Template-Type: ReDIF-Article 1.0 Author-Name: Van Dan Dang Author-X-Name-First: Van Dan Author-X-Name-Last: Dang Title: Cyclicality of bank liquidity in Vietnam Abstract: The study sheds new light on the link between the economic cycle fluctuation and the financial market by empirically investigating the cyclical patterns of bank liquidity. To draw a comprehensive picture, we conduct our analysis based on multiple different liquidity dimensions of the current liquidity position commonly used in traditional research streams, the long-term liquidity inspired by Basel III guidelines, and the conceptual and quantitative definition to measure liquidity creation of banks. Using a dynamic panel of commercial banks from 2007 to 2019 in Vietnam, we find that long-term bank liquidity and liquidity creation are countercyclical, while the current liquidity position is procyclical. The findings support the thesis that banks take less liquidity risk during economic upturns but tend to be less risk-averse during economic downturns. The estimation results are robust across alternative versions of the generalised method of moments and bank liquidity measures. Journal: Int. J. of Monetary Economics and Finance Pages: 138-153 Issue: 2 Volume: 15 Year: 2022 Keywords: Basel III liquidity rule; cyclicality; liquidity creation; liquidity position; Vietnam. File-URL: http://www.inderscience.com/link.php?id=124957 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:138-153 Template-Type: ReDIF-Article 1.0 Author-Name: Ijaz Ur Rehman Author-X-Name-First: Ijaz Ur Author-X-Name-Last: Rehman Title: Payout policy, investment efficiency, and corporate performance in the Asia Pacific: does boardroom diversity matter? Abstract: This study empirically examines the impact of board gender diversity on corporate performance, payout policy, and investment efficiency using a sample of 1021 firms listed in Asia Pacific markets for 2006-2016. Using fixed effect regression models, the results suggest that having a woman director on the corporate board enhances the investment efficiency and increases the propensity of dividend payout of the firms as compared to companies that do not have a women director. Nevertheless, the presence of a women director has an impact on weakening corporate performance. The results are robust across alternative measures of gender diversity. The study concludes that the presence of a woman director in the boardroom grants company a competitive edge over its competitors. Journal: Int. J. of Monetary Economics and Finance Pages: 95-117 Issue: 2 Volume: 15 Year: 2022 Keywords: gender diversity; firm performance; dividend payout; investment efficiency; agency theory. File-URL: http://www.inderscience.com/link.php?id=124958 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:95-117 Template-Type: ReDIF-Article 1.0 Author-Name: Kerry Liu Author-X-Name-First: Kerry Author-X-Name-Last: Liu Title: The Chinese banking sector's structured deposits: growth, role in interest rate pass-through, and implications Abstract: The Chinese banking sector's structured deposits have experienced rapid growth recently, especially after 2017. As a result of this, the Chinese regulatory authorities began to strengthen regulation in October 2019. Based on monthly datasets between January 2016 and April 2020 and a robust least squared model, this study finds that the growth of structured deposits is significantly associated with the growth of the real economy and the expansionary monetary policy. Based on a series of tests using quarterly panel data, yearly panel data, and quarterly time series data, this study finds that structured deposits play a significant positive role in interest rate pass-through from policy rates to the lending rates of commercial banks. This study also discusses the implications of structured deposits and the recent regulations for the Chinese banking sector. This study is the first of its kind in the academic literature and makes original and significant contributions to academia and policy-makers. Journal: Int. J. of Monetary Economics and Finance Pages: 154-172 Issue: 2 Volume: 15 Year: 2022 Keywords: structured deposit; industrial value-added; reserve requirement ratio; interest rate pass-through; interest rate liberalisation. File-URL: http://www.inderscience.com/link.php?id=124959 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:154-172 Template-Type: ReDIF-Article 1.0 Author-Name: Narinder Pal Singh Author-X-Name-First: Narinder Pal Author-X-Name-Last: Singh Author-Name: Suzan Dsouza Author-X-Name-First: Suzan Author-X-Name-Last: Dsouza Title: Investigating contagion effect of the recent Turkey currency crisis Abstract: This study empirically analyses the contagion effect of Turkey Lira crisis 2018 on the currencies of selected