Pub Date : 2015-01-01DOI: 10.1016/J.INTFIN.2014.11.011
R. Jammazi, Amine Lahiani, D. K. Nguyen
{"title":"A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices","authors":"R. Jammazi, Amine Lahiani, D. K. Nguyen","doi":"10.1016/J.INTFIN.2014.11.011","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.11.011","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"29 1","pages":"173-187"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87357504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-01DOI: 10.1016/J.INTFIN.2014.03.009
J. Fenech, Y. Yap, S. Shafik
{"title":"Can the Chinese banking system continue to grow without sacrificing loan quality","authors":"J. Fenech, Y. Yap, S. Shafik","doi":"10.1016/J.INTFIN.2014.03.009","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.03.009","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"70 1","pages":"315-330"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84017612","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-01DOI: 10.1016/J.INTFIN.2014.04.006
Akhtaruzzaman, Abul Shamsuddin, S. Easton
{"title":"Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms","authors":"Akhtaruzzaman, Abul Shamsuddin, S. Easton","doi":"10.1016/J.INTFIN.2014.04.006","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.04.006","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"25 1","pages":"378-396"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87835933","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines how banks respond to the monetary policy of the European Central Bank (ECB) according to their characteristics and, in particular, to their market power, using banking micro-data from Eurozone countries over the period from 1999 to 2011. Our results suggest that banks with market power, which is proxied by the Lerner index, have a credit supply that is less sensitive to monetary policy shock. The market structures (aggregated measures) in which the banks operate have a similar effect. Therefore, increased competition enhances the effectiveness of monetary policy transmission through the bank lending channel. We find also that over the period from 2008 to 2011, this channel has been strengthened, nevertheless the negative effect of market power on monetary effectiveness has remained.
{"title":"Competition and the bank lending channel in Eurozone","authors":"Aurélien Leroy","doi":"10.2139/SSRN.2341669","DOIUrl":"https://doi.org/10.2139/SSRN.2341669","url":null,"abstract":"This paper examines how banks respond to the monetary policy of the European Central Bank (ECB) according to their characteristics and, in particular, to their market power, using banking micro-data from Eurozone countries over the period from 1999 to 2011. Our results suggest that banks with market power, which is proxied by the Lerner index, have a credit supply that is less sensitive to monetary policy shock. The market structures (aggregated measures) in which the banks operate have a similar effect. Therefore, increased competition enhances the effectiveness of monetary policy transmission through the bank lending channel. We find also that over the period from 2008 to 2011, this channel has been strengthened, nevertheless the negative effect of market power on monetary effectiveness has remained.","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"48 1","pages":"296-314"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84867344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-01DOI: 10.1016/J.INTFIN.2014.05.002
{"title":"Does central bank transparency affect stock market volatility","authors":"","doi":"10.1016/J.INTFIN.2014.05.002","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.05.002","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"24 1","pages":"362-377"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74664909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-01DOI: 10.1016/J.INTFIN.2014.04.007
A. Valadkhani
{"title":"Analysing interest rate mark-ups in the Australian mortgage market","authors":"A. Valadkhani","doi":"10.1016/J.INTFIN.2014.04.007","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.04.007","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"122 1","pages":"343-361"},"PeriodicalIF":0.0,"publicationDate":"2014-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79465567","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-05-01DOI: 10.1016/J.INTFIN.2014.01.006
G. Sermpinis, C. Stasinakis, C. Dunis
{"title":"Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects","authors":"G. Sermpinis, C. Stasinakis, C. Dunis","doi":"10.1016/J.INTFIN.2014.01.006","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.01.006","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"142 1","pages":"21-54"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88971754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-05-01DOI: 10.1016/J.INTFIN.2014.05.001
Jairaj Gupta, N. Wilson, A. Gregoriou, J. Healy
{"title":"The effect of internationalisation on modelling credit risk for SMEs: Evidence from UK market","authors":"Jairaj Gupta, N. Wilson, A. Gregoriou, J. Healy","doi":"10.1016/J.INTFIN.2014.05.001","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.05.001","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"1 1","pages":"397-413"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85007301","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-05-01DOI: 10.1016/J.INTFIN.2014.01.004
Kevin Campbell, Isaac T. Tabner
{"title":"Bonding and the agency risk premium: An analysis of migrations between the AIM and the Official List of the London Stock Exchange","authors":"Kevin Campbell, Isaac T. Tabner","doi":"10.1016/J.INTFIN.2014.01.004","DOIUrl":"https://doi.org/10.1016/J.INTFIN.2014.01.004","url":null,"abstract":"","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"1 1","pages":"1-20"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88151274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study applies the asymmetric dynamic conditional correlation (A-DCC) model and employs copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis. The Greek debt crisis occurred after the subprime mortgage crisis. Up to that point, the Greek stock market followed the larger stock markets, and Greek government debt should not have influenced other European markets. However, Greece is a member of the monetary union, and it is necessary to examine whether there exists a contagion effect on the other European Union (EU) member states. The findings support the existence of a contagion effect during crash periods but not during the Greek debt crisis.
{"title":"How Can a Small Country Affect the European Economy? The Greek Contagion Phenomenon","authors":"Aristeidis Samitas, Ioannis Tsakalos","doi":"10.2139/SSRN.2160775","DOIUrl":"https://doi.org/10.2139/SSRN.2160775","url":null,"abstract":"This study applies the asymmetric dynamic conditional correlation (A-DCC) model and employs copula functions to investigate the correlation dynamics among the Greek and European markets during the recent debt crisis. The Greek debt crisis occurred after the subprime mortgage crisis. Up to that point, the Greek stock market followed the larger stock markets, and Greek government debt should not have influenced other European markets. However, Greece is a member of the monetary union, and it is necessary to examine whether there exists a contagion effect on the other European Union (EU) member states. The findings support the existence of a contagion effect during crash periods but not during the Greek debt crisis.","PeriodicalId":16244,"journal":{"name":"Journal of International Financial Markets, Institutions and Money","volume":"64 1","pages":"18-32"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73207148","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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