Finance Commons^™

Determinants Of Net Interest Margin For Banks Operating In Pales-Tine, Islam Abdeljawad, Ajyad Bahlaq

An-Najah University Journal for Research - B (Humanities)

The goal of this research is to identify the factors that influence the net interest margin (NIM) for Palestinian conventional banks. Palestine is a unique country with poor governance, political uncertainty, and regulatory insufficiency, adding higher information asymmetry to the decision-making process. The sample is comprised of unbalanced panel data from 15 commercial banks for the period 2011–2020. The research used a pooled OLS, a fixed-effect model, a random effect model, a robust pooled OLS, a difference GMM, and a system GMM estimators. Evidence collected supports that net interest margin is positively influenced by risk aversion, operating costs, and loan-to-deposit, …

Two Essays On Credit Risk Correlation, Theophilus Teye Osah

Theses and Dissertations

This dissertation comprises two essays on credit risk correlation. In the first essay, we provide robust empirical evidence that lenders charge higher loan spreads to borrowers with higher credit risk correlation. This effect is concentrated in investment grade firms, driven by tightening lending conditions, and more pronounced for firms with higher rollover risk. Furthermore, banks whose borrowers have higher average credit risk correlation, have greater default risk themselves. In the second paper, we find that a trading strategy that buys high- and sells low-credit risk correlation stocks generates significant risk-adjusted expected return of about 121 bps per annum. Cross-sectional regressions …

The Effect Of Covid-19 Uncertainty On Corporate Default Risk: International Evidence, Md Ismail Haidar, Md Showaib Rahman Sarker, André Varella Mollick

Economics and Finance Faculty Publications and Presentations

This paper investigates the effect of COVID-19 uncertainty on corporate default risk using an international sample of firms from 71 countries. We document that corporate default risk increases with higher COVID-19 uncertainty, even after controlling for a wide range of firmlevel and country-level characteristics. The effect is weaker for firms in highly religious adherence countries, stronger for firms in developed countries, and for firms geographically closer to China and Italy. Further, the effect is weaker for highly innovative firms and less financially constrained firms. Our findings are robust to propensity score matching and entropy balancing methods to address selection bias, …

Technological Innovation And Development In China’S Banking Industry: Problems And Countermeasures, Chuhan Zhang, Jichang Dong, Zhi Dong, Xiuting Li

Bulletin of Chinese Academy of Sciences (Chinese Version)

With the deep integration of science and technology into industrial transformation, the technological innovation in China’s banking industry has reached a new level with growing capacity for innovation, relying on the “dual-wheel” innovation-driven development of business and technology. However, there are still problems and challenges for the technological innovation and development in China’s banking industry, such as concerns about the safety of key information infrastructure and high dependence on foreign sources for core technology. It is urgent to build a relatively complete, self-reliant, stable, and secure banking technology system. This study reviews the development process and main achievements of technological …

Regresi Ambang Untuk Mendalami Pengaruh Nonlinier Kekuatan Pasar Terhadap Pinjaman Bank Di Asean-5, Mahjus Ekananda

Jurnal Ekonomi dan Pembangunan Indonesia

Credit distribution has developed rapidly in the ASEAN region and it is largely dominated by the banking sector compared to other financial institutions. This study explores the effects of various changes to the GDP growth regime, firm size, and monetary policy. The objects of this research are commercial banks in ASEAN-5 from year 2010 to 2019. This study utilises the threshold regression method and a single proxy to measure market power. Results of this study found that monetary policy and market forces affect productive credit. Changes in impact that occur are mostly due to different behavior between banks in response …

Monetary Policy And Stagflation: A Trade-Off Between Price Stability And Economic Growth?, Leef H. Dierks

Journal of New Finance

Several euro area economies are likely to experience a stagflation in 2023. This situation is characterized by a combination of economic stagnation, i.e., GDP growth falling below its potential growth rate, and a pronounced increase in inflation as was last observed during the 1970s’ oil crisis. A stagflation presents the European Central Bank with a dilemma. Should it further tighten its monetary policy in an attempt to align euro area inflation (expectations) with its target of two per cent p.a. in the medium term? Or should the ECB re-adopt a more accommodative stance so as to stimulate economic growth in …