Asian (Indonesia, Malaysia, South Korea and India) and other six countries (Chile, Argentina, Mexico, Brazil, Russia and South Africa) using correlation and volatility analysis. The results of correlation analysis show that Turkey's lira bears a positive correlation with all the other select currencies in all the three periods; the whole period, the pre-crisis period and the post-crisis period. Almost all the correlation coefficients are significant at 1% or 5% level of significance across the crisis and have increased after the recent turkey lira crisis. From the results of volatility spillover analysis using exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, we infer that the Turkey currency crisis has affected the volatility of currencies of India, Brazil, Argentina % South Africa, and the effect being the least on the Indian rupee volatility while the maximum impact on the South African rand volatility. Journal: Int. J. of Monetary Economics and Finance Pages: 118-137 Issue: 2 Volume: 15 Year: 2022 Keywords: contagion; Turkey crisis; currency; correlation; volatility. File-URL: http://www.inderscience.com/link.php?id=124960 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:118-137 Template-Type: ReDIF-Article 1.0 Author-Name: Jagjeevan Kanoujiya Author-X-Name-First: Jagjeevan Author-X-Name-Last: Kanoujiya Author-Name: Shailesh Rastogi Author-X-Name-First: Shailesh Author-X-Name-Last: Rastogi Title: Impact of market competitiveness and risk management of NPAs of Indian banks on its efficiency Abstract: The efficient banking system of a country is an important factor of its economic growth. Hence, many banking sector reforms have been undertaken in India to improve market power and efficiency of the Indian banks. This study aims and contributes to the banking literature by providing insight about the impact of market competitiveness and risk management on technical efficiency (TE) using the sample of 34 banks in India over the period 2016-2019. The static and dynamic models of panel data have been performed for regression analysis. Competitiveness and TE are assessed by Lerner's index and Data Envelope Analysis (DEA), respectively. The risk management of non-performing assets (NPAs) is taken as provision coverage ratio (pcr). The findings of the study suggest that market competitiveness and risk management of NPA do not affect efficiency of Indian banks. This paper exerts the important policy implications through empirical investigation in the study. Journal: Int. J. of Monetary Economics and Finance Pages: 173-193 Issue: 2 Volume: 15 Year: 2022 Keywords: efficiency; Lerner's index; competition; banks; DEA; data envelope analysis. File-URL: http://www.inderscience.com/link.php?id=124962 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:2:p:173-193 Template-Type: ReDIF-Article 1.0 Author-Name: Fauziah Aida Fitri Author-X-Name-First: Fauziah Aida Author-X-Name-Last: Fitri Author-Name: Muhammad Syukur Author-X-Name-First: Muhammad Author-X-Name-Last: Syukur Author-Name: M. Shabri Abd. Majid Author-X-Name-First: M. Shabri Abd. Author-X-Name-Last: Majid Author-Name: Intan Farhana Author-X-Name-First: Intan Author-X-Name-Last: Farhana Author-Name: Fakhri Hatta Author-X-Name-First: Fakhri Author-X-Name-Last: Hatta Title: Do intellectual capital and financing matter for the profitability of the Islamic banking industry in Indonesia? Abstract: In Indonesia, the Islamic banking industry has been experiencing growth since its establishment in 1992. Although its profitability has declined slightly due to Covid-19, Islamic banks have recorded higher profitability than the average banking industry nationwide. Motivated to identify the factors that determine the banking profitability, this research empirically tests the contribution of intellectual capital (measured by VAIC<SUP align="right"><SMALL>TM</SMALL></SUP>), banks' liquidity (financing-to-deposit ratio), and financing ineffectiveness (non-performing financing or NPF) to the profitability (return on assets or ROA) of Islamic banks in Indonesia. We gathered data from the published financial information comprising a total of 130 observation years. The result shows that intellectual capital, banks' liquidity, and financing ineffectiveness impacted the profitability of Islamic banks in Indonesia. The findings of this study provide policy implications for Indonesia's Islamic banks to apply prudential banking principles in their financing activities. Journal: Int. J. of Monetary Economics and Finance Pages: 293-308 Issue: 3 Volume: 15 Year: 2022 Keywords: financing; liquidity; Indonesia; intellectual capital; Islamic banks; profitability. File-URL: http://www.inderscience.com/link.php?id=126888 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:293-308 Template-Type: ReDIF-Article 1.0 Author-Name: Khansa Fairuz Author-X-Name-First: Khansa Author-X-Name-Last: Fairuz Author-Name: Adam Adhe Nugraha Author-X-Name-First: Adam Adhe Author-X-Name-Last: Nugraha Author-Name: Farhan Medio Yudantyo Author-X-Name-First: Farhan Medio Author-X-Name-Last: Yudantyo Author-Name: Novat Pugo Sambodo Author-X-Name-First: Novat Pugo Author-X-Name-Last: Sambodo Author-Name: Evi Aninatin Ni'matul Choiriyah Author-X-Name-First: Evi Aninatin Ni'matul Author-X-Name-Last: Choiriyah Author-Name: Umminita Wahyu Pertiwi Author-X-Name-First: Umminita Wahyu Author-X-Name-Last: Pertiwi Author-Name: Riswanti Budi Sekaringsih Author-X-Name-First: Riswanti Budi Author-X-Name-Last: Sekaringsih Title: Do mosques use Islamic bank services? Evidence from Indonesia Abstract: Previous research has proven that the use of formal financial services can support the performance of mosque financial management. Nevertheless, there is no study explaining the factors that influence Islamic financial inclusion in Indonesian mosques to date. Using data from The Indonesian Mosque Survey 2020, this study examined the determinants of mosques bank account ownership in Indonesian mosques. Our research revealed that only a few mosques have adapted financial services. We then investigated what factors influenced Islamic bank account ownership in Indonesian mosques by using ordinary least square (OLS) and probit methods. We found that the married and higher educated mosque leaders positively correlated to Islamic bank account ownership. At the mosque level, the mosques were located in Java and owned a general planning document, a large amount of donation, large building size and high number of congregants had a higher probability of having an Islamic bank account. Journal: Int. J. of Monetary Economics and Finance Pages: 232-252 Issue: 3 Volume: 15 Year: 2022 Keywords: bank account; Indonesia; Islamic banking; mosque; leader; OLS; ordinary least square; probit. File-URL: http://www.inderscience.com/link.php?id=126892 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:232-252 Template-Type: ReDIF-Article 1.0 Author-Name: Fakhrana Nadhilah Author-X-Name-First: Fakhrana Author-X-Name-Last: Nadhilah Author-Name: Oktofa Yudha Sudrajad Author-X-Name-First: Oktofa Yudha Author-X-Name-Last: Sudrajad Title: Do business models in Islamic bank matters? The effect of business models on bank performance and stability Abstract: This paper examines the effect of business models in Islamic banking on bank performance and stability. We use a method to cluster dynamically, namely longitudinal k-means, to identify the business model of Islamic banks from a sample of 31 Islamic banks in Indonesia from 2010Q1 to 2019Q3. We use return on asset (ROA) and return on equity (ROE) to measure bank performance and z-index and loss provisions to measure bank stability. Our findings show that profit-sharing banks and margin banks have the potential to increase ROA and tend to be more stable. Meanwhile, customer banks are better able to maintain ROE but less stable. We also confirm the literature that fee-based products increase a bank's profitability while funding mudharabah products decreases a bank's performance and stability. Journal: Int. J. of Monetary Economics and Finance Pages: 253-272 Issue: 3 Volume: 15 Year: 2022 Keywords: Islamic banking; business model; dynamic clustering; bank performance; bank stability. File-URL: http://www.inderscience.com/link.php?id=126901 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:253-272 Template-Type: ReDIF-Article 1.0 Author-Name: Syed Faisal Hasan Bukhari Author-X-Name-First: Syed Faisal Hasan Author-X-Name-Last: Bukhari Author-Name: Habib Ahmad Author-X-Name-First: Habib Author-X-Name-Last: Ahmad Author-Name: Hasan Hanif Author-X-Name-First: Hasan Author-X-Name-Last: Hanif Author-Name: Syed Farhan Shah Author-X-Name-First: Syed Farhan Author-X-Name-Last: Shah Title: Volatility contagion (spillover) between Chinese and Pakistani stock markets during COVID-19: pre and post analysis of trade-level data Abstract: This research study examines volatility contagion (spillover) before and during the COVID period from the Chinese stock market (Shanghai stock market) to the Pakistani stock market (Karachi stock market). We used aggregate market datasets and various industry datasets (11 industries according to GICS classification), employed the EGARCH model to investigate the volatility spillover. Our results indicate that volatility demonstrates different characteristics in aggregate data samples as compared to industrial data samples. Moreover, this study finds return spillover and volatility spillover in both datasets (aggregate and industries). This study suggests that stakeholders should analyse both datasets (aggregate and