scholarly journals The Impact of Interest-rate Subsidies on Long-term Household Debt: Evidence from a Large Program

2004 ◽  
Author(s):  
Ernesto Villanueva ◽  
Nuno C. Martins
Keyword(s):  
Interest Rate ◽  
Household Debt ◽  
Large Program ◽  
The Impact

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

2016 ◽  
Vol 8 (2) ◽  
pp. 111-136 ◽  
Author(s):  
Masazumi Hattori ◽  
Andreas Schrimpf ◽  
Vladyslav Sushko
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Risk Perceptions ◽  
Equity Market ◽  
Unconventional Monetary Policy ◽  
Tail Risk ◽  
Forward Guidance ◽  
The Impact ◽  
Future Path

We examine the impact of unconventional monetary policy (UMP) on stock market tail risk and risks of extreme interest rate movements. We find that UMP announcements substantially reduced option-implied equity market tail risks and interest rate risks. Most of the impact derives from forward guidance rather than asset purchase announcements. Communication about the future path of policy rates reduced volatility expectations of long-term rates and the associated risk premia. The reaction of equity market tail risk, in turn, points to the risk-taking channel of monetary policy, as the commitment to low funding rates may have relaxed financial intermediaries’ risk-bearing constraints. (JEL E52, E58, G12, G13, G14)

scholarly journals Regulação ineficaz para forçar alongamento: O caso da Previdência Complementar Aberta no Brasil

2019 ◽  
Vol 17 (4) ◽  
pp. 33
Author(s):  
Luiz Guilherme Carpizo ◽  
Márcio Gomes Pinto Garcia
Keyword(s):  
Interest Rate ◽  
Portfolio Management ◽  
Risk Taking ◽  
Causal Effect ◽  
Portfolio Allocation ◽  
Short Term ◽  
Additional Risk ◽  
The Interest Rate ◽  
The Impact

<p>Despite the fall in the interest rate observed in Brazil in recent decades, and specific regulations on the private pension segment that encourage long-term risk taking, institutions in this segment appear to be considerably sensitive to short-term factors, while avoiding exposure to long-term risk factors. With portfolio allocation data from large entities, we implemented a VAR model to evaluate the impact of interest rate changes on portfolio management decisions and performed a counterfactual analysis to define the causal effect of regulation on additional risk taking. Results indicate that interest rate increases lead to significant and persistent reduction of investment in riskier assets with longer maturities, while the implemented regulation was not able to force greater risk-taking by institutions, in addition to generating distortions in segments of the Brazilian financial market.</p>

scholarly journals Impacts of inflation on gold price and exchange rate in Vietnam: time-varying vs fixed coefficient cointegrations

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Pham Dinh Long ◽  
Bui Quang Hien ◽  
Pham Thi Bich Ngoc
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gold Price ◽  
Time Varying ◽  
Coefficient Estimates ◽  
Content Type ◽  
Exchange Rate Fluctuations ◽  
The Impact ◽  
Shed Light

PurposeThe paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.Design/methodology/approachUsing cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates.FindingsA significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price.Originality/valueTo the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

scholarly journals Future investment value of China’s listed life insurance companies’ H shares from the perspective of secondary market

2020 ◽  
Vol 218 ◽  
pp. 04012
Author(s):  
Lixin Yang
Keyword(s):  
Interest Rate ◽  
Life Insurance ◽  
Insurance Industry ◽  
Secondary Market ◽  
Insurance Companies ◽  
Market Demand ◽  
Life Insurance Industry ◽  
The Future ◽  
The Impact

China’s life insurance industry has just started in the 1990s after the reform and opening up, and its development experience is obviously insufficient, and it has not gone through a very complete life insurance development cycle. No matter from the actuarial technology, the professional level of the agent, the popularization time of the agent system, or the management experience, it is far from the developed areas of the world’s life insurance industry. In addition, many professional investors are worried about the future prospects of China’s life insurance industry because of the long-term existence of a low interest rate environment. However, after reading detailed materials (research papers, books, reviews, etc.), the final conclusion of this report is different from that of other too cautious investors . This report holds that: the current situation and prospect of China’s life insurance H shares meet the conditions of Davis double-click, and the main investors in the secondary market will encounter a unique opportunity to obtain excess returns by investing in domestic insurance H shares. On the level of objective factors, we analyze from the following four aspects: (I) the potential demand for life insurance in China will continue to increase significantly in the future; (II) most of the representative life insurance companies in China have low valuations; (III) the possible style switching in China’s secondary market is conducive to the rise of blue chips such as life insurance companies; (IV) from the long-term perspective of history, the insurance index has significantly outperformed the Shanghai Composite Index, which represents the market. In terms of subjective factors, we consider them from the following four perspectives: (I) the development and problems of life insurance industry in Japan and Taiwan; (II) on the liability side, China’s life insurance industry vigorously develops new products with high business value, so as to resist the impact of low interest rates; (III) the diversification of asset allocation at the investment end of China’s life insurance industry can make the profit of life insurance industry not limited by the interest rate; (IV) the change of service quality at the supply side is conducive to the life insurance companies to tap the potential market demand in China.

scholarly journals The impact of public debt on the long-term interest rates in the euro area member countries during 2003-2010

2011 ◽  
Vol 2 (3) ◽  
pp. 23-42
Author(s):  
Piotr Misztal
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Euro Area ◽  
Public Debt ◽  
Empirical Studies ◽  
Impulse Response Function ◽  
The Real ◽  
The Impact ◽  
The Relationship

The main aim of the article is to analyze the relationship between public debt and the real, long-term interest rates in the euro area member countries during 2003-2010. The first part dealt with theoretical analysis and the most important results of empirical studies concerning the relationship between public debt and the real, long-term interest rates. In the next part of article, there were examined the relationships between public debt and the real, long-term interest rates in the euro area countries by using the Vector Autoregression Model (VAR). There were estimated elasticity coefficients of the real, long-term interest rates to public debt and measured the impact strength of public debt to changes in the real, long-term interest rate in the euro area member countries using the impulse response function. This was followed by decomposition of the real, long-term interest rate to estimate the impact of public debt and the real, long-term interest rate changes on the volatility of the real, long-term interest rate in the euro area member countries.

scholarly journals Zadłużenie gospodarstw domowych a dynamika wydatków konsumpcyjnych w krajach OECD po wybuchu kryzysu finansowego

2017 ◽  
pp. 145-158
Author(s):  
Piotr Bolibok
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Interest Rates ◽  
Global Financial Crisis ◽  
Disposable Income ◽  
Household Debt ◽  
Rate Of Growth ◽  
The Global Financial Crisis ◽  
The Impact

The paper aims at empirical evaluation of the impact of household debt on the dynamics of consumption spending since the beginning of the global financial crisis. The research employed linear regression analysis of the rate of growth of household spending against the rate of growth of disposable income, the level of indebtedness and long-term interest rates in the OECD member states between 2008-2014. The results obtained indicate that household indebtedness was one of the factors influencing the dynamics of consumption demand and thus the processes of economic growth in the OECD states after the beginning of the global financial crisis. Variations in the relation of total debt to net disposable income and in the level of long-term interest rates were both negatively related to the changes in consumption spending. This impact turned out to be markedly stronger when total household debt of a given country was exceeding 85% of GDP, which is consistent with the results of previous investigations on the in&uence of the indebtedness of household sector on the dynamics of economic growth

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