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Full-Text Articles in International Economics
Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone
Monetary Policy And Systemic Risk-Taking In The Euro Area Banking Sector, Alain Kabundi, Francisco Nadal-De Simone
WCBT Faculty Publications
Available empirical evidence on the significance of the (micro) risk-taking channel of monetary policy is not enough to indicate a threat to financial stability. Evidence of risk-taking with systemic risk implications is necessary. Statistical measures that capture systemic risk in all its forms within a structural factor-augmented vector autoregressive model suggest that conventional and unconventional monetary policies have resulted in systemic risk-taking in the euro area banking sector. Systemic risk has taken the form of an increase in the banking sector’s vulnerability via contagion and interconnectedness. Banks’ balance sheets, however, do not account for the full transmission from (micro) risk …
Do Oil Price Returns Impact Exchange Rates Fluctuations: Evidence From The Top Four Oil Importing Countries In Asia – China, India, Japan And South Korea, Alexander Nti
Doctoral Dissertations (DBA)
Using daily data obtained from Federal Reserve Bank of St. Louis database, we convert oil price and exchange rates to first difference logarithm to examine the link between oil price and exchange rates. We apply Johansen Cointegration models to examine relationship between the series, and our results indicate the variables are not cointegrated. Augmented Dicky Fuller test indicates that the series are nonstationary at level, but stationary at first difference. Impulse response analysis based on unrestricted vector autoregressive (VAR) yields varying results for the relationship between oil price and exchange rates across the currencies of the four countries considered. Thus, …