Interesting Changes Research Articles

Bagaimana Inflasi, Suku Bunga Dan Performa Keuangan Mempengaruhi Return Saham

According to the 2019 Indonesian trade statistics report, CPO, a product produced on plantations, was Indonesia's top export. In comparison to other sectors, the price movement of the plantation sector index exhibited increased volatility in the years between 2018 and 2020. The aim of this study is to investigate macroeconomic and microeconomic factors as they are revealed by changes in inflation, interest rates, and financial performance. Profitability ratios, activity ratios, leverage ratios, and liquidity ratios are the ratios that demonstrate financial performance and are evaluated using ROE, TATO, DER, and CR. To prevent errors in the traditional assumption test, multiple linear regression with the Weighted Least Square transformation is the analysis method employed. The findings revealed that ROE and TATO had a favorable impact, but inflation and interest rates had a negative impact.

Status and determinants of saving behavior and intensity in pastoral and agro-pastoral communities of Afar regional state, Ethiopia.

Saving is a crucial tool for enhancing the livelihoods of pastoral and agro-pastoral communities, but due to a number of factors, its status and intensity are still in their infancy. Because of this, the current state of saving practices, their causes, and the size of pastoral and agro-pastoral communities are all examined in this study. A multi-stage sampling process was used to determine the 600 typical selected households. In order to assess the data, a double hurdle model was used. From the descriptive analysis result, only 35% of pastoral and agro-pastoral groups were savers. In comparison to their counterparts, households who have access to credit, are financially literate, engage in non-farm activities, cultivate crops in addition to livestock husbandry, use informal financial institutions, are educated, and wealthier are more likely to be savers and eager to save a larger amount of property. Households with more livestock and who live far away from formal financial institutions, on the other hand, are less likely to be savers and save only a small fraction of their income. Male-headed families are more likely to participate in saving decisions, whereas female-headed households must save more than their male counterparts once they have opted to save. Instead of relying on ineffective monetary policy (changing interest rates), any concerned bodies should emphasize mixed farming practices, establish financial institutions nearby to improve saving habits, provide non-farm training, and empower women in order to close the gap between savers and non-savers and mobilize resources to save and invest. Furthermore, raise awareness of financial institutions' products and services, as well as provide credit.

Adjustable emissions caps and the price of pollution

Cap and trade schemes often use a policy of adjustable allowance supply with the intention to stabilize the market for allowances. We investigate whether these policies deliver with a focus on allowance prices. Motivated by existing policies, we study schemes that rely on either the allowance price (price measures) or the surplus of unused allowances (quantity measures) to adjust supply in a dynamic cap and trade market. Compared to emissions trading under a fixed cap, we find that price measures stabilize allowance prices. Quantity measures can be destabilizing. Though phrased in the context of changing interest rates, our results warn more generally against the belief that quantity measures are a suitable instrument to promote a stable cap and trade market.

Monetary transmission with income risk*

AbstractIn periods of distress, observed and perceived income risk tends to rise. Does this heightened income risk affect monetary transmission? This paper first shows that in partial equilibrium, heightened income risk dampens the substitution effect of interest rate changes but amplifies the indirect income effect of wage changes. The effects are sizable in partial equilibrium. An increase in income risk consistent with heightened risk during recessions affects interest rate and wage responses by around one‐third. However, because income risk dampens the effects of interest rate changes but amplifies the effects of wage changes, its effect is weaker in general equilibrium, dampening monetary transmissions to consumption by around 11 percent.

The interest rate pass-through by loan size: Evidence for Mexico, 2011-2019

This paper measures the impact of changes in the central bank's reference rate on bank lending rates at both the aggregate level and by loan size. Our data come from the payroll and personal loan markets in Mexico for the period comprising 2011 to 2019. We use an autoregressive model with distributed lags, which allows for the possibility of asymmetric effects. The results show, among other findings, that the pass-through is small; it is not necessarily positive; asymmetric behaviour cannot be ruled out; and, its value depends on the loan size. These results imply that the effectiveness of monetary policy is weakened, in addition to the fact that the reaction of banks to changes in the target interest rate may have distributional implications. The originality of the paper lies in the grouping of interest rates by loan size and the use of a methodology that allows us to assess the existence of asymmetries. Its main shortcoming is the lack of data regarding the characteristics of the borrowers.

