: Soekarno Author-Name: Edo Prayogo Author-X-Name-First: Edo Author-X-Name-Last: Prayogo Title: Capital structure active adjustment of Indonesian state-owned enterprises (SOEs) Abstract: Indonesia's listed state-owned enterprises (SOEs) have relatively high dividend payout ratio compared to typical private enterprises because of the duty to fulfil government's budget SOEs may not put the priority to maximise public shareholder's value in the first place If the mission of maximising shareholders' value does not come at the priority, it is suspected that the managers of SOEs do not care about optimal capital structure target Recent research has found that Indonesia's listed SOEs adjust their leverage for as much as 45.65% toward the target However, it is still unknown whether the speed is caused by the active adjustment intentionally done by the awareness of the managers or by a passive adjustment which means that the managers do nothing regarding the leverage adjustment It is found that SOEs' managers are aware and do actively adjust the leverage toward the target with relatively slow adjustment. Journal: Int. J. of Monetary Economics and Finance Pages: 251-259 Issue: 3 Volume: 11 Year: 2018 Keywords: active adjustment; SOE; state-owned enterprise; capital structure; partial adjustment. File-URL: http://www.inderscience.com/link.php?id=93798 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:251-259 Template-Type: ReDIF-Article 1.0 Author-Name: Dumrongdej Pramitithanakan Author-X-Name-First: Dumrongdej Author-X-Name-Last: Pramitithanakan Author-Name: Supawan Tantayanon Author-X-Name-First: Supawan Author-X-Name-Last: Tantayanon Author-Name: Kanit Wattanavichien Author-X-Name-First: Kanit Author-X-Name-Last: Wattanavichien Author-Name: Laddawan Kunnoot Author-X-Name-First: Laddawan Author-X-Name-Last: Kunnoot Title: The attitude towards the new rice direct-seeding device Abstract: This study investigated users' behaviour concerning the attitude towards a new technology. The perceived characteristics of innovation, based on the diffusion of innovation theory, were selected as guidelines for data collection. A semi-structured in-depth interviewing qualitative technique was initially employed to assess the meaning of users' perceived characteristics of the rice direct seeding device. Members of three communities with high performances in rice producing were targeted purposively for the interviews. The data were analysed and rewritten as the content of the field survey questionnaire to measure the relation between the attitudes and the perceived characteristics. The questionnaires were assessed using a five-point Likert's scale. Cronbach's coefficient alpha was chosen for reliability testing. The respondents were rice producers. Multiple regression analysis qualitative technique was used to confirm the hypothesised relationships. The findings showed demographics and socio-economics, relative advantage, compatibility, complexity and observability influenced the attitude towards the direct seeding machine. Journal: Int. J. of Monetary Economics and Finance Pages: 192-204 Issue: 3 Volume: 11 Year: 2018 Keywords: users' behaviour; attitudes towards new technology; characteristics of innovation; rice direct-seeding device. File-URL: http://www.inderscience.com/link.php?id=93799 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:3:p:192-204 Template-Type: ReDIF-Article 1.0 Author-Name: Irwan Trinugroho Author-X-Name-First: Irwan Author-X-Name-Last: Trinugroho Author-Name: Sylviana Maya Damayanti Author-X-Name-First: Sylviana Maya Author-X-Name-Last: Damayanti Author-Name: Sudarso Kaderi Wiryono Author-X-Name-First: Sudarso Kaderi Author-X-Name-Last: Wiryono Author-Name: Mochammad Doddy Ariefianto Author-X-Name-First: Mochammad Doddy Author-X-Name-Last: Ariefianto Title: Reexamine performance of foreign banks in Indonesia Abstract: We reexamine the performance of multiple definitions of foreign banks in Indonesia over the period of September 2005-December 2013 in a monthly dataset. We use a number of definitions of foreign banks which are branches and subsidiaries of foreign banks (BSFB), joint venture banks (JVB) and domestic banks acquired by foreign investors (DBAFI). Unbalanced panel data estimation, more particular random effect, is employed to examine our hypothesis. We find that BSFB have a higher performance than other banks. However, little evidence is revealed