Forthcoming articles


International Journal of Monetary Economics and Finance


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International Journal of Monetary Economics and Finance (31 papers in press)


Regular Issues


  • The Effect of Greenhouse Gas Emissions on Financial Performance of Listed Manufacturing Firms in Indonesia
    by Andewi Rokhmawati, Milind Sathye 

  • Sovereign Credit Default Swap and Bond markets   Order a copy of this article
    by Ioannis Tampakoudis 
    Abstract: This study investigates the sovereign credit market dynamics of the heavily indebted southern European countries, considering the dynamic relationship between 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.
    Keywords: credit risk; CDS; sovereign bonds; debt crisis; cointegration; price discovery.

  • Sovereign Credit Default Swap and Bond markets
    by Ioannis Tampakoudis 
    Abstract: This study investigates the sovereign credit market dynamics of the heavily indebted southern European countries, considering the dynamic relationship between 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.
    Keywords: credit risk; CDS; sovereign bonds; debt crisis; cointegration; price discovery.

    by Rindu Rika Gamayuni  
    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 organization 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 organization culture have significant influence to the effectiveness of internal audit function, but management support does not.
    Keywords: internal auditor competence; objectivity; management support; organization culture; internal audit function effectivity.
    DOI: 10.1504/IJMEF.2018.10006601
  • Econometric Analysis of Real Exchange Rate Shocks and Real Growth of the Tourism Sector in South Africa   Order a copy of this article
    by Paul-Francois Muzindutsi 
    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 in South Africa, where the depreciation of the local currency is associated with an increase in the real tourism revenue. Short-run results revealed that real tourism revenue is affected by short-run fluctuations in the real exchange rate; while Granger-causality test showed that the real exchange rate Granger-causes real tourism revenue. 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.
    Keywords: Cointegration; Real exchange rate; Tourism income; South Africa; VAR model.
    DOI: 10.1504/IJMEF.2018.10006616
  • Re-examine Performance of Foreign Banks in Indonesia   Order a copy of this article
    by Irwan Trinugroho 
    Abstract: We re-examine the performance of multiple definitions of foreign banks in Indonesia over the period of September 2005
    Keywords: Foreign ownership; joint venture; acquired banks; bank performance; multiple identifications; Indonesia.
    DOI: 10.1504/IJMEF.2018.10006617
  • Regional Banks and Market Power: Evidence from Indonesia   Order a copy of this article
    by Irwan Trinugroho 
    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.
    Keywords: Regional banks; market power; Indonesia; institutional development; socio-economic development.
    DOI: 10.1504/IJMEF.2018.10006618
  • A hybrid Phillips curve and consumer confidence: the case of Brazil   Order a copy of this article
    by Thiago Henrique Carneiro Rios Lopes 
    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.
    Keywords: Phillips curve; inflation; unemployment; consumer confidence.
    DOI: 10.1504/IJMEF.2018.10006619
  • Financial development and the lending channel of monetary policy transmission: evidence from Thailand   Order a copy of this article
    by Attasuda Lerskullawat 
    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.
    Keywords: monetary policy; bank lending channel; financial market development; Thailand.
    DOI: 10.1504/IJMEF.2018.10006620
  • The Impact of Financial and Trade Integration on Business Cycles in Emerging Markets   Order a copy of this article
    by Lathaporn Ratanavararak 
    Abstract: This article investigates the combined effect of financial and trade integration on macroeconomic volatility and business cycle synchronisation 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 financial and trade integration 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 financial integration under low trade. The findings suggest that trade could help mitigate the negative effect of financial integration on consumption smoothing, and financial integration could help lower output fluctuation and dependence on foreign economies, while trade increases them.
    Keywords: financial integration; trade integration; business cycles; emerging market economies; macroeconomic volatility; business cycle synchronisation; financial access.
    DOI: 10.1504/IJMEF.2018.10006621
  • Creating Economic Value Through Multi-Stakeholder Partnership (Case Study on the Black Soybean Farmers Development Program of Unilever Indonesia)   Order a copy of this article
    by Kartika D.S. Susilowati 
    Abstract: This study examines the black soybean farmers development program created by Unilever Indonesia. This programs was developed in collaboration with several stakeholders made up of scientists/ university staff, NGOs, financial institution, farmers, wives of farmers and cooperative. The program basically aims to set up local black soybean production centers to assure a continuous supply of the main ingredients of Bango soy sauce, a flagship product of Unilever Indonesia with a quantity, quality and price in accordance to the company