Study On The Effectiveness Of Environmental Regulations And Its Spatial Spillover In China’S High-Quality Human Habitat Cities, Chuansheng Wu, Weixuan Fan, Lingling Qi, Levent Kutlu

Economics and Finance Faculty Publications and Presentations

High-quality human habitat cities in developing countries are facing new urban environmental problems as a result of the significant resource footprints of wealthy urban populations in the process of rapid urbanization. These areas are desperate for solutions to the coexistence of old and new pollutants, as well as inorganic and organic compounds. The authors of this study propose a comprehensive framework and methods for evaluating the effectiveness of environmental regulation in high-quality human habitat cities for a state-of-the-art path of improving environmental governance and optimizing environmental policies in these regions. This paper aims to analyze the effectiveness of environmental regulation …

Reflections On Inflation: How Bad Has It Been?, Jesus Felipe

Angelo King Institute for Economic and Business Studies (AKI)

THE increase in prices that countries have experienced since March 2022 has brought old fears about the deleterious impact of inflation. It is true that prices increased after the Russian invasion of Ukraine and this affected a series of commodities that are imported. Yet, it is important to understand how much prices have increased, the nature of inflation we have experienced, and the reaction of central banks.

Seeking Better Sharpe Ratio Via Bayesian Optimization, Peng Liu

Research Collection Lee Kong Chian School Of Business

Developing an excellent quantitative trading strategy to obtain a high Sharpe ratio requires optimizing several parameters at the same time. Example parameters include the window length of a moving average sequence, the choice of trading instruments, and the thresholds used to generate trading signals. Simultaneously optimizing all these parameters to seek a high Sharpe ratio is a daunting and time-consuming task, partly because of the unknown mechanism determining the Sharpe ratio. This article proposes using Bayesian optimization to systematically search for the optimal parameter configuration that leads to a high Sharpe ratio. The author shows that the proposed intelligent search …

Could Information About Honey Fraud Increase Consumers’ Valuation Of Domestic Honey In The Face Of Rising Honey Imports In The U.S. And Eu?, Christopher Gustafson, Antoine Champetier

Yeutter Institute International Trade Policy Review

The consumption of honey, which has been sought out by humans for use as food and medicine for thousands of years, has been increasing in recent decades with rising incomes and attention paid to food choices and health. In two decades, honey consumption in the U.S. has risen from 1.2 pound per capita per year to 1.9 in 2021. In the European Union, per capita consumption rose from 1.5 to 2.1 pounds per capita over the same period. While this might appear to be a boon for U.S. and EU beekeepers, honey is a heavily traded product, and imports from …

The Effect Of Trading Volume On Stock Price, Jackson Dino

Gettysburg College Headquarters

Knowledge of the relationship between trading volume and trading equities enhances investors and public policy maker’s knowledge of market structure. In this paper, we examine the effects of trading volume on stock prices using a panel of stock prices from the S&P 500 Index. We develop an ordinary least squares regression model, implementing control variables, fixed effects and an instrumental variable to minimize statistical bias. We find evidence that an increase of trading volume by its mean is associated with a $2.42 increase in average stock price. We also find stronger evidence that an increase of trading volume by its …

Can Sanctions End Wars?, E. Wesley F. Peterson

Yeutter Institute International Trade Policy Review

Russia’s invasion of Ukraine has led to extensive economic, financial, trade, and other types of sanctions directed at individual Russians and the Russian economy. Most European and North American countries as well as Australia, New Zealand, Japan, and Korea have enacted sanctions and many of them are also supporting Ukraine with military and economic assistance. Many other countries including China, India, and Brazil do not support the sanctions although 141 countries belonging to the United Nations (out of a total membership of 193) voted to condemn the war. Although the use of economic sanctions to influence the behavior of foreign …

Economic Impacts Of Investment Facilitation, Edward J. Balistreri, Zoryana Olekseyuk

Yeutter Institute International Trade Policy Review

After the successful adoption of the Trade Facilitation Agreement (TFA) in 2014, investment facilitation is gaining importance as the next policy priority for a plurilateral agreement under the World Trade Organization (WTO). In fact, more than 110 WTO Members aim to conclude the negotiations on the Investment Facilitation for Development (IFD) Agreement by mid-2023 after only three years of formal negotiations. Investment facilitation refers to actions taken by governments designed to attract foreign investment and maximize the effectiveness and efficiency of its administration through all stages of the investment cycle. The IFD agreement focuses on allowing investment to flow efficiently …

The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending …

Supermajority Politics: Equilibrium Range, Policy Diversity, Utilitarian Welfare, And Political Compromise, Aseem Mahajan, Roland Pongou, Jean-Baptiste Tondji

Economics and Finance Faculty Publications and Presentations

Highlights

• We study static and dynamic supermajoritarian economies with totally ordered policy spaces.

