Macroeconomics Commons^™

An Alternative Class Of Ratio-Regression-Type Estimator Under Two-Phase Sampling Scheme, Muhammad Isah, Zakari Yahaya, Audu Ahmed

CBN Journal of Applied Statistics (JAS)

In this study, a new exponential ratio-regression estimator is developed using an auxiliary variable for estimating the finite population mean under a two-phase sampling system. The Bias and Mean Square Error (MSE) of the proposed estimator are derived and compared with some of the estimators in extant literature. Thus, the conditions under which the proposed estimator is better than some existing estimators are provided. Empirically, using four real datasets and simulation study, the proposed estimator performs better than the classical ratio, classical regression, exponential ratio, and exponential regression cum ratio estimator when compared using the criteria of bias, mean square …

Insurgency, Political Risk, And Foreign Direct Investment Inflows In Nigeria: A Sectorial Analysis, Danjuma Iyaji

CBN Journal of Applied Statistics (JAS)

This study examines, among others, the effect of terrorism, political violence, corruption, and religious tension on FDI inflows to the banking, construction, manufacturing, oil and gas, and telecommunication sectors in Nigeria. Thus, empirical models were estimated using the fully modified ordinary least squares (FMOLS) technique. The study spans from 2008Q1 to 2017Q4. Findings show that terrorism adversely affects FDI inflow to telecommunication sector, while corruption positively impacts on the oil and gas sector. Thus, this study among other things, recommends the intensification of effort in the war against terrorism and strengthening of relevant anti-graft agencies to adequately fight corruption in …

Monetary Policy Transmission And Bank Interest Rates In Nigeria, Eleam Victor E., Ekwom Chinyelu G., Ariolu Chibueze C., Umebali Chukwubuzo J., Balogun Adewale T.

CBN Journal of Applied Statistics (JAS)

The paper examines the adjustment of retail and money market interest rates to changes in discount corridor of the monetary policy in Nigeria. A vector error correction model was adopted for this study, using monthly data from 2007:06 to 2019:12. We further accounted for structural breaks in the dataset to improve its policy reliability. The adjustment parameters were found to be significant but with slow speed of adjustment. This finding provides evidence of the weakness of the discount corridor in monetary policy transmission in Nigeria. Furthermore, the results showed no asymmetric adjustment of retail rates to long run equilibria. Lastly, …

Inflations And Its Uncertainty In Some Ecowas Member States: Transfer Entropy Approach, Otoakhia Eric I.

CBN Journal of Applied Statistics (JAS)

This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer entropy was adopted to quantify the extent of information flow. The result showed information flow exists from inflation to the GARCH measure of IU. On the reverse flow from inflation uncertainty to inflation, there is no information flow except for Burkina Faso and Gambia which have asymmetric bidirectional flow between inflation and IU. Adopting SV measure for IU, there are no support for causality from inflation to …

Relationship Between Real Exchange Rate And Consumption In Nigeria: A Nonlinear Approach, Babangida Jamilu S., Sanusi Aliyu R., Yusuf Isah M.

CBN Journal of Applied Statistics (JAS)

This study analyses the relationship between real exchange rate and domestic consumption in Nigeria using the Smooth Transition Autoregressive (STAR) model from 1981Q1 to 2019Q4. Findings show that domestic consumption determines the regime shift in real exchange rate, suggesting a nonlinear linkage with clearly distinct regimes. The lagged exchange rate is shown to have a significant linear effect on the current exchange rate. On the other hand, current foreign consumption is positive but has no significant impact on the exchange rate in the linear part of the model. In the nonlinear part of the model, evidence of a significant negative …

Oil Price Fluctuations Impact On The Lebanese Economic Well Being, Hanadi Taher

BAU Journal - Health and Wellbeing

This paper investigates the impact of oil price fluctuation on the Lebanese economic well being during the period from 1988 to 2018 using multivariable ordinary least square method with annual time series. taking the Lebanese GDP per capita as proxy for the economic wellbeing as dependent variable and the crud oil average annual prices as proxy for oil price fluctuations with Labor and gross fixed capital formation as two control variables. The test results show a significant and positive impact for the oil price fluctuations on the Lebanese economic well being and the significant results for control variables. In testing …