for the joint venture and acquired banks. Encouraging banks, more particular domestic banks, to be more efficient should be bolstered by the regulators to lead them to be more profitable and competitive. Journal: Int. J. of Monetary Economics and Finance Pages: 317-326 Issue: 4 Volume: 11 Year: 2018 Keywords: foreign ownership; joint venture; acquired banks; bank performance; multiple identifications; Indonesia. File-URL: http://www.inderscience.com/link.php?id=95740 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:317-326 Template-Type: ReDIF-Article 1.0 Author-Name: Zaafri Ananto Husodo Author-X-Name-First: Zaafri Ananto Author-X-Name-Last: Husodo Author-Name: Daniel Wojtyla Author-X-Name-First: Daniel Author-X-Name-Last: Wojtyla Title: Systemically important financial institutions (SIFI) in Indonesian banking system Abstract: We study the Indonesian Banking System, as one of the emerging economies with significant numbers of bank employing component expected shortfall (CES) as a market-based systemic risk measurement. The measure is a hybrid one that combines too big to fail and too interconnected to fail paradigms. Our result shows that systemic risk in Indonesian Banking System is highly concentrated, dominated by five big banks which contributes to more than 80% of the total risk of the banking system. Moreover, the concentration increased as the financial turmoil waived the whole banking system in September 2008. As a robustness test, this research uses various weighting scheme using total assets, total equities, and total loans as weights of the firm. The result show relatively consistent systemically important financial institutions (SIFI) cluster compared to market capitalisation weight. Journal: Int. J. of Monetary Economics and Finance Pages: 327-344 Issue: 4 Volume: 11 Year: 2018 Keywords: systemic risk; SIFI; systemically important financial institutions; CES; component expected shortfall; Indonesian banking industry. File-URL: http://www.inderscience.com/link.php?id=95741 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:327-344 Template-Type: ReDIF-Article 1.0 Author-Name: Siwapong Dheera-aumpon Author-X-Name-First: Siwapong Author-X-Name-Last: Dheera-aumpon Title: Culture and corruption in bank lending revisited Abstract: This paper aims to reassess the effects of culture on corruption in bank lending. These effects were first studied by prior studies which use Hofstede's cultural dimension data. The Hofstede's cultural data are constructed from survey data collected between 1967 and 1973. The data on corruption in bank lending taken from the world business environment survey (WBES), however, were collected between 1999 and 2000. This paper uses cultural data from the global leadership and organisational behaviour effectiveness (GLOBE) project which are constructed from survey data collected in the 1990s instead. The data from the GLOBE project are not only more recent but also provide more cultural dimensions than those of Hofstede. The results indicate that in-group collectivism still increases corruption in bank lending. The results suggest that assertiveness and uncertainty avoidance no longer have a significant effect on corruption in bank lending. Journal: Int. J. of Monetary Economics and Finance Pages: 345-353 Issue: 4 Volume: 11 Year: 2018 Keywords: bank lending; corruption; culture; collectivism. File-URL: http://www.inderscience.com/link.php?id=95742 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:345-353 Template-Type: ReDIF-Article 1.0 Author-Name: Fakarudin Kamarudin Author-X-Name-First: Fakarudin Author-X-Name-Last: Kamarudin Author-Name: Fadzlan Sufian Author-X-Name-First: Fadzlan Author-X-Name-Last: Sufian Author-Name: Annuar Md. Nassir Author-X-Name-First: Annuar Md. Author-X-Name-Last: Nassir Author-Name: Nazratul Aina Mohamad Anwar Author-X-Name-First: Nazratul Aina Mohamad Author-X-Name-Last: Anwar Author-Name: Nur Ainna Ramli Author-X-Name-First: Nur Ainna Author-X-Name-Last: Ramli Author-Name: Khar Mang Tan Author-X-Name-First: Khar Mang Author-X-Name-Last: Tan Author-Name: Hafezali Iqbal Hussain Author-X-Name-First: Hafezali Iqbal Author-X-Name-Last: Hussain Title: Price efficiency on Islamic banks vs. conventional banks in Bahrain, UAE, Kuwait, Oman, Qatar and Saudi Arabia: impact of country governance Abstract: This research investigate the impact of six dimensions of country governance to the price