industry) before taking investment decisions. Journal: Int. J. of Monetary Economics and Finance Pages: 309-330 Issue: 4 Volume: 15 Year: 2022 Keywords: volatility spillover; COVID-19; pandemic; contagious; portfolio diversification; financial crisis; interdependence. File-URL: http://www.inderscience.com/link.php?id=127157 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:4:p:309-330 Template-Type: ReDIF-Article 1.0 Author-Name: Hasan Mukhibad Author-X-Name-First: Hasan Author-X-Name-Last: Mukhibad Author-Name: Doddy Setiawan Author-X-Name-First: Doddy Author-X-Name-Last: Setiawan Author-Name: Rahmawati Author-X-Name-First: Author-X-Name-Last: Rahmawati Author-Name: Mahameru Rosy Rochmatullah Author-X-Name-First: Mahameru Rosy Author-X-Name-Last: Rochmatullah Author-Name: Warsina Author-X-Name-First: Author-X-Name-Last: Warsina Title: Sharia supervisory board, maqasid syariah, and accounting-based performance: evidence from Indonesia Abstract: Maqasid syariah is essential to evaluate the achievement of the Sharia implementation objectives. This research provides evidence of the influence of the maqasid syariah index and Sharia Supervisory Board (SSB) attributes on accounting performance. Data were obtained from the Indonesian Islamic banks and analysed using the panel data regression method. We find that the accounting-based performance was not affected by any of the SSB attributes. Maqasid syariah index was proven to have a positive and significant influence on Accounting-Based Performance. From the three indicators that we used in measuring the maqasid syariah, justice indicators had a significant positive influence on accounting-based performance. These results provided evidence that the high fulfilment of maqasid syariah through fair policies will improve bank accounting-based performance. Journal: Int. J. of Monetary Economics and Finance Pages: 213-231 Issue: 3 Volume: 15 Year: 2022 Keywords: maqashid shariah index; tenure; meeting frequency; attendance; corporate governance; sharia supervisory board; accounting-based performance. File-URL: http://www.inderscience.com/link.php?id=126902 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:213-231 Template-Type: ReDIF-Article 1.0 Author-Name: Buu Kiem Dang Author-X-Name-First: Buu Kiem Author-X-Name-Last: Dang Author-Name: Anh Dang Bao Phan Author-X-Name-First: Anh Dang Bao Author-X-Name-Last: Phan Title: The impact of economic freedom on the risk-taking behaviours of Vietnamese commercial banks Abstract: This paper investigates the impact of economic freedom and its sub-components on bank risk-taking behaviour in the context of Vietnam. We utilise the generalised method of moments (GMM) for a sample of 22 commercial banks during the period from 2006 to 2020. The economic freedom indicator is collected from the annual publication of The Heritage Foundation. The results reveal that economic freedom will increase bank stability, which is also enhanced by monetary freedom, financial freedom, and investment freedom. Nevertheless, the higher the business freedom index is, the more probable the bank can face risks. High economic growth and low inflationary control also improve bank stability. Besides, some internal banking factors, such as size, diversification, and operating expense control, also affect the risk-taking behaviour of Vietnamese banks. The result underpins the precise policies of the Vietnamese government in promoting global economic and financial integration along with boosting the efficiency in management and scrutiny of state-owned institutions. Journal: Int. J. of Monetary Economics and Finance Pages: 353-373 Issue: 4 Volume: 15 Year: 2022 Keywords: bank risks; business freedom; economic freedom; financial freedom; monetary freedom. File-URL: http://www.inderscience.com/link.php?id=127158 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:4:p:353-373 Template-Type: ReDIF-Article 1.0 Author-Name: Eko Fajar Cahyono Author-X-Name-First: Eko Fajar Author-X-Name-Last: Cahyono Author-Name: Lina Nugraha Rani Author-X-Name-First: Lina Nugraha Author-X-Name-Last: Rani Author-Name: M. Fariz Fadillah Mardianto Author-X-Name-First: M. Fariz Fadillah Author-X-Name-Last: Mardianto Title: The determinants of deposits in Islamic and conventional banks: an Indonesian study Abstract: Deposits are an important source of liquidity for banking operations and become the determinant of a country's savings. Our paper tries to examine the effect of interest rates on the total deposits of Indonesian Conventional and Islamic banks. Using Indonesian banking data sources from January 2018 to January 2020 and generalised method of moments (GMM) regression models, our empirical result shows that interest rates significantly positively affect conventional bank deposits. When the Central