• We count equilibria in the core and the largest consistent set under single-peaked preferences.

• We assess the depth of policy diversity across similar supermajoritarian political economies.

• We analyze how supermajority rules affect utilitarian welfare and political compromise.

• We find that majority rule maximizes both utilitarian welfare and political compromise under uncertainty.

Abstract

The standard Bowen model of political competition with single-peaked preferences (Bowen, 1943) predicts party convergence to the median voter’s ideal policy, with the number of equilibrium policies not exceeding two. This result assumes majority rule …

An Empirical Evaluation Of Neural Process Meta-Learners For Financial Forecasting, Kevin G. Patel

Master's Theses

Challenges of financial forecasting, such as a dearth of independent samples and non- stationary underlying process, limit the relevance of conventional machine learning towards financial forecasting. Meta-learning approaches alleviate some of these is- sues by allowing the model to generalize across unrelated or loosely related tasks with few observations per task. The neural process family achieves this by con- ditioning forecasts based on a supplied context set at test time. Despite promise, meta-learning approaches remain underutilized in finance. To our knowledge, ours is the first application of neural processes to realized volatility (RV) forecasting and financial forecasting in general.

We …

Annual Growth Of 6.5-8% Until 2028: How?, Jesus Felipe

Angelo King Institute for Economic and Business Studies (AKI)

THE KEY outcomes of President Bongbong Marcos’ Philippine Development Plan 2023–2028—to increase income per capita, reduce poverty, and create employment—rest on a necessary condition: to attain a 6.5-8% annual growth rate through 2023 to 2028. If achieved, the Philippines would resemble its East Asian neighbors, which attained similarly high growth rates decades ago. This is much needed given the still low wages and per capita income of the country. Yet, this “target” poses several questions.

Sociodemographic Effects On Financial Inclusion: Implications From Online Transaction In Developing-8 Countries, Dyah Titis Kusuma Wardani, Navi'ah Khusniati, Susilo Nur Aji Cokro Darsono

Economics and Finance in Indonesia

The world has reached the industry 4.0, where technological developments have been widely applied to electronic payment, with no exception on Muslim countries. This study aims to investigate association between sociodemographic and financial inclusion in country D-8 in the probability of using online financial transactions. Using The Global Findex 2017 from D-8 Organization for Economic Cooperation included in OIC countries and the logistic regression, this study explores the effect of sociodemographic namely gender, education, income status and working status on online financial transactions users. Using control variables such as Gross Domestic Product (GDP), Inflation and Exchange reta, results show that, …

Essays On Tax Impacts On Corporate Finance, Corporate Governance And Regional Disparity, Mei Li

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that cover topics on tax impacts on corporate finance, regional disparity and corporate governance.

Chapter 1 - How Do Net Operating Loss Carryforwards Affect Tax Impact on Corporate Capital Structure? This paper examines the impact of net operating loss (NOL) carryforwards on the tax implications of corporate capital structure. Leveraging the Tax Cuts and Jobs Act of 2017 (TCJA), the largest tax reform in four decades, this paper investigates the effect of NOL carryforwards on firms' sensitivity to tax reforms. As NOL carryforwards have become increasingly significant since 2000, but not widely researched due …

Disagreement In Market Index Options, Guilherme Salome, George Tauchen, Jia Li

Research Collection School Of Economics

We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among investors is captured by the volume–volatility elasticity. For options, there are two natural variables related to disagreement: moneyness and tenor, which we relate to disagreement about the distribution of the market index at different quantiles and times. The estimated volume–volatility elasticity equals unity for options near the money and close to expiration, which is consistent with the …