    Keywords: partnership; multi-stakeholder; black soybean program; Unilever Indonesia.
    DOI: 10.1504/IJMEF.2018.10006622
  • Asset Allocation Strategy to Create Superior Portfolio from Equity Mutual Funds   Order a copy of this article
    by Sylviana Maya Damayanti 
    Abstract: There are many factors that cause an investor
    Keywords: Asset Allocation; Portfolio; Equity Mutual Fund.
    DOI: 10.1504/IJMEF.2018.10006623
    by Normala Zulkifli 
    Abstract: This study examines the determinants of an individual worker
    Keywords: pay determination; manufacturing sector; Malaysian economy; quantile regression analysis.
    DOI: 10.1504/IJMEF.2018.10006624
  • Analysis of Transformational Leadership Effect towards Organizational Citizenship Behavior Mediated by Organizational Commitment in The Heritage Hotel   Order a copy of this article
    by Misbahuddin Azzuhri 
    Abstract: Many organizations 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 analyze transformational leadership influence on OCB and organizational 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 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 organizational commitment, where organizational commitment does not much affect OCB. Evidently, organizational commitment does not mediate the effect of transformational leadership on OCB.
    Keywords: transformational leadership; organizational commitment; OCB; heritage hotel.
    DOI: 10.1504/IJMEF.2018.10006625
  • Does market capitalization matters? Tests of weak-form efficient market hypothesis for Thai stock market   Order a copy of this article
    by Karoon Suksonghong 
    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 test 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 capitalization are categorized 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-capitalization index provides some evidences against a weak-form efficiency.
    Keywords: Market efficiency; Random walk; Multiple variance ratio test; Market capitalization; Stock Exchange of Thailand.
    DOI: 10.1504/IJMEF.2018.10006626
  • The Impact of Board Ethnic Diversity on Firm Performance: Evidence from Public Listed Firms in Malaysia   Order a copy of this article
    by Shu Fen Chuah 
    Abstract: This paper examines the impact of board ethnic diversity on firm performance 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
    Keywords: board ethnic diversity; firm performance; board independence; board meeting attendance; Herfindahl Index.
    DOI: 10.1504/IJMEF.2018.10006627
  • Generic Drug in Indonesia: Why Physicians and Pharmacists Matters   Order a copy of this article
    by Amelia Amelia 
    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 percent, 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 research 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 has the biggest effect on the purchase intention of generic drugs, and that experience has a significant effect as moderating variable.
    Keywords: generic drugs; physician information; pharmacist information; experience; Indonesia.
    DOI: 10.1504/IJMEF.2018.10006628
  • Unconventional monetary policy expansion: the economic impact through a dynamic CGE model   Order a copy of this article
    by Claudio Socci 
    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 model calibrated on the financial Social Accounting Matrix for Italian economy.
    Keywords: Monetary policy; dynamic CGE model; real GDP; Social Accounting Matrix; Italy.
    DOI: 10.1504/IJMEF.2018.10006629
    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 organization
    Keywords: Keywords: regional company; environmental; strategic challenge.
    DOI: 10.1504/IJMEF.2018.10006630
  • Capital Structure Active Adjustment of Indonesian State Owned Enterprises (SOEs)   Order a copy of this article
    by Subiakto Soekarno 
    Abstract: Indonesia
    Keywords: capital structure; dynamic capital structure; state owned enterprises; active adjustment; partial adjustment.
    DOI: 10.1504/IJMEF.2018.10006631
    by Dumrongdej Pramitithanakan 
    Abstract: This study aimed to investigate users
    Keywords: usersÂ’ behavior; attitudes towards new technology; characteristics of innovation; rice direct-seeding device.
    DOI: 10.1504/IJMEF.2018.10006632
  • Systemically Important Financial Institutions (SIFI) in Indonesian Banking System   Order a copy of this article
    by Zaafri Ananto Husodo 
    Abstract: We study the Indonesian Banking System, as one of the emerging economy 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 Too 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% (eighty percent) of total risk of the banking system. Moreover, the concentration increased as the financial turmoil waived the whole banking system in September 2008. As robustness test, this research use various weighting scheme using total assets, total equities, and total loans as weights of the firm. The result show relatively consistent SIFI cluster compared to market capitalisation weight.
    Keywords: Systemic Risk; Systemically Important Banks; Component Expected Shortfall; Indonesian Banking industry; Emerging Market Systemic Risk.

