Most recent issue published online in the International Journal of Monetary Economics and Finance.
International Journal of Monetary Economics and Finance
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International Journal of Monetary Economics and Finance
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International Journal of Monetary Economics and Finance
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http://www.inderscience.com/browse/index.php?journalID=218&year=2023&vol=16&issue=6
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US treasury market liquidity, monetary surprises, and uncertainty
http://www.inderscience.com/link.php?id=136085
This paper studies the effects of the asset purchase program announcements by the Federal Reserve on the liquidity of the US Treasury market between October 2008 and November 2014. The study period comprises the most important Fed interventions in terms of asset sovereign bond purchases which were carried out in different phases. These programs successfully improved the market conditions namely in the five-day window after the announcement. However, our findings indicate that the liquidity condition dynamics do not seem to matter for monetary anticipation effect. Also, the reaction of the liquidity was found to be more sensitive to negative surprises, particularly when purchase activity leads to more stimulative financial environment expressed in terms of lower long-term yields. The results indicate also that uncertainty surrounding the monetary announcements has non-negligible effects on the impact of monetary surprises on liquidity conditions. In particular, as one would expect, the connection between monetary news and liquidity was mostly disturbed in the presence of higher monetary uncertainty.
US treasury market liquidity, monetary surprises, and uncertainty
Tarek Chebbi; Ahmed Ben Haj Hammouda; Waleed Hmedat
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 427 - 442
This paper studies the effects of the asset purchase program announcements by the Federal Reserve on the liquidity of the US Treasury market between October 2008 and November 2014. The study period comprises the most important Fed interventions in terms of asset sovereign bond purchases which were carried out in different phases. These programs successfully improved the market conditions namely in the five-day window after the announcement. However, our findings indicate that the liquidity condition dynamics do not seem to matter for monetary anticipation effect. Also, the reaction of the liquidity was found to be more sensitive to negative surprises, particularly when purchase activity leads to more stimulative financial environment expressed in terms of lower long-term yields. The results indicate also that uncertainty surrounding the monetary announcements has non-negligible effects on the impact of monetary surprises on liquidity conditions. In particular, as one would expect, the connection between monetary news and liquidity was mostly disturbed in the presence of higher monetary uncertainty.]]>
10.1504/IJMEF.2023.136085
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 427 - 442
Tarek Chebbi
Ahmed Ben Haj Hammouda
Waleed Hmedat
Department of Administrative and Financial Sciences, Oman College of Management and Technology, 320 Barka, Sultanate of Oman ' Institute of Higher Commercial Studies of Sousse, Sousse University, 4054, Sousse, Tunisia ' Department of Economics, College of Business, Yarmouk University, 566, Irbid, Jordan
quantitative easing
liquidity premiums
Federal Reserve
treasury market
monetary surprises
uncertainty
asset purchases
2024-01-16T23:20:50-05:00
Copyright © 2024 Inderscience Enterprises Ltd.
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6
427
442
2024-01-16T23:20:50-05:00
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Forecasting the energy commodities: an evidence of ARIMA and intervention analysis
http://www.inderscience.com/link.php?id=136086
The objective of this study is to forecast energy commodity and check the intervention effect on energy commodity. Crude oil and natural gas are the proxies of energy commodities. We apply autoregressive integrated moving average (ARIMA) to forecast the daily prices and intervention analysis to check the effect of lockdown on these two commodities. An ARIMA (5,0,5) and ARIMA (5,0,4) are suitable models for forecasting the crude oil and natural gas prices. The result reveals that these commodities are forecastable, and investors can generate returns investing in these commodities. In addition, intervention analysis indicates that first lockdown in India has affected crude oil significantly but not the natural gas. This study provides an insight to the investors and policy makers while forecasting the energy commodity.