Lessons Learned: Arthur Murton, Sandra Ward

Journal of Financial Crises

Arthur Murton joined the Federal Deposit Insurance Corp. in 1986 as a financial economist and rose through the ranks to become Director of the Division of Insurance and Research, a post he held from 1995 to 2013 and which he steered through the financial crisis of 2007-09. Murton participated in the important interagency discussions held on Columbus Day weekend in 2008 that led to the establishment of breakthrough programs that proved critical in stabilizing financial markets. This “Lessons Learned” summary is based on an interview with Mr. Murton about his crisis experience.

Lessons Learned: Michael Krimminger, Charles Euchner, Maryann Haggerty

Journal of Financial Crises

Michael Krimminger was Special Advisor for Policy and General Counsel at the Federal Deposit Insurance Corporation during the global financial crisis. In that role, he provided legal and policy advice on the writing and implementation of the Dodd-Frank Act, including its systemically important financial institution provisions, living wills, capital markets and capital, and structured finance requirements. He is now a partner at Cleary Gottlieb Steen & Hamilton LLP. This “Lessons Learned” is based on an interview with Mr. Krimminger.

Lessons Learned: Diane Ellis, Sandra Ward

Journal of Financial Crises

Diane Ellis served as Deputy Director, Insurance and Research, at the Federal Deposit Insurance Corp. during the financial crisis of 2007-09. The FDIC played a critical role in stabilizing financial conditions and establishing confidence in the financial markets by guaranteeing newly issued debt on a temporary basis for banks and thrifts as well as financial holding companies and eligible bank affiliates. The agency also fully guaranteed certain non-interest-bearing transaction deposit accounts. Ellis played an important role in implementing the Temporary Liquidity Guarantee Program that proved so critical in stemming the crisis. This “Lessons Learned” is based on a phone interview …

Comment Letters May Have Helped Shape Federal Reserve’S Municipal Liquidity Facility (Mlf) And Main Street Lending Program (Mslp), Steven Kelly

Journal of Financial Crises

YPFS Archive Notes highlight noteworthy content or additions to the YPFS Resource Library.

In support of the YPFS efforts to archive primary and secondary materials that shed light on financial crises, this YPFS Archive Note highlights the addition of public comment letters solicited by the Federal Reserve to evaluate two of its proposed emergency lending facilities, the Municipal Liquidity Facility (MLF) and the Main Street Lending Program (MSLP) designed to help the US economy endure the financial stresses caused by the coronavirus pandemic. The released correspondence reflects a wide array of congressional and stakeholder concerns. Ultimately, the Fed incorporated …

Hungary: Magyar Reorganizációs És Követeléskezelő Zrt (Mark Zrt.), Mallory Dreyer

Journal of Financial Crises

Hungary saw a surge in commercial real estate (CRE) lending prior to the Global Financial Crisis. By 2014, the banking sector was saddled with a high ratio of nonperforming CRE loans and repossessed property, though Hungarian banks remained solvent with high capital adequacy ratios. The central bank of Hungary, the MNB, announced the creation of an asset management company, Magyar Reorganizációs és Követeléskezelő Zrt. (MARK), to purchase nonperforming CRE assets from Hungarian banks on a voluntary basis, to clear their balance sheets and allow for increased lending. MARK was fully-owned by the MNB, which provided MARK’s share capital and a …

Spain: Sociedad De Gestión De Activos Procedentes De La Reestructuración Bancaria (Sareb), David Tam, Sean Fulmer

Journal of Financial Crises

In the wake of the Global Financial Crisis, the Spanish real estate market struggled to recover, which posed significant issues for savings banks that had an outsized exposure to the real estate sector. The Spanish government created Sociedad de Gestión de Activos procedentes de la Reestructuración Bancaria (SAREB) in 2012 to buy impaired real estate assets from troubled banks and sell them over a 15-year period using funds from an up to €100 billion ($123 billion) loan from the European Financial Stability Facility. Its mandate was “to help clean up the Spanish financial sector and, in particular, the banks that …

