Political risk is one factor that influences tourism performance as a tourist is more sensitive to the hosting country’s political environment. In addition, to the effect of country risk on the tourism industry, the global economy has recently experienced severe shocks due to high inflation rates, political risk, and currency volatility. This paper aims to investigate the implications of political risk, inflation, and exchange rate volatilities on tourism revenue in South Africa. A sample of 144 monthly data was used to assess both long-run and short-run relationships amongst the study variables using the ARDL cointegration and error correction model approaches to achieve the study objective. Results indicated that political risk, inflation rate, and exchange rate volatility influence long-term revenue changes in the tourism industry. In contrast, real effective exchange rates and inflation significantly impact total revenue in the tourism sector. The findings also indicated that political risk has no short-term effect on tourism revenue. Based on these findings, the study recommends that the country's political stability increase, increasing the number of tourist arrivals and resulting in growing revenue for the tourism industry in S.A. Additionally, the South African reserve bank should revise its exchange-rate pegging, monetary targeting, and inflation targeting to reduce the effects of inflation on tourism revenue.
{"title":"The Implication of Political Risk and Specific Macroeconomic Variables on Total Revenue in Tourism Industry","authors":"T. Habanabakize, Lerato Mothibi","doi":"10.32479/ijefi.16014","DOIUrl":"https://doi.org/10.32479/ijefi.16014","url":null,"abstract":"Political risk is one factor that influences tourism performance as a tourist is more sensitive to the hosting country’s political environment. In addition, to the effect of country risk on the tourism industry, the global economy has recently experienced severe shocks due to high inflation rates, political risk, and currency volatility. This paper aims to investigate the implications of political risk, inflation, and exchange rate volatilities on tourism revenue in South Africa. A sample of 144 monthly data was used to assess both long-run and short-run relationships amongst the study variables using the ARDL cointegration and error correction model approaches to achieve the study objective. Results indicated that political risk, inflation rate, and exchange rate volatility influence long-term revenue changes in the tourism industry. In contrast, real effective exchange rates and inflation significantly impact total revenue in the tourism sector. The findings also indicated that political risk has no short-term effect on tourism revenue. Based on these findings, the study recommends that the country's political stability increase, increasing the number of tourist arrivals and resulting in growing revenue for the tourism industry in S.A. Additionally, the South African reserve bank should revise its exchange-rate pegging, monetary targeting, and inflation targeting to reduce the effects of inflation on tourism revenue.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140980032","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}
Selamet Herman Cipto, Endri Endri, Yono Haryono, Dhanang Hartanto
The COVID-19 pandemic has paralyzed the economy, affected human health, and claimed human lives in the world. This deadly virus is rapidly affecting every aspect of life in all countries. Almost every area of life, from economics to politics, society to culture, has been affected by the COVID-19 pandemic; of course, this impact cannot be separated from the Sharia stocks sub-sector in Indonesia. This study aims to analyze and test the effects of COVID-19 on the response of Islamic stocks. Moreover, to see the difference between the Jakarta Islamic Index (JII) sharia stocks and the Composite Stock Price Index (IHSG) in observations before COVID-19 and after COVID-19. This event study research aims to see the differences between the Jakarta Islamic Index (JII) sharia stocks and the Jakarta Composite Index (IHSG) in observations before COVID-19 and observations after COVID-19. The data used in this study is secondary data already available and obtained from the Indonesia Stock Exchange (IDX). The results of this study show a significant influence on stock prices before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There is no significant effect on stock returns before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There is no significant effect on abnormal returns before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There was a significant influence on stock trading volume before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII).