efficiency of Islamic and conventional banks. The empirical analysis is focused on the Islamic and conventional banks operating in the Bahrain, UAE, Kuwait, Oman, Qatar and Saudi Arabia countries. The data envelopment analysis (DEA) method applied to compute the revenue efficiency of Islamic and conventional banks. Then used the Multivariate Panel Regression Analysis with the Ordinary Least Square as an estimation method to investigate the potential determinants and the effect of country governance on the revenue efficiency. The empirical findings indicate that greater voice and accountability, political stability, regulatory quality, rule of law and control of corruption enhance the revenue efficiency of both Islamic and conventional banks. The dimension of government effectiveness exerts positive sign relationship with the banks revenue efficiency only on conventional banks. Journal: Int. J. of Monetary Economics and Finance Pages: 363-383 Issue: 4 Volume: 11 Year: 2018 Keywords: revenue efficiency; DEA; data envelopment analysis; ordinary least square; country governance. File-URL: http://www.inderscience.com/link.php?id=95743 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:363-383 Template-Type: ReDIF-Article 1.0 Author-Name: Kenneth A. Tah Author-X-Name-First: Kenneth A. Author-X-Name-Last: Tah Title: Random walk and structural break in exchange rates Abstract: In this paper, our goal is to examine whether foreign exchange rate between the US and her largest trading partners (China, Canada, Mexico, Japan, Europe, South Korea, UK, India and Taiwan) follow random-walk or mean-reversion processes in the presence of sudden and gradual structural break. Our tests endogenously determined the structural swing and are more powerful than the traditional unit root tests. In all foreign exchange rates, we find strong evidence for structural breaks. Moreover, the results are consistent with the random-walk hypothesis for all trading partners except China. After due allowance is made for structural break, the Chinese yuan against the US dollar violate the random walk hypothesis. Journal: Int. J. of Monetary Economics and Finance Pages: 384-393 Issue: 4 Volume: 11 Year: 2018 Keywords: exchange rates; random-walk; structural break; additive outlier; innovational outlier. File-URL: http://www.inderscience.com/link.php?id=95744 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:384-393 Template-Type: ReDIF-Article 1.0 Author-Name: Ahmad Rodoni Author-X-Name-First: Ahmad Author-X-Name-Last: Rodoni Author-Name: Ade Sofyan Mulazid Author-X-Name-First: Ade Sofyan Author-X-Name-Last: Mulazid Author-Name: Rama Febriyanti Author-X-Name-First: Rama Author-X-Name-Last: Febriyanti Title: Phenomena and determinants of underpricing, flipping activity and long term performance: an empirical investigation of sharia IPO in Indonesia Abstract: This study aimed to examine the phenomenon and factors affecting of underpricing, flipping activity and long term performance of Shariah IPO at the Islamic Securities in Indonesia Stock Exchange 2010-2014. The sample consisted of 59 companies enlisted in Islamic Securities. The results of one sample t-test showed there had been underpricing and flipping activity. Meanwhile there was no long-term performance decrease occurring during the Sharia IPO. The result of GLS test indicated return on equity (ROE), reputation underwriter, type of industry and time (hot/old) was negative effect on underpricing. Debt to equity (DER), earning per share (EPS) variables; auditor reputation was positive effect. Whereas, return on asset (ROA) and size of age was no significant affect on underpricing. Besides, GLS test also showed DER was negative effect on flipping activity. Type of industry; time (hot/cold) was positive effect. Whereas, ROA, ROE, EPS, size of age, firm size, underwriter reputation and auditor reputation variables was no significant effect on flipping activity. Journal: Int. J. of Monetary Economics and Finance Pages: 394-410 Issue: 4 Volume: 11 Year: 2018 Keywords: sharia IPO anomaly; underpricing; flipping activity; long-term performance; auditor; flipping; performance. File-URL: http://www.inderscience.com/link.php?id=95745 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:394-410 Template-Type: ReDIF-Article 1.0 Author-Name: Shahid Waseem Anjum Author-X-Name-First: Shahid Waseem Author-X-Name-Last: Anjum Title: Bank's middle office