Bank Assets Management Company (Bamc), Alexander Nye

Journal of Financial Crises

Slovenia weathered the initial shock of the Global Financial Crisis (GFC) of 2008 well enough to return to growth in 2010. However, non-performing loans continued mounting, banks experienced significant losses, and credit growth turned negative in a credit crunch. Slovenia entered a recession in 2011, experiencing the second largest GDP decline in the euro area. It was not certain whether Slovenia had the fiscal space to resolve these problems without requesting a Troika bailout from the European Commission (EC), European Central Bank (ECB), and International Monetary Fund (IMF). In late 2012 the government tried to prevent such a program by …

United Kingdom Asset Resolution Limited (Ukar), Aidan Lawson

Journal of Financial Crises

As the Global Financial Crisis began to unfold, the United Kingdom (UK) saw two of its largest mortgage lenders in Bradford & Bingley (B&B) and Northern Rock begin to weaken dramatically under the pressure that housing and financial markets were facing. Northern Rock and B&B both faced severe funding problems due to a worsening global credit crunch and both would be nationalized in 2008. Despite this effort, the crisis continued to worsen globally, and the UK government created UK Asset Resolution Limited (UKAR) on October 1, 2010. This organization’s goal was to wind down and maximize the return on the …

Asset Management Corporation Of Nigeria (Amcon): Asset Management, Pascal Ungersboeck, Corey N. Runkel

Journal of Financial Crises

Nigeria experienced the Global Financial Crisis as a dramatic decline in the price of crude oil and a burst stock market bubble. These losses were compounded by a high level of margin lending, resulting in large numbers of nonperforming loans (NPLs) for Nigerian banks. The government established the Asset Management Corporation of Nigeria (AMCON) in July 2010 to purchase NPLs and inject capital in insolvent banks. In three purchases between December 2010 and December 2011, AMCON acquired loans with face value ₦4.02 trillion ($26.8 billion) for ₦1.76 trillion. As a result, NPLs in Nigerian banks fell from a peak of …

National Asset Management Agency (Nama), Alexander Nye

Journal of Financial Crises

After the Irish property boom peaked in 2007, Ireland’s banks faced declining share prices and increasing liquidity pressures. When in the aftermath of the September 2008 collapse of Lehman Brothers, Ireland’s banks lost access to liquidity from abroad, it triggered a banking crisis in the country. In spite of various responses by the Irish government, the financial viability of Ireland’s banks (as well as the government’s fiscal position) continued to deteriorate in early 2009. The Irish government attributed the problem to impaired real estate assets sitting on bank balance sheets, which made it difficult for markets to believe that government’s …

The Thai Asset Management Company (Tamc), Mallory Dreyer

Journal of Financial Crises

The combination of the collapse of a midsize bank due to fraud and the failure to meet projected exports exposed weakness in the Thai economy in 1996. Pressure on the baht grew in 1997, and the Thai government attempted to defend its currency by depleting foreign reserves. Thailand floated the baht in July 1997, which triggered a financial crisis. The government encouraged financial institutions to establish institution-specific asset management companies to address nonperforming loans (NPLs), which peaked in 1999 at 47.7% of total loans. Despite those efforts, NPL levels remained high. In 2001, the government created the Thai Asset Management …

Colombia: Central De Inversiones Sa (Cisa), Lily S. Engbith, Manuel Leon Hoyos

Journal of Financial Crises

Colombia began 1999 amidst a deep recession, caused in part by financial and trade sector liberalization and exacerbated by an unexpectedly sudden appreciation of the peso. Nonperforming loans (NPLs) amounted to more than 14% of total loans, up from 8% in 1998. Colombian authorities thus decided to implement a three-year economic recovery program in late 1999. As part of the government’s strategy, banks slated for recapitalization were compelled to transfer or write off their NPL portfolios to Central de Inversiones SA (CISA), a public special purpose vehicle acquired by the deposit guarantee fund Fogafín in September 2000 for the management …