{"title":"Islamic Stock Indices and COVID-19: Evidence from Indonesia","authors":"Selamet Herman Cipto, Endri Endri, Yono Haryono, Dhanang Hartanto","doi":"10.32479/ijefi.15942","DOIUrl":"https://doi.org/10.32479/ijefi.15942","url":null,"abstract":"The COVID-19 pandemic has paralyzed the economy, affected human health, and claimed human lives in the world. This deadly virus is rapidly affecting every aspect of life in all countries. Almost every area of life, from economics to politics, society to culture, has been affected by the COVID-19 pandemic; of course, this impact cannot be separated from the Sharia stocks sub-sector in Indonesia. This study aims to analyze and test the effects of COVID-19 on the response of Islamic stocks. Moreover, to see the difference between the Jakarta Islamic Index (JII) sharia stocks and the Composite Stock Price Index (IHSG) in observations before COVID-19 and after COVID-19. This event study research aims to see the differences between the Jakarta Islamic Index (JII) sharia stocks and the Jakarta Composite Index (IHSG) in observations before COVID-19 and observations after COVID-19. The data used in this study is secondary data already available and obtained from the Indonesia Stock Exchange (IDX). The results of this study show a significant influence on stock prices before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There is no significant effect on stock returns before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There is no significant effect on abnormal returns before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII). There was a significant influence on stock trading volume before and after the announcement of COVID-19 in Indonesia on the Jakarta Islamic Index (JII).","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140979782","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}
Ahmad M Lootah, Hussein A. Hassan Al Tamimi, Panagiotis D. Zervopoulos
A number of review studies have been conducted to provide valuable insights into the M&A decision-making process in the banking sector and factors that could have a positive and effective impact on it. This study systematically reviews and analyses the decision-making process for M&A and its related factors in 15 interviews with experts related to 10 M&A transaction in UAE banking sector from 2005 to 2021. The main findings contain that the most frequent factors affecting M&A decision-making are Regulation, Globalization, Technology and Economics. In addition, most of the M&A decision-making relevance is also affected by the internal factors of Synergy, Agency & Management Motives, Hubris Motives. The findings of this review study provide an overview of current studies and analyses of the M&A decision-making process in the banking sector and the factors that affect it.
{"title":"Assessing the Impact of M&As’ Motives Influencing the M&A Decision Making Process in the UAE Banking Sector","authors":"Ahmad M Lootah, Hussein A. Hassan Al Tamimi, Panagiotis D. Zervopoulos","doi":"10.32479/ijefi.16332","DOIUrl":"https://doi.org/10.32479/ijefi.16332","url":null,"abstract":"A number of review studies have been conducted to provide valuable insights into the M&A decision-making process in the banking sector and factors that could have a positive and effective impact on it. This study systematically reviews and analyses the decision-making process for M&A and its related factors in 15 interviews with experts related to 10 M&A transaction in UAE banking sector from 2005 to 2021. The main findings contain that the most frequent factors affecting M&A decision-making are Regulation, Globalization, Technology and Economics. In addition, most of the M&A decision-making relevance is also affected by the internal factors of Synergy, Agency & Management Motives, Hubris Motives. The findings of this review study provide an overview of current studies and analyses of the M&A decision-making process in the banking sector and the factors that affect it.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140978809","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}
Political involvement helps businesses to obtain key government resources and support. Political involvement assists businesses to take actions that reduce uncertainty, provide shield and environmental dependence from the environmental threats that can directly impact their performance. This study aims to investigate the impact of political involvement on banks’ sustainable performance in selected South Asian economies (Pakistan, Bangladesh, India, and Sri Lanka). The data is collected from DataStream for the period of 2013-2022. The Generalized Method of Moments (GMM) is employed to analyze the results. The study finds that political involvement negatively affects the firm’s sustainable performance. This study is helpful for management of the organizations and shareholders to increase firm performance by reducing political involvement.
{"title":"The Impact of Political Involvement on Firms’ Financial Performance","authors":"R. K. Shira","doi":"10.32479/ijefi.16021","DOIUrl":"https://doi.org/10.32479/ijefi.16021","url":null,"abstract":"Political involvement helps businesses to obtain key government resources and support. Political involvement assists businesses to take actions that reduce uncertainty, provide shield and environmental dependence from the environmental threats that can directly impact their performance. This study aims to investigate the impact of political involvement on banks’ sustainable performance in selected South Asian economies (Pakistan, Bangladesh, India, and Sri Lanka). The data is collected from DataStream for the period of 2013-2022. The Generalized Method of Moments (GMM) is employed to analyze the results. The study finds that political involvement negatively affects the firm’s sustainable performance. This study is helpful for management of the organizations and shareholders to increase firm performance by reducing political involvement.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140981602","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}
The cryptocurrency industry has grown erratically and at an alarming pace during its brief life. It has received massive attention from the practitioners, academicians, and especially media since Bitcoin was introduced in 2009. The current paper investigates the volatility dynamics of five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, DASH and Ripple’s XRP. It discloses the impact of volatility in the prices of other cryptocurrencies on the Bitcoin’s price volatility. The time series of all the cryptocurrencies prices for the period 2016 to 2022 are considered and preliminary analysis highlights that there exists conditional volatility in all the cryptocurrencies which allows us to use the family of GARCH model. The research findings reveal the significant effect of asymmetric past shocks on the current volatility of Bitcoins. Further, the volatility of remaining virtual currencies are also significantly affecting the Bitcoin’s current volatility. Therefore, the present study unveils the absence of diversification benefits in the market of virtual assets as significant effect of price volatility of other digital coins has been found on the price volatility of Bitcoins. The practical implication of our study is that the findings offer new information for investors and portfolio managers, who are attracted to invest in or hedging strategies in cryptocurrencies.