analytics, risk modelling and comparative Basel regimes Abstract: Volatility is the focus of banks' market risk measurement, management and reporting exercises. Risk measures may be either internal or external ones. Regulatory approaches cover different risk categories. Basel III's external risk measures may use a standardised approach or an advanced approach for market risks where measuring value-at-risk threshold is important for the calculation of the capital charge of market risk. Besides, Basel III has introduced stressed VaR, specific risks, incremental risk charge and standardised capital charge. If a bank's forecasts for VaR model are violated more than nine times in any financial year, the bank may be required to adopt the ‘standardised’ approach thus incurring a more regulatory capital charge and a loss for the bank. Keeping this importance in mind, this study provides a comparative description of recent Basel regimes, volatility and Value-at-Risk models, mathematical characteristics of Basel measures and their robustness. Journal: Int. J. of Monetary Economics and Finance Pages: 354-362 Issue: 4 Volume: 11 Year: 2018 Keywords: volatility models; value at risk estimation; multivariate techniques; Basel III compliance; regulatory capital charge. File-URL: http://www.inderscience.com/link.php?id=95746 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:4:p:354-362 Template-Type: ReDIF-Article 1.0 Author-Name: Ansgar Belke Author-X-Name-First: Ansgar Author-X-Name-Last: Belke Title: Central bank communication and transparency: the ECB and the European Parliament Abstract: This paper considers a range of important issues concerning the transparency and accountability of central banks with particular emphasis on the so-called monetary Dialogue, i.e., the regular appearances of the President of the European Central Bank (ECB) before the European Parliament (EP). In order to highlight the key issues of central bank communication and the management of expectations referring to a practical institutional example, we comment on the role the Monetary Dialogue in the context of an evolving monetary policy. Communication is finally described as a policy option in terms of minimising risk in the context of exit from unconventional monetary policies and of the signalling channel which refers to what the public learns from announcements of unconventional monetary policy operations such as Quantitative Easing. Journal: Int. J. of Monetary Economics and Finance Pages: 416-435 Issue: 5 Volume: 11 Year: 2018 Keywords: central bank communication; European central bank; European Parliament; forward guidance; monetary dialogue; transparency. File-URL: http://www.inderscience.com/link.php?id=95770 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:5:p:416-435 Template-Type: ReDIF-Article 1.0 Author-Name: Jose Olmo Author-X-Name-First: Jose Author-X-Name-Last: Olmo Author-Name: Marcos Sanso-Navarro Author-X-Name-First: Marcos Author-X-Name-Last: Sanso-Navarro Title: Unconventional monetary policies and the credit market Abstract: We propose a theoretical model based on the bank lending channel to assess the ability of lending facilities and swap programs to affect the credit interest rate. The model predicts the success of both unconventional monetary measures in reducing the credit interest rate under very general conditions. The comparison between measures reveals the outperformance of lending facilities over swap programs if i) the risk premium on the interbank money market is sizeable and the yield on government bonds is low, ii) the share of bank lending obtained from the central bank is below some specific threshold, iii) the interest rate offered by the central bank on excess reserves is high, and iv) the default rate on loans is high. The quantitative assessment of the model with real data confirms the appropriate response of the Federal Reserve in recent crisis episodes but sheds some doubts on the European Central Bank intervention. Journal: Int. J. of Monetary Economics and Finance Pages: 480-498 Issue: 5 Volume: 11 Year: 2018 Keywords: bank profit maximisation; credit interest rate; optimal credit supply; UMP; unconventional monetary policy. File-URL: http://www.inderscience.com/link.php?id=95777 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:5:p:480-498 Template-Type: ReDIF-Article 1.0 Author-Name: Eleni Dalla Author-X-Name-First: Eleni Author-X-Name-Last: Dalla