bank raises interest rates, commercial banks will increase lending rates and pay higher interest rates to depositors. In addition, the Islamic Banking Rate of Return also has a significant positive effect on deposits. Therefore, the higher interest rates lead to the higher bank's overall average deposits. Journal: Int. J. of Monetary Economics and Finance Pages: 273-292 Issue: 3 Volume: 15 Year: 2022 Keywords: deposit; conventional bank; Islamic bank; IPI; Industrial Production Index; inflation; interest rate; rate of return; financial empowerment. File-URL: http://www.inderscience.com/link.php?id=126903 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:273-292 Template-Type: ReDIF-Article 1.0 Author-Name: Nurmadi Harsa Sumarta Author-X-Name-First: Nurmadi Harsa Author-X-Name-Last: Sumarta Author-Name: Muhammad Agung Prabowo Author-X-Name-First: Muhammad Agung Author-X-Name-Last: Prabowo Author-Name: Nugroho Saputro Author-X-Name-First: Nugroho Author-X-Name-Last: Saputro Title: Digital banking service in Indonesia: Does it really matter for bank performance? Evidence from Indonesian commercial banks Abstract: This paper aims to empirically investigate whether providing digital banking facilities to customers impacts bank performance. Our study analyses secondary data from 91 commercial banks in Indonesia in 2017-2018 with a total of 182 observations using multiple regression analysis. We find that all commercial banks in Indonesia have engaged themselves in digital banking in 2017-2018, although smaller banks still have limited features. Further, our empirical evidence demonstrates that digital banking positively affects bank performance. Providing more digital banking facilities results in better financial performance, specifically in efficiency and profitability. Our study suggests that commercial banks in Indonesia engage more in digital banking service at least by providing high-quality digital services that suit the needs of the bank's customers. Finally, considering the rapid development of digital financial services, we also suggest the Indonesia Financial Service Authority continuously conduct proper supervision to ensure the security of digital banking service in Indonesia. Journal: Int. J. of Monetary Economics and Finance Pages: 374-385 Issue: 4 Volume: 15 Year: 2022 Keywords: digital banking; commercial banks; bank performance; efficiency; profitability. File-URL: http://www.inderscience.com/link.php?id=127159 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:4:p:374-385 Template-Type: ReDIF-Article 1.0 Author-Name: Ayu Dwi Utami Author-X-Name-First: Ayu Dwi Author-X-Name-Last: Utami Author-Name: Tastaftiyan Risfandy Author-X-Name-First: Tastaftiyan Author-X-Name-Last: Risfandy Author-Name: Rolina Rahardjoputri Author-X-Name-First: Rolina Author-X-Name-Last: Rahardjoputri Title: Islamic banks' merger: the case of Bank Syariah Indonesia Abstract: This paper provides a case study of the Bank Syariah Indonesia (BSI) that has been formally created on the 1st of February 2021 through mergers of three State-owned Islamic banks in Indonesia. This paper is a descriptive case study focusing on why the merger was initiated, what happens to the Indonesian Islamic banking industry after mergers, and its implication on market competition and stock prices. We use data of total assets of 34 Islamic banks in Indonesia and the weekly stock price of 4 listed Islamic banks for 18 months. By computing concentration ratio and Herfindahl index, we find that the Indonesian Islamic banking market competition decreases substantially after the merger. We also find that although the merger of BSI previously brings a positive reaction in the stock markets, the stock price of BSI consistently decreased after mergers. Journal: Int. J. of Monetary Economics and Finance Pages: 201-212 Issue: 3 Volume: 15 Year: 2022 Keywords: mergers; BSI; Bank Syariah Indonesia; competition; stock price; IDX; Indonesia stock exchange; Indonesia. File-URL: http://www.inderscience.com/link.php?id=126904 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:3:p:201-212 Template-Type: ReDIF-Article 1.0 Author-Name: Eko Suprayitno Author-X-Name-First: Eko Author-X-Name-Last: Suprayitno Author-Name: Silvia Vara Dhita Author-X-Name-First: Silvia Vara Author-X-Name-Last: Dhita Title: Islamic banking deposits in Indonesia: Do spatial effects matter? Abstract: This study aims to analyse the spatial effect on Islamic banking deposits and identify the factors that influence Islamic banking deposits in a province in Indonesia as an archipelagic country. This study used a Spatial Autoregressive Model (SAR Moran's I), a Spatial Error Model (SEM), and the Local Indicator of Spatial Association (LISA). The result of the Moran's I model showed a strong spatial influence