  • Central Bank Communication and Transparency: The ECB and the European Parliament   Order a copy of this article
    by Ansgar Belke 
    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.
    Keywords: central bank communication; European Central Bank; forward guidance; monetary dialogue; transparency.
    DOI: 10.1504/IJMEF.2018.10007539
  • Conventional and Unconventional Balance Sheet Practices and Their   Order a copy of this article
    by Gabor David Kiss 
    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 utilizes 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.
    Keywords: central bank balance sheet; monetary expansion; extreme currency fluctuation.
    DOI: 10.1504/IJMEF.2018.10007541
  • Culture and Corruption in Bank Lending Revisited   Order a copy of this article
    by Siwapong Dheera-aumpon 
    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, however, were collected between 1999 and 2000. This paper uses cultural data from the GLOBE project which are constructed from survey data collected in 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 significant effect on corruption in bank lending.
    Keywords: bank lending; corruption; culture; collectivism.
    DOI: 10.1504/IJMEF.2018.10007542
  • Unconventional monetary policies and the credit market   Order a copy of this article
    by Jose Olmo 
    Abstract: We propose a theoretical model based on the bank lending channel to assess the ability of lending facilities and swap programmes to a
    Keywords: Bank profi?t maximization; credit interest rate; optimal credit supply; unconventional monetary policy.
    DOI: 10.1504/IJMEF.2018.10008378
    by Eleni Dalla 
    Abstract: Following the industrial organization 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.
    Keywords: Cournot game; Stackelberg game; investment cycle; second order accelerator; monetary policy.
    DOI: 10.1504/IJMEF.2018.10009142
  • SVAR Description of ECB Monetary Policy Effects via Banking Sector in Individual EA Countries   Order a copy of this article
    by Maria Siranova, Jana Kotlebova 
    Abstract: This paper constructs SVAR model for individual EA member states that is able to capture effects of ECB
    Keywords: quantitative easing; monetary transmission mechanism; banking sector; SVAR.
    DOI: 10.1504/IJMEF.2018.10007540

Special Issue on: 15th International Conference on Finance and Banking Financial and Banking Sector in Central and Eastern Europe after a Quarter-Century of Transition

  • Effect of Macroeconomic Determinants on Non-performing Loans in Central and Eastern European Countries   Order a copy of this article
    by Irena Szarowska 
    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 countries in the period 19992015. 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 the strongest with a time lag one year.
    Keywords: non-performing loans; economic growth; unemployment; inflation; NEER; lending interest rate; macro-financial linkage; CEE countries; crisis.
    DOI: 10.1504/IJMEF.2018.10008415
  • Interest Rate Development as an Indicator of Credit Market Integration   Order a copy of this article
    by Jan Cernohorsky 
    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 published by the International Monetary Fund. These rates are basic interest rates in each economy which are set by central banks. 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. The selected indicators are used as a standard tool for evaluating credit market integration. We judged their relationships using the mathematical-statistical method of single-factor analysis of variance. 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.
    Keywords: credit markets; integration; lending interest rate; deposit interest rate.
    DOI: 10.1504/IJMEF.2018.10008416
  • The Evaluation of Banking Stability in the European Union countries   Order a copy of this article
    by Kristina Kocisova 
    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 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 years was positively affected mainly by the development of the capital adequacy.
    Keywords: Financial soundness indicators; Banking Stability Index; EU countries.
    DOI: 10.1504/IJMEF.2018.10008417