Title: On the effect of Cournot and Stackelberg competition in the banking sector on the investment cycle Abstract: Following the industrial organisation approach to banking, we investigate the effects of banking conduct on the investment cycle. To achieve this, we extend the second order accelerator (SOA) model in discrete time, introducing the interest rate on loans. To the extent that the banking sector is concerned, we consider two different types of banking conduct: a Cournot game where the banks make their decision on the quantities of loans and deposits simultaneously, and a Stackelberg game in which they decide over these amounts sequentially. In addition, we follow a simulation process to confirm the dynamic properties of our theoretical findings and examine the effects of monetary policy on capital over time. Journal: Int. J. of Monetary Economics and Finance Pages: 499-515 Issue: 5 Volume: 11 Year: 2018 Keywords: Cournot game; Stackelberg game; investment cycle; SOA; second order accelerator; monetary policy. File-URL: http://www.inderscience.com/link.php?id=95781 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:5:p:499-515 Template-Type: ReDIF-Article 1.0 Author-Name: Gabriel V. Montes-Rojas Author-X-Name-First: Gabriel V. Author-X-Name-Last: Montes-Rojas Title: Can countries lobby for foreign direct investment? Evidence from the US Abstract: This paper empirically studies a mechanism where foreign direct investment (FDI) recipient countries lobby the US government for the allocation of outward US FDI. In this case, lobbying has the goal of informing US policymakers about their countries' market capabilities and of influencing their attitudes toward recipient countries. In turn, policymakers influence firms' decisions about the location of their potential investments abroad. We empirically estimate the direct influence of the recipient country's lobbying agents in obtaining FDI. The econometric results show that increasing foreign lobbying in the US raises the amount of US FDI received. This amount is potentially large for FDI receiving countries. Journal: Int. J. of Monetary Economics and Finance Pages: 516-523 Issue: 5 Volume: 11 Year: 2018 Keywords: FDI; foreign direct investment; lobbying. File-URL: http://www.inderscience.com/link.php?id=95796 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:5:p:516-523 Template-Type: ReDIF-Article 1.0 Author-Name: Salma Ben-Lalouna Author-X-Name-First: Salma Author-X-Name-Last: Ben-Lalouna Author-Name: Joseph Pearlman Author-X-Name-First: Joseph Author-X-Name-Last: Pearlman Title: The magnitude of the macroeconomic impact of oil price: the case of BRICS Abstract: This paper aims to investigate the importance of the macroeconomic impact of oil prices variations on Brazil, Russia, India, China and South Africa (BRICS). The topic was selected due to the significance of those leading emerging economies in global markets and to the determining role of oil in the current economy of the BRICS. The research was built upon on the Granger causality test, the impulse response function and the Cholesky variance decomposition by fitting both linear and non-linear multivariate vector autoregression (VAR) models. The model includes oil price inflation and consumer price inflation, interest rates, unemployment rates, exchange rates, imports and exports, and total industrial production. The results showed a significant impact of oil prices on the BRICS economies mainly in terms of total industrial production, exports and imports, and evidence of asymmetry was found. The remaining outcomes showed different results depending on whether the country is oil-exporting or oil-importing. Journal: Int. J. of Monetary Economics and Finance Pages: 436-479 Issue: 5 Volume: 11 Year: 2018 Keywords: BRICS; oil prices inflation; interest rates; unemployment; exchange rates; imports; exports; total industrial production; macroeconomics variables; vector autoregression; VAR. File-URL: http://www.inderscience.com/link.php?id=95802 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:5:p:436-479 Template-Type: ReDIF-Article 1.0 Author-Name: Sudarso Kaderi Wiryono Author-X-Name-First: Sudarso Kaderi Author-X-Name-Last: Wiryono Author-Name: Sinta Aryani Author-X-Name-First: Sinta Author-X-Name-Last: Aryani Author-Name: Mandra Lazuardi Kitri Author-X-Name-First: Mandra Lazuardi Author-X-Name-Last: Kitri Author-Name: Umi Kulsum Author-X-Name-First: Umi Author-X-Name-Last: Kulsum Title: How does momentum exist? The case of the Indonesian stock market Abstract: The study of the Carhart model of market return, the value of the firm, market capitalisation, and momentum is interested because every market has its own characteristics. Since this model only represents the fundamental of the firms, the macroeconomic conditions should be investigated. This study investigates the effects of the macroeconomic in the Carhart model. In addition to the fundamental factors i.e., market return, the value of the firm, market capitalisation, and momentum, the study further investigates the effects of export, import, and exchange rate in the model. The model uses different holding periods and different economic conditions. The finding of this study is that momentum does exist in the Indonesian market, however, in very limited condition i.e., in crisis and normal economic conditions of Indonesia. Momentum does not show in the uptrend economic condition. More interestingly, in overall economic conditions during the observation, momentum does exist. Journal: Int. J. of Monetary Economics and Finance Pages: 543-566 Issue: 6 Volume: 11 Year: 2018 Keywords: momentum; export; import; exchange rate; Indonesia. File-URL: http://www.inderscience.com/link.php?id=97191 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:6:p:543-566 Template-Type: ReDIF-Article 1.0 Author-Name: Danilo Liberati Author-X-Name-First: Danilo Author-X-Name-Last: Liberati Title: An estimated DSGE model with search and matching frictions in the credit market Abstract: Financial frictions have become fundamental for studying the business cycle and credit market dynamics. This work adds to the existing literature by introducing a search and matching scheme in the financial market into a cash in advance New Keynesian DSGE theoretical model. We provide an alternative explanation of the degree of incompleteness in the pass-through from policy rate to loan rates depending on credit market tightness, the search costs sustained by banks, and the relative powers of the agents in loan interest rate bargaining. The model is able to reproduce the countercyclical behaviour of the credit spread with respect to a positive technology shock. It also proposes a scenario in which a credit shock hits the economy. The model is estimated by using the Bayesian procedures. Journal: Int. J. of Monetary Economics and Finance Pages: 567-617 Issue: 6 Volume: 11 Year: 2018 Keywords: interest rate pass-through; credit spread; search and matching; credit market frictions; Bayesian techniques. File-URL: http://www.inderscience.com/link.php?id=97203 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:6:p:567-617 Template-Type: ReDIF-Article 1.0 Author-Name: Shahdad Naghshpour Author-X-Name-First: Shahdad Author-X-Name-Last: Naghshpour Author-Name: Hugh L. Davis III Author-X-Name-First: Hugh L. Davis Author-X-Name-Last: III Title: The impact of commercial banking development on economic growth: a principal component analysis of association between banking industry and economic growth in Eastern Europe Abstract: This paper identifies the relationship between commercial banking development and economic growth in Eastern Europe. The dataset includes 13 countries, 22 variables measuring banking development, and four control variables, from 2002 to 2015. The extensive number of variables reflect different dimensionalities of financial development. To resolve collinearity and to have a succinct model the principal component analysis is utilised. PC regression is used to qualify significant components that are in turn utilised to specify a model. The results of the regression support the role of banking access components in economic growth. This study concludes that there is a significant relationship between commercial banking development and economic growth for Eastern Europe. More specifically, policies that liberalise banking to include more branches and ATMs, thus creating greater access, could spur greater growth in emerging economies like those of Eastern Europe. Journal: Int. J. of Monetary Economics and Finance Pages: 525-542 Issue: 6 Volume: 11 Year: 2018 Keywords: banking; financial development; Eastern Europe; economic growth; principal component. File-URL: http://www.inderscience.com/link.php?id=97204 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:11:y:2018:i:6:p:525-542