{"title":"Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies","authors":"S. Kushwah, Shab Hundal, Payal Goel","doi":"10.32479/ijefi.14884","DOIUrl":"https://doi.org/10.32479/ijefi.14884","url":null,"abstract":"The cryptocurrency industry has grown erratically and at an alarming pace during its brief life. It has received massive attention from the practitioners, academicians, and especially media since Bitcoin was introduced in 2009. The current paper investigates the volatility dynamics of five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, DASH and Ripple’s XRP. It discloses the impact of volatility in the prices of other cryptocurrencies on the Bitcoin’s price volatility. The time series of all the cryptocurrencies prices for the period 2016 to 2022 are considered and preliminary analysis highlights that there exists conditional volatility in all the cryptocurrencies which allows us to use the family of GARCH model. The research findings reveal the significant effect of asymmetric past shocks on the current volatility of Bitcoins. Further, the volatility of remaining virtual currencies are also significantly affecting the Bitcoin’s current volatility. Therefore, the present study unveils the absence of diversification benefits in the market of virtual assets as significant effect of price volatility of other digital coins has been found on the price volatility of Bitcoins. The practical implication of our study is that the findings offer new information for investors and portfolio managers, who are attracted to invest in or hedging strategies in cryptocurrencies.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140979796","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}
Households located in urban township settings experience food insecurity which can be alleviated through backyard gardening. This study is to determine the extent of the contribution of backyard gardening to food security. Based on the Logistic Regression Model, household size, farming experience, employment status of the household head and harvesting frequency were found to be significant in affecting the food security status of the household. The study found that backyard gardening contributes (contribution index of 67.25%) towards household food security. Household specific factors should therefore be considered in policy targeted intervention strategies aimed at alleviating food insecurity.
{"title":"Income Contribution of Backyard Gardening and its Association with Household Food Security: A Case Study in an Urban Setting","authors":"Thabang R. Aphane, C. Muchopa","doi":"10.32479/ijefi.15812","DOIUrl":"https://doi.org/10.32479/ijefi.15812","url":null,"abstract":"\u0000\u0000\u0000Households located in urban township settings experience food insecurity which can be alleviated through backyard gardening. This study is to determine the extent of the contribution of backyard gardening to food security. Based on the Logistic Regression Model, household size, farming experience, employment status of the household head and harvesting frequency were found to be significant in affecting the food security status of the household. The study found that backyard gardening contributes (contribution index of 67.25%) towards household food security. Household specific factors should therefore be considered in policy targeted intervention strategies aimed at alleviating food insecurity.\u0000\u0000\u0000","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140979762","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}
Corporate social responsibility (CSR) is now at the heart of corporate sustainability, and as such should have a significant impact on firm performance. However, the ownership structure (OS) is one element in the inner functioning of corporate governance (CG). Further, diversity by gender is one of the variables affecting FP. This paper examines the impact of CSR, ownership structure and gender diversity on FP. That is, we use panel data from non-financial firms in South Asian economies. Data for the years 2010-2022 are drawn from players 'DataStream. We use fixed effect, GMM (generalized method of moments) analysis and propensity score matching to study the data. However, we discover CSR and ownership concentration as well as institutional ownership and gender diversity have positive impacts on FP. study provides the policy implications for both investors and firms. As FP increases with more CSR activities, investors prefer to invest in firms that are more socially connected. Firms should provide more chances to the women on the board to improve performance. Further, ownership structure helps to overcome agency costs, therefore, investors are more attracted to provide funds to the firms that have a higher share of concentrated and institutional ownership.