China: 1999 Asset Management Corporations, Lily S. Engbith

Journal of Financial Crises

Chinese financial authorities began to liberalize their economy in the 1970s, though it would take two more decades to realize a solution to the massive non-performing loan (NPL) problem faced by state-owned commercial banks (SOCBs). In order to remove and dispose of bad assets left over from the policy-lending era of the former command economy, the State Council created four public asset management corporations (AMCs) between April and October of 1999. The AMCs, under the administration of the Ministry of Finance, were responsible for the acquisition, management, and disposal of NPLs from their assigned state-owned commercial bank. In addition to …

Malaysia: Pengurusan Danaharta Nasional Berhad, Mallory Dreyer

Journal of Financial Crises

After the devaluation of the Thai baht in 1997, the Malaysian economy experienced turmoil and a financial crisis. As part of the government’s response to the financial crisis, it established Danaharta, a national asset management company, alongside a recapitalization agency, Danamodal, and a debt restructuring body, the CDRC, to address instability in the financial system. The government established Danaharta with the purpose of removing nonperforming loans from the financial system and maximizing their recovery. The Danaharta Act granted the agency special legal authority to more efficiently resolve NPLs. Danaharta received funding from the government and issued zero-coupon, government guaranteed bonds …

The Resolution And Collection Corporation Of Japan, Mallory Dreyer

Journal of Financial Crises

Though the Japanese real estate and stock market bubble burst in the early 1990s, the ensuing financial crisis in Japan did not reach a systemic level until 1997, when four large financial institutions failed in a single month. Because of their heavy exposure to real estate and equity markets, Japanese banks had a nonperforming loan (NPL) problem, which was prolonged, and private sector estimates of the scale of the NPL problem differed significantly from the official estimates. In response, the Japanese government created multiple asset management companies; the Resolution and Collection Corporation (RCC) was the result of the merger of …

Indonesia: Ibra’S Asset Management Unit/ Asset Management Of Credits, Ariel Smith, Sharon M. Nunn

Journal of Financial Crises

In 1998, Indonesia’s banking sector was undercapitalized, under regulated, and suffering from an excess of nonperforming loans (NPLs). In response, the Indonesian government devised the Indonesian Bank Restructuring Agency (IBRA) and its Asset Management Unit/Asset Management of Credits (AMU/AMC) as part of a three-pronged government emergency plan, along with a blanket guarantee of the debts of all domestic banks and a framework for corporate restructuring. The AMU/AMC acquired and managed nonperforming loans from a variety of Indonesian banks and attempted to dispose of them. The AMU/AMC had acquired nearly IDR 400 trillion (approximately $86 billion) in face value of loans …

Korea Asset Management Corporation (Kamco): Resolution Of Nonperforming Loans In South Korea, Pascal Ungersboeck, Sharon M. Nunn

Journal of Financial Crises

During the 1997 Asian Financial Crisis, international capital outflows created a liquidity crisis for Korean financial institutions that had relied on foreign short-term borrowing. Korean financial institutions also faced high levels of nonperforming loans (NPLs) following years of rapid credit growth. The government mandated that the Korea Asset Management Corporation (KAMCO) purchase NPLs from banks over a five-year period starting in November 1997. By November 2002, the agency had acquired NPLs with a total face value of KRW 110.2 trillion ($88.2 billion) for KRW 39.8 trillion. Using innovative asset resolution methods, KAMCO was able to recover at a profit a …

Jamaica Financial Sector Adjustment Company (Finsac)—Loan Recovery And Asset Disposal Units, Corey N. Runkel

Journal of Financial Crises

In the late 1980s and early 1990s, the Jamaican financial sector’s share of GDP more than doubled following an aggressive market liberalization undertaken without corresponding increases in regulation or supervision. When one of the largest financial-industrial conglomerates failed in 1995, the government created an asset management company with special powers to resolve the institution. In 1997, after another significant failure, the government established the Financial Sector Adjustment Company (FINSAC). FINSAC carried a broader mandate to both recapitalize and restructure troubled financial institutions and to take over and manage their nonperforming assets (NPAs). The organization possessed no special powers to compel …