on Islamic bank deposits. Jakarta and West Java Provinces enjoy high Islamic bank deposits. However, Banten Province enjoys only low Islamic bank deposits despite being surrounded by high-value neighbouring provinces. The Lagrange Multiplier (SAR) test results on the factors that affect the geographic spatial concentration of the deposit distribution patterns are at the level of GRDP, offices, and total assets. Meanwhile, the LISA test shows how the value of deposits in a province affects a particular province. Journal: Int. J. of Monetary Economics and Finance Pages: 386-405 Issue: 4 Volume: 15 Year: 2022 Keywords: spatial effect; spatial analysis; Islamic bank; Islamic bank deposits. File-URL: http://www.inderscience.com/link.php?id=127160 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:4:p:386-405 Template-Type: ReDIF-Article 1.0 Author-Name: Ezekiel Olamide Abanikanda Author-X-Name-First: Ezekiel Olamide Author-X-Name-Last: Abanikanda Title: Measuring the impact of exchange rate volatility on the depth and efficiency of the financial sector: evidence from Nigeria Abstract: This study examines the effect of exchange rate volatility on the depth and efficiency of Nigeria's financial sector over the period of 1986-2018 via the autoregressive distributed lag cointegration technique. The study employs four models that consist of financial institution and financial market indicators of depth and efficiency. The results from the study show that exchange rate volatility exerts a negative effect on financial institutions' depth and efficiency in both the short run and long run. The findings also show that exchange rate volatility wields a negative effect on financial market depth in the short run, albeit with no long run effect, whereas exchange rate volatility has an adverse effect on financial market efficiency in both the short run and long run. The paper recommends that the Central Bank of Nigeria should put in place adequate measures to keep the exchange rate stable in order to broaden the depth and efficiency of the financial sector. Journal: Int. J. of Monetary Economics and Finance Pages: 331-352 Issue: 4 Volume: 15 Year: 2022 Keywords: exchange rate volatility; financial sector; financial sector depth; financial sector efficiency; Nigeria. File-URL: http://www.inderscience.com/link.php?id=127161 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:4:p:331-352 Template-Type: ReDIF-Article 1.0 Author-Name: Alberto Gallegos-David Author-X-Name-First: Alberto Author-X-Name-Last: Gallegos-David Author-Name: Arturo Lorenzo-Valdes Author-X-Name-First: Arturo Author-X-Name-Last: Lorenzo-Valdes Author-Name: Bárbara Trejo-Becerril Author-X-Name-First: Bárbara Author-X-Name-Last: Trejo-Becerril Title: Empirical evidence of the monetary approach to the exchange rate determinants under a fully flexible regime: the case of Mexico Abstract: The purpose of this paper is to examine the empirical evidence on the evolution of the nominal peso-dollar exchange rate based on the monetary approach under a fully flexible exchange rate regime. We use a standardised framework where the uncovered interest rate (UIP) and the purchase power parities (PPP), flexible prices, and a typical demand for real money balances determine prices in the long run. Once we identify that time series of the nominal exchange rate and the fundamental macroeconomic variables are non-stationary, we estimate a vector error-correction model (VECM) and, for comparative purposes, an ARIMA-EGARCH model and an ARIMA-EGARCH model with monetary approach. Models' assessment based on the post estimation results shows that the model with the lowest HRMSE for all the steps-ahead forecast is the ARIMA-EGARCH model followed by the VECM model. Likewise, the lowest HMAE for the first three-steps ahead forecast is the VECM model, followed by the ARIMA-EGARCH model. Journal: Int. J. of Monetary Economics and Finance Pages: 35-57 Issue: 1 Volume: 15 Year: 2022 Keywords: monetary approach; purchasing power parity; cointegration; conditional variance; volatility. File-URL: http://www.inderscience.com/link.php?id=121560 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:35-57 Template-Type: ReDIF-Article 1.0 Author-Name: Woraphon Wattanatorn Author-X-Name-First: Woraphon Author-X-Name-Last: Wattanatorn Author-Name: Chaiyuth Padungsaksawasdi Author-X-Name-First: Chaiyuth Author-X-Name-Last: Padungsaksawasdi Title: Stock price crash risk: the role of systematic skewness Abstract: This study aims to explore an important determinant of stock price crash risk in an emerging market, Thailand. Our results support an important role of systematic skewness on stock price crash risk over the period of 2000 to 2019. Coskewness is negatively associated to stock price crash risk. The findings