{"title":"The Role of Corporate Social Responsibility, Ownership Structure, and Gender Diversity in Firm Performance","authors":"S. Alawi","doi":"10.32479/ijefi.15880","DOIUrl":"https://doi.org/10.32479/ijefi.15880","url":null,"abstract":"Corporate social responsibility (CSR) is now at the heart of corporate sustainability, and as such should have a significant impact on firm performance. However, the ownership structure (OS) is one element in the inner functioning of corporate governance (CG). Further, diversity by gender is one of the variables affecting FP. This paper examines the impact of CSR, ownership structure and gender diversity on FP. That is, we use panel data from non-financial firms in South Asian economies. Data for the years 2010-2022 are drawn from players 'DataStream. We use fixed effect, GMM (generalized method of moments) analysis and propensity score matching to study the data. However, we discover CSR and ownership concentration as well as institutional ownership and gender diversity have positive impacts on FP. study provides the policy implications for both investors and firms. As FP increases with more CSR activities, investors prefer to invest in firms that are more socially connected. Firms should provide more chances to the women on the board to improve performance. Further, ownership structure helps to overcome agency costs, therefore, investors are more attracted to provide funds to the firms that have a higher share of concentrated and institutional ownership.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140232827","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}
Financial literacy is rapidly becoming more important as financial markets continue to evolve and new and more complex financial products are introduced. This study investigates the relationship between demographic and sociocultural variables and the level of financial literacy of individual investors in South Africa. This study is significant as it provides policymakers with target areas to provide incentives towards financial education programmes. Secondary data were obtained from a private domain where a private investment company collected primary data using an electronic quantitative survey. The sample consisted of 1, 059 individual investors. The study found that people over 50 years of age, men, whites, people with common-law spouses, and people who owned homes without a mortgage payment reported the highest degree of financial and investment knowledge. Groups that reported a low degree of financial and investment knowledge were individuals between the ages of 35 and 49, females, coloureds, divorced individuals, and individuals living with relatives. Health status and education were positively correlated with the financial and investment knowledge of individual investors. Policymakers should aim to target the groups identified by the study that show a low degree of financial literacy with financial education to promote wealth creation, which could benefit the economy by promoting investment and economic participation while simultaneously trying to address structural issues such as poverty and inequality.
{"title":"Demographic and Sociocultural Determinants of Financial Literacy in South Africa","authors":"M. D. Preez, SJ Ferreira-Schenk","doi":"10.32479/ijefi.15441","DOIUrl":"https://doi.org/10.32479/ijefi.15441","url":null,"abstract":"Financial literacy is rapidly becoming more important as financial markets continue to evolve and new and more complex financial products are introduced. This study investigates the relationship between demographic and sociocultural variables and the level of financial literacy of individual investors in South Africa. This study is significant as it provides policymakers with target areas to provide incentives towards financial education programmes. Secondary data were obtained from a private domain where a private investment company collected primary data using an electronic quantitative survey. The sample consisted of 1, 059 individual investors. The study found that people over 50 years of age, men, whites, people with common-law spouses, and people who owned homes without a mortgage payment reported the highest degree of financial and investment knowledge. Groups that reported a low degree of financial and investment knowledge were individuals between the ages of 35 and 49, females, coloureds, divorced individuals, and individuals living with relatives. Health status and education were positively correlated with the financial and investment knowledge of individual investors. Policymakers should aim to target the groups identified by the study that show a low degree of financial literacy with financial education to promote wealth creation, which could benefit the economy by promoting investment and economic participation while simultaneously trying to address structural issues such as poverty and inequality.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140231483","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}
Mortgages loans are vital for the acquisition of housing property and mortgage lending rates play an important role in mortgage market trends, borrowers, and lenders’ decisions. Objective: the aim of this paper is to evaluate the combined effect of current and previous mortgage rates on mortgage refinancing. Prior work: the paper inclines on the ontology of a single reality of the interaction between mortgage rates and mortgage refinancing with attendant epistemology that their interaction is measurable. Method: the paper adopts the positivist paradigm and a quantitative technique. It used data on the U.S. Mortgage Bankers Association (MBA) retrieved from the economic and financial database of Fusion Media. Data were analysed using the OLS technique. Novel Findings show that current-actual and previous mortgage rates have a significant positive effect on mortgage refinancing at p=0.05 and p=0.04 respectively. Significance: the findings have implication for mortgage lending and refinancing decisions for mortgage bankers (lenders), mortgage borrowers and policy makers. It also provides current academic study material for university business schools and for future researchers to apply the model used in this research for related expanded research. Value: The paper contributes a new model with two genres of mortgage rate (current mortgage rate and previous mortgage rate) and how these two types of mortgage rates influence mortgage refinancing.