Kyrgyz Republic’S Debt Resolution Agency, Debra, Sharon M. Nunn

Journal of Financial Crises

In the mid-1990s, the largest state-owned banks in the Kyrgyz Republic faced insolvency and a concomitant large stock of nonperforming loans, a problem stemming from the former Soviet Union’s policy of directed credit to loss-making institutions. The government established DEBRA, a debt resolution agency and asset management company. DEBRA could liquidate or restructure a bank and take on its assets in the process, or just take on a bank’s nonperforming assets. DEBRA received the assets in exchange for government securities. Staff attempted to resolve the debt by collection, restructuring, writing off, or liquidating the assets. Officials initially established DEBRA with …

Mongolian Asset Recovery Agency, Sean Fulmer

Journal of Financial Crises

Mongolia’s transition away from the monobank system in the 1990s did not occur smoothly, with inherited, non-performing loans from the monobank period causing significant instability and insolvency in the banking sector. These inherited portfolios, in conjunction with risky lending by the newly formed banking sector, led to the insolvency of People’s Bank (also known as Ardyn Bank), and Insurance Bank, which together held approximately 35% of total assets in the banking system. From 1996 to 1997, the Mongolian government, with the technical and financial support of the World Bank and the Asian Development Bank, formed the Mongolian Asset Recovery Agency …

Mexico: Fobaproa Capitalization And Loan Purchase Of Bank Portfolio Program (Clpp), Manuel León Hoyos, Alexander Nye

Journal of Financial Crises

In December 1994, Mexico entered a financial crisis after a year of political turmoil, assassinations of high-level politicians, and a substantial depreciation of the peso. In 1995, following the economic contraction, the recently privatized banking sector experienced difficulties in meeting regulatory minimum capital requirements. The Mexican government received a $52 billion international financial package and enacted multiple programs to support the banking system. In the spring of 1995, through the Bank Fund for Savings Protection (FOBAPROA), the Capitalization and Loan Purchase of Bank Portfolio Program (CLPP) was introduced to provide new, permanent capital to Mexican banks. For banks that were …

Kazakhstan’S Rehabilitation Bank, Sharon M. Nunn

Journal of Financial Crises

After the dissolution of the Soviet Union in 1991, Kazakhstan officials made market-oriented stabilization reforms to its previously Soviet-planned economy, including removing most price constraints, privatizing various state-owned enterprises (SOEs), and taking steps to prevent the collapse of its banking system. As part of its efforts, Kazakhstan created the Rehabilitation Bank (RB) in 1995 to absorb the large number of non-performing assets from state-owned banks while also assuming a corresponding amount of the institutions’ liabilities, essentially “shrinking their portfolios” (Implementation Completion Report 1998). The RB, established with a four-year mandate, either liquidated the debtors or required the firms to restructure. …

Finland: Arsenal, Kaleb B. Nygaard

Journal of Financial Crises

Following a large-scale deregulation of the financial sector during the 1980s and the subsequent massive credit expansion, a banking crisis in Finland caused a sharp contraction in the economy in the early 1990s. One of the key policy responses to the crisis was the creation of an asset management company called Arsenal in 1992. The original purpose of Arsenal was to absorb, manage, and liquidate the bad assets of the Savings Bank of Finland (an entity created by the government-forced merger of 41 of the country’s 81 savings banks). During the following years, Arsenal expanded to become a group of …

Swedish Amcs: Securum And Retriva, Mallory Dreyer

Journal of Financial Crises

With the liberalization of the Swedish banking system in the 1980s, there was a rapid credit expansion, and real estate prices soared. When the Swedish economy began to weaken, real estate prices began to decline, and finance companies faced difficulties. Swedish banks were not insulated from financial pressures, and Nordbanken, a majority state-owned bank, declared large credit losses in 1990. The Swedish government’s response was initially ad hoc and targeted to specific banks, but in 1992, the government announced an open-ended guarantee of all bank liabilities. The crisis response also included a bank restructuring program and the establishment of targeted …