Forecasting the energy commodities: an evidence of ARIMA and intervention analysis
Miklesh Prasad Yadav; Vandana Sehgal; Deepali Ratra; Abdul Wajid
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 443 - 457
The objective of this study is to forecast energy commodity and check the intervention effect on energy commodity. Crude oil and natural gas are the proxies of energy commodities. We apply autoregressive integrated moving average (ARIMA) to forecast the daily prices and intervention analysis to check the effect of lockdown on these two commodities. An ARIMA (5,0,5) and ARIMA (5,0,4) are suitable models for forecasting the crude oil and natural gas prices. The result reveals that these commodities are forecastable, and investors can generate returns investing in these commodities. In addition, intervention analysis indicates that first lockdown in India has affected crude oil significantly but not the natural gas. This study provides an insight to the investors and policy makers while forecasting the energy commodity.]]>
10.1504/IJMEF.2023.136086
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 443 - 457
Miklesh Prasad Yadav
Vandana Sehgal
Deepali Ratra
Abdul Wajid
Department of Finance, Indian Institute of Foreign Trade, Kakinada, 533001, India ' Department of Management, Jaypee Institute of Information Technology, 201301, India ' JIMS, Rohini, 110085, India ' Galgotias University, 201301, India
energy prices
crude oil
natural gas
ARIMA
autoregressive integrated moving average
intervention effect
COVID-19
2024-01-16T23:20:50-05:00
Copyright © 2024 Inderscience Enterprises Ltd.
16
6
443
457
2024-01-16T23:20:50-05:00
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Factors determining financial inclusion awareness among women
http://www.inderscience.com/link.php?id=136089
This study identified the factors that affect the financial inclusion awareness among women in Haryana and examined the relationship between the identified factors and demographic variables. A sample of 572 respondents has been taken with the help of a self-structured questionnaire from urban and rural areas of Haryana. The reliability and validity have been tested using Cronbach's alpha, convergent, and discriminant validity. The data has been analysed by employing Exploratory Factor Analysis, Confirmatory Factor Analysis, Independent t-test, one-way ANOVA, and Welch test. This study identified five factors (Payment and Enquiry Services, Core Banking Services, Loan and Advances, Insurance Schemes, and Bank Facilitators) of financial inclusion awareness among women. This study found that higher educated urban working young women of nuclear families are relatively more financially aware in comparison to less educated aged housewives of joint families of rural areas.
Factors determining financial inclusion awareness among women
Pooja Muwal; Khujan Singh; Aarti Devi
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 458 - 480
This study identified the factors that affect the financial inclusion awareness among women in Haryana and examined the relationship between the identified factors and demographic variables. A sample of 572 respondents has been taken with the help of a self-structured questionnaire from urban and rural areas of Haryana. The reliability and validity have been tested using Cronbach's alpha, convergent, and discriminant validity. The data has been analysed by employing Exploratory Factor Analysis, Confirmatory Factor Analysis, Independent t-test, one-way ANOVA, and Welch test. This study identified five factors (Payment and Enquiry Services, Core Banking Services, Loan and Advances, Insurance Schemes, and Bank Facilitators) of financial inclusion awareness among women. This study found that higher educated urban working young women of nuclear families are relatively more financially aware in comparison to less educated aged housewives of joint families of rural areas.]]>
10.1504/IJMEF.2023.136089
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 458 - 480
Pooja Muwal
Khujan Singh
Aarti Devi
Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India ' Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India ' Haryana School of Business, Guru Jambheshwar University of Science and Technology, Hisar-125001, Haryana, India
financial inclusion
financial awareness
financial exclusion
payment services
enquiry services
banking services
loan
advances
insurance
bank facilitators
2024-01-16T23:20:50-05:00
Copyright © 2024 Inderscience Enterprises Ltd.
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6
458
480
2024-01-16T23:20:50-05:00
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Bank's loan loss provisioning in large emerging countries: the role of motivation, capital buffer, business cycle and governance
http://www.inderscience.com/link.php?id=136088
We model and empirically estimate the relationship of loan loss provision (LLP) with proxies of motivation, capital buffer, business cycle and country governance. Our dataset comprises of 546 commercial banks from 14 large emerging countries; annual frequency from 2014-2018 (2730 bank year observations). A novel econometric technique: linear dynamic panel data estimator using maximum likelihood and structural equation modelling (DPDML) is employed to cope with various complexity of the empirical model. We find that LLP is mainly consistent with following hypothesis: incurred loss, relaxed regulatory capital and contra cyclicality. The role of country governance is not particularly robust. Our findings provide important implication to policy making: substantial challenge to harmonising the bank LLP practices from current incurred loss to desired forward-looking perspective.
