Investigating the determinants of commercial bank interest rate spreads in Lesotho: Evidence from autoregressive distributed lag ( ARDL) and non‐linear ARDL approaches

2020 ◽  
Author(s):  
Moeti Damane
Keyword(s):  
Interest Rate ◽  
Commercial Bank ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Non Linear ◽  
Interest Rate Spreads

scholarly journals Macroeconomic determinants of interest rate spreads in Ghana

2017 ◽  
Vol 8 (1) ◽  
pp. 76-88 ◽  
Author(s):  
Samuel Kwabena Obeng ◽  
Daniel Sakyi
Keyword(s):  
Interest Rate ◽  
Exchange Rate Volatility ◽  
Institutional Quality ◽  
Fiscal Discipline ◽  
Content Type ◽  
Distributed Lag ◽  
Short Run ◽  
Interest Rate Spreads ◽  
Macroeconomic Determinants ◽  
The Impact

Purpose The purpose of this paper is to examine macroeconomic determinants of interest rate spreads in Ghana for the period 1980-2013. Design/methodology/approach The autoregressive distributed lag bounds test approach to cointegration and the error correction model were used for the estimation. Findings The results indicate that exchange rate volatility, fiscal deficit, economic growth, and public sector borrowing from commercial banks, increase interest rate spreads in Ghana in both the long and short run. Institutional quality reduces interest rate spreads in the long run while lending interest rate volatility and monetary policy rate reduce interest rate spreads in the short run. Research limitations/implications The depreciation of the Ghana cedi must be controlled since its volatility increases spreads. There is a need for fiscal discipline since fiscal deficits increase interest rate spreads. Government must reduce its domestic borrowing because the associated crowding-out effect increases interest rate spreads. The central bank must improve its monitoring and regulation of the financial sector in order to reduce spreads. Originality/value The main novelty of the paper (compared to other studies on Ghana) lies on the one hand; analysing macroeconomic determinants of interest rate spreads and, on the other hand, controlling for the impact of institutional quality on interest rate spreads in Ghana.

scholarly journals INTEGRASI PASAR UANG LIMA NEGARA ASEAN MENUJU PASAR TUNGGAL ASEAN

2019 ◽  
Vol 7 (1) ◽  
pp. 11
Author(s):  
Budi Santosa
Keyword(s):  
Interest Rate ◽  
Market Integration ◽  
Investment Policy ◽  
Infrastructure Investment ◽  
Fully Integrated ◽  
Money Markets ◽  
Interest Rate Policy ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Rate Policy

<em>Market integration in money market was examined using co-integration approaches with Johansen co-integration and ARDL (Autoregressive Distributed Lag). Utilizing monthly interest rate of deposit data in Indonesia, Malaysia, Singapore, Philippine and Thailand were analyzed to determine the extent and nature of market integration. In general, the study ofmarket integration can provide information on how the markets operate, that may be useful for improving interest rate policy, monitoring interest rate movements, making interest rate prediction, and improving infrastructure investment policy. Under current interest rate situation, it was hypothesized that money markets in Indonesia, Malaysia, Singapore, Philippine, and Thailand are integrated, but not fully integrated.</em>

scholarly journals Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL

2018 ◽  
Vol 11 (3) ◽  
pp. 51 ◽  
Author(s):  
Rabia Luqman ◽  
Rehana Kouser
Keyword(s):  
Time Series Data ◽  
Equity Markets ◽  
Series Data ◽  
Policy Makers ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Non Linear ◽  
Short Run ◽  
Daily Time

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about a long-run relationship. Moreover, all previous studies supposed the linear or symmetrical relationship between these variables. In this study, we use daily time series data from G8+5 countries and Pakistan for 2000–2016 and apply linear and non-linear autoregressive distributed lag (ARDL) to check the symmetrical and asymmetrical relationship between currency and equity markets. Results have shown that there are asymmetrical linkages between the currency and equity markets.

scholarly journals ASYMMETRIC EFFECT OF CRUDE OIL AND PALM OIL PRICES ON ECONOMIC GROWTH: EVIDENCE FROM INDONESIA

2020 ◽  
Vol 23 (2) ◽  
pp. 253-268
Author(s):  
KP Prabheesh ◽  
Nisful Laila
Keyword(s):  
Economic Growth ◽  
Crude Oil ◽  
Palm Oil ◽  
Oil Prices ◽  
Asymmetric Effect ◽  
Linear Effect ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Non Linear ◽  
The Impact

This paper empirically examines the impact of the price of crude oil petrol and palm oil on Indonesia's economic growth. Using quarterly data from 2000 to 2019 and linear, and non-linear autoregressive distributed lag (ARDL) model to cointegration, the study finds 1) A significant non-linear effect of oil prices on country's output. 2) The palm oil price changes have a higher effect on the country's output as compared to petroleum prices. 3) A decline in palm price in the international market leads to a higher adverse effect on the country's economic growth as compared to petroleum prices.

scholarly journals On the Unemployment Output Relation in South Africa: A Non-Linear ARDL Approach

2018 ◽  
Vol 10 (5(J)) ◽  
pp. 167-178
Author(s):  
Brian Tavonga Mazorodze ◽  
Noureen Siddiq
Keyword(s):  
Labour Market ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Ardl Approach ◽  
Non Linear ◽  
Lag Model ◽  
Contraction And Expansion ◽  
Unemployment Problem

The central aim of this paper is to establish the asymmetric effects of cyclical output on South Africa's unemployment rate. To achieve this objective, the non-linear autoregressive distributed lag model (NARDL) is applied on quarterly data spanning the periods 1994Q1-2017Q4. For every 10% economic contraction and expansion respectively according to the results, the response of the labour market is asymmetric in the long-run in that it loses more workers during contraction (10.3%) than it employs during recoveries (8%) supporting the labour market hysteresis. This is particularly true post the 2009 Global crisis suggesting that firms might have become more risk-averse to short-lived recoveries in recent years. The weak response of the labour market during expansions supports IMF’s recent proposition that economic recovery alone may not be enough to address South Africa's unemployment problem. 

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

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