抵押贷款对购置住房财产至关重要，而抵押贷款利率对抵押贷款市场趋势、借款人和贷款人的决策起着重要作用。目的：本文旨在评估当前和以往的抵押贷款利率对抵押贷款再融资的综合影响。前期工作：本文倾向于抵押贷款利率与抵押贷款再融资之间相互作用的单一现实的本体论，以及随之而来的认识论，即它们之间的相互作用是可测量的。方法：本文采用实证主义范式和定量技术。它使用了从 Fusion Media 的经济和金融数据库中检索到的美国抵押贷款银行家协会（MBA）的数据。数据采用 OLS 技术进行分析。新颖性 研究结果表明，当前实际抵押贷款利率和之前的抵押贷款利率对抵押贷款再融资有显著的积极影响，分别为 p=0.05 和 p=0.04。意义：研究结果对按揭银行家（贷款人）、按揭借款人和政策制定者的按揭贷款和再融资决策具有影响。它还为大学商学院和未来的研究人员提供了当前的学术研究材料，以便将本研究中使用的模型用于相关的扩展研究。价值：本文提供了一个包含两种抵押贷款利率（当前抵押贷款利率和以前抵押贷款利率）以及这两种抵押贷款利率如何影响抵押贷款再融资的新模型。
{"title":"The Impact of Mortgage Rates on Mortgage Refinancing","authors":"C. Ngwakwe","doi":"10.32479/ijefi.15335","DOIUrl":"https://doi.org/10.32479/ijefi.15335","url":null,"abstract":"Mortgages loans are vital for the acquisition of housing property and mortgage lending rates play an important role in mortgage market trends, borrowers, and lenders’ decisions. Objective: the aim of this paper is to evaluate the combined effect of current and previous mortgage rates on mortgage refinancing. Prior work: the paper inclines on the ontology of a single reality of the interaction between mortgage rates and mortgage refinancing with attendant epistemology that their interaction is measurable. Method: the paper adopts the positivist paradigm and a quantitative technique. It used data on the U.S. Mortgage Bankers Association (MBA) retrieved from the economic and financial database of Fusion Media. Data were analysed using the OLS technique. Novel Findings show that current-actual and previous mortgage rates have a significant positive effect on mortgage refinancing at p=0.05 and p=0.04 respectively. Significance: the findings have implication for mortgage lending and refinancing decisions for mortgage bankers (lenders), mortgage borrowers and policy makers. It also provides current academic study material for university business schools and for future researchers to apply the model used in this research for related expanded research. Value: The paper contributes a new model with two genres of mortgage rate (current mortgage rate and previous mortgage rate) and how these two types of mortgage rates influence mortgage refinancing.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140234091","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}
Because credit losses can be substantial, managing credit risk is a focus area of risk measurement and management. It is important for financial institutions to select credit risk models that accurately forecast losses. The Basel Committee on Banking Supervision (BCBS) chose the closed-form single risk factor Vasicek model for regulatory capital calculations. In this article, its forecast accuracy is compared with empirical loss distributions using simulated probabilities of default and losses given default. The effect of altering probabilities of default on asset correlations was analysed and how this affects credit portfolio loss distributions. The robustness of the Vasicek model against five different portfolios with unique compositions was explored: results highlight two key findings. Firstly, the Vasicek model is a good approximation of credit losses for a portfolio that does not contain dominating loans (it is, after all, based on the assumption of large-scale homogeneity). Secondly, the Vasicek model is a good approximation for expected loss (ELs) but lacks accuracy when determining extreme unexpected losses (ULs). Finally, credit capital requirements as a function of two variables are presented which reveals novel ways of viewing these values.
{"title":"Simulating Credit Loss Distributions: Empirical Versus the Vasicek Model","authors":"Natasa Milonas, G. Vuuren","doi":"10.32479/ijefi.15698","DOIUrl":"https://doi.org/10.32479/ijefi.15698","url":null,"abstract":"Because credit losses can be substantial, managing credit risk is a focus area of risk measurement and management. It is important for financial institutions to select credit risk models that accurately forecast losses. The Basel Committee on Banking Supervision (BCBS) chose the closed-form single risk factor Vasicek model for regulatory capital calculations. In this article, its forecast accuracy is compared with empirical loss distributions using simulated probabilities of default and losses given default. The effect of altering probabilities of default on asset correlations was analysed and how this affects credit portfolio loss distributions. The robustness of the Vasicek model against five different portfolios with unique compositions was explored: results highlight two key findings. Firstly, the Vasicek model is a good approximation of credit losses for a portfolio that does not contain dominating loans (it is, after all, based on the assumption of large-scale homogeneity). Secondly, the Vasicek model is a good approximation for expected loss (ELs) but lacks accuracy when determining extreme unexpected losses (ULs). Finally, credit capital requirements as a function of two variables are presented which reveals novel ways of viewing these values.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140234530","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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