Bank's loan loss provisioning in large emerging countries: the role of motivation, capital buffer, business cycle and governance
Mochammad Doddy Ariefianto; Irwan Trinugroho
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 481 - 504
We model and empirically estimate the relationship of loan loss provision (LLP) with proxies of motivation, capital buffer, business cycle and country governance. Our dataset comprises of 546 commercial banks from 14 large emerging countries; annual frequency from 2014-2018 (2730 bank year observations). A novel econometric technique: linear dynamic panel data estimator using maximum likelihood and structural equation modelling (DPDML) is employed to cope with various complexity of the empirical model. We find that LLP is mainly consistent with following hypothesis: incurred loss, relaxed regulatory capital and contra cyclicality. The role of country governance is not particularly robust. Our findings provide important implication to policy making: substantial challenge to harmonising the bank LLP practices from current incurred loss to desired forward-looking perspective.]]>
10.1504/IJMEF.2023.136088
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 481 - 504
Mochammad Doddy Ariefianto
Irwan Trinugroho
Accounting Department School of Accounting, Bina Nusantara University, Jakarta, 11480, Indonesia ' Faculty of Economics and Business, Universitas Sebelas Maret, Jl. Ir. Sutami 36A, 57126, Surakarta, Indonesia
LLP
loan loss provision
motivation
capital buffer
business cycle
governance
2024-01-16T23:20:50-05:00
Copyright © 2024 Inderscience Enterprises Ltd.
16
6
481
504
2024-01-16T23:20:50-05:00
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Time-varying threshold dynamics of US bond yield spreads and Dow index returns
http://www.inderscience.com/link.php?id=136090
Changes in the slope of the yield curve accompanied by rich instability in the stock market could lead to structural changes. This paper examines threshold relations between yield curve and stock market price movement applying the threshold vector error correction model (TVECM) with two regimes, usual and unusual regimes. We consider weekly spreads between the 10- and 2-year Treasury bonds yield curve (YC) and Dow index price (DJ) transformed by the log function. Besides, we further discuss the possibility of time-varying threshold relations across different subperiods. Our findings show that there is threshold relation from DJ to YC in the usual regime but bidirectional relations in the unusual regime, with stronger relation from DJ to YC. Furthermore, time-varying threshold dynamics of two variables can be detected at different times. Thus, our contribution is that yield curve slope change can drive big moves in stock prices.
Time-varying threshold dynamics of US bond yield spreads and Dow index returns
Nicholas R. Lee; Yih-Bey Lin; Ming-Jun Chen
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 505 - 521
Changes in the slope of the yield curve accompanied by rich instability in the stock market could lead to structural changes. This paper examines threshold relations between yield curve and stock market price movement applying the threshold vector error correction model (TVECM) with two regimes, usual and unusual regimes. We consider weekly spreads between the 10- and 2-year Treasury bonds yield curve (YC) and Dow index price (DJ) transformed by the log function. Besides, we further discuss the possibility of time-varying threshold relations across different subperiods. Our findings show that there is threshold relation from DJ to YC in the usual regime but bidirectional relations in the unusual regime, with stronger relation from DJ to YC. Furthermore, time-varying threshold dynamics of two variables can be detected at different times. Thus, our contribution is that yield curve slope change can drive big moves in stock prices.]]>
10.1504/IJMEF.2023.136090
International Journal of Monetary Economics and Finance, Vol. 16, No. 6 (2023) pp. 505 - 521
Nicholas R. Lee
Yih-Bey Lin
Ming-Jun Chen
Department of Finance, Chaoyang University of Technology, Taichung City, 413310, Taiwan ' Department of Finance, Chaoyang University of Technology, Taichung City, 413310, Taiwan ' Bank clerk of United Amara Bank, Yangon, 11041, Myanmar
yield curve
stock market
threshold relation
time-varying
TVECM
2024-01-16T23:20:50-05:00
Copyright © 2024 Inderscience Enterprises Ltd.
16
6
505
521
2024-01-16T23:20:50-05:00