are robust when including effects of stock liquidity, earnings management, and opaque financial report. Endogeneity is addressed by performing the two-stage least squares methodology. Journal: Int. J. of Monetary Economics and Finance Pages: 78-93 Issue: 1 Volume: 15 Year: 2022 Keywords: stock price crash risk; coskewness; emerging market; systematic skewness; crash risk; negative skewness; tail risk. File-URL: http://www.inderscience.com/link.php?id=121561 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:78-93 Template-Type: ReDIF-Article 1.0 Author-Name: Misheck Mutize Author-X-Name-First: Misheck Author-X-Name-Last: Mutize Title: A trend analysis of Eurobond yields in Africa Abstract: This study applies econometric forecasting methods to estimate the trend of Eurobond yields in eight African countries over the period from January 2010 to May 2020. Results of the analyses show that the majority of countries' bond yields are forecasted to be on an upward trend. This implies that if African countries do not act to address the rising interest burden, they are at risk of falling into debt trap. This study thus recommends that countries should design their own yield curves and be more determinant in the amount of interest they should pay on Eurobond bonds. In addition, they should leverage on the high demand of African Eurobonds to bargain for competitive yields, improve the integrity and transparency in managing Eurobond proceeds to establish lines of accountability. Journal: Int. J. of Monetary Economics and Finance Pages: 19-34 Issue: 1 Volume: 15 Year: 2022 Keywords: Eurobonds; yields; Africa; debt trap; yield curve; leverage; forecasting. File-URL: http://www.inderscience.com/link.php?id=121564 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:19-34 Template-Type: ReDIF-Article 1.0 Author-Name: Abhijit Chakraborty Author-X-Name-First: Abhijit Author-X-Name-Last: Chakraborty Author-Name: Ashim Kumar Das Author-X-Name-First: Ashim Kumar Author-X-Name-Last: Das Title: Do macro-economic factors drive life insurance growth? An empirical analysis Abstract: The Indian Economy is fast coping up with the global competition and making its mark in the world economy. In the past two decades, the Insurance Industry in India has registered its growth in terms of escalating penetration and density, but the growth is not at par its true potential. This calls for a need to elevate the visibility of the insurance sector and to identify the factors that influence its growth. This study is an attempt to identify the macro-economic factors that influence the Life Insurance sector in India. A time series analysis involving data for 39 years was considered using empirical methods including Engle-Granger co-integration, ordinary least square, and granger causality. The results indicated that FDI, inflation, interest rate and broad money (M2) plays a significant role in the growth of Life Insurance industry in India and, inflation and interest rate has causal relation with life insurance sector. Journal: Int. J. of Monetary Economics and Finance Pages: 1-18 Issue: 1 Volume: 15 Year: 2022 Keywords: life insurance; India; ordinary least square; co-integration; causality; macro-economic factors. File-URL: http://www.inderscience.com/link.php?id=121565 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:1-18 Template-Type: ReDIF-Article 1.0 Author-Name: Van Dan Dang Author-X-Name-First: Van Dan Author-X-Name-Last: Dang Title: The bank liquidity creation channel of monetary policy transmission in a multiple-instrument environment Abstract: The study investigates the impact of monetary policy on bank liquidity creation, a much broader concept than bank lending. Using the annual financial data of Vietnamese commercial banks from 2008 to 2018, we show that an expansionary (contractionary) monetary policy tends to increase (decrease) bank liquidity creation. Our further analysis through monetary policy indicators ranging from lending rates to primary policy instruments, including policy rates and open market operations, provides strong evidence favouring the bank liquidity creation channel. Slightly differently, we do not have much confidence in the case of the foreign exchange reserves. Besides, we also confirm the existence of the bank lending channel, which differs from the bank liquidity creation channel in terms of the magnitude of transmission, from the perspective of a multiple monetary-policy-instrument environment. Journal: Int. J. of Monetary Economics and Finance Pages: 58-77 Issue: 1 Volume: 15 Year: 2022 Keywords: bank lending channel; emerging market; liquidity creation; monetary policy; interest rates; money injection. File-URL: http://www.inderscience.com/link.php?id=121566 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:58-77