Interest rate, foreign exchange and stock performance in a dual banking industry: evidence from Saudi Arabia

PurposeThis study aims to extend the literature by extensively investigating the impact of foreign exchange and interest rate changes on the returns and volatility of bank stocks in Saudi Arabia, which is the largest dual banking industry.Design/methodology/approachThis study employs the generalized autoregressive conditional heteroscedasticity (GARCH) model on stock returns of four fully Islamic Saudi banks and eight conventional Saudi banks.FindingsThe results showed that the foreign exchange rate return has a positive impact on Saudi conventional bank returns, while it has an adverse impact on Saudi Islamic bank returns. Moreover, a higher interest rate return has a positive impact on Saudi bank stock returns implying that the assets side is more sensitive to changes in interest rates than the liability side. Finally, higher foreign exchange and interest rates volatility increases the volatility of Saudi bank returns, where the former has the largest significant impact. Therefore, Saudi regulators should pay more attention to the risk management of their banks because this could threaten the stability of their financial system.Originality/valueTo the best knowledge of the author, this is the first study that tries to extensively analyze the joint impact of foreign exchange and interest rates on bank stock returns and volatility in Saudi Arabia by applying the GARCH model. The study uses a long data set from 2010 to 2019 that includes all Saudi banks and employs four measures of interest rates to increase the robustness of the results.

Are Central Banks’ Monetary Policies the Future of Housing Affordability Solutions

Housing affordability is one of the major social problems in many countries, with some advocates urging governments to provide more accessible mortgages to facilitate more homeownership. However, in recent decades more and more evidence has shown that unaffordable housing is the consequence of monetary policy. Most of the previous empirical studies have been based on econometric analyses, which make it hard to eliminate potential endogeneity biases. This cross-country study exploited the two global interest rate shocks as quasi-experiments to test the impacts and causality of monetary policy (taking real interest rates as a proxy) on house prices. Global central banks’ synchronized reduction in interest rates after the outbreak of the COVID-19 pandemic in 2020 and then the global synchronized increase in interest rates after the global inflation crisis in 2022 provided both a treatment and a treatment reversal to test the monetary policy hypothesis. The stylized facts vividly reveal the negative association between interest rate changes and house price changes in many countries. This study further conducted a ten-country panel regression analysis to test the hypothesis. The results confirmed that, after controlling for GDP growth and unemployment factors, the change in real interest rate imposed a negative effect on house price growth rates. The key practical implication of this study pinpoints the mal-prescription of harnessing monetary policy to solve housing affordability issues, as it can distort housing market dynamics.

Macroeconomic Factors and Stock Returns: An Approach of Arbitrage Pricing Theory in the Food and Beverage Industry

We examine the efficiency and efficacy of the Arbitrage Pricing Theory model in explaining stock returns in the food and beverage industry. To that end, we analyze the relationship between macroeconomic variables and stock returns before and during the pandemic. In this paper, we use unexpected changes in economic growth, inflation, interest rate, exchange rate, and crude oil price as generating factors and find that these factors have come to explain stock returns movement. Using the generalized least square (GLS) technique, we study stocks from 19 firms listed in Indonesia Stock Exchange over sixteen months from 2018 to 2021. While most significant relations are negative, some are significantly positive. The significant associations suggest that the theory is supported in that estimated expected returns depend on selected generating factors. The result also shows that investors are rational because they consider these factors as systematic risks influencing their profit. Furthermore, we find that there is a difference in stock returns before and during the pandemic, with the average being greater during the pandemic. We assume that this is due to investors’ choice to seek out safe-haven assets in order to limit their exposure to losses.

Macroeconomic Factors and Stock Returns: An Approach of Arbitrage Pricing Theory in the Food and Beverage Industry

We examine the efficiency and efficacy of the Arbitrage Pricing Theory model in explaining stock returns in the food and beverage industry. To that end, we analyze the relationship between macroeconomic variables and stock returns before and during the pandemic. In this paper, we use unexpected changes in economic growth, inflation, interest rate, exchange rate, and crude oil price as generating factors and find that these factors have come to explain stock returns movement. Using the generalized least square (GLS) technique, we study stocks from 19 firms listed in Indonesia Stock Exchange over sixteen months from 2018 to 2021. While most significant relations are negative, some are significantly positive. The significant associations suggest that the theory is supported in that estimated expected returns depend on selected generating factors. The result also shows that investors are rational because they consider these factors as systematic risks influencing their profit. Furthermore, we find that there is a difference in stock returns before and during the pandemic, with the average being greater during the pandemic. We assume that this is due to investors’ choice to seek out safe-haven assets in order to limit their exposure to losses.

Research on the pricing of PPP project ABS products based on the right of income of heating

Introduction: The Public-Private Partnership (PPP) model has the advantages of enhancing the efficiency of social infrastructure construction and reducing the risk of government liabilities, and has been widely used and developed in China. In the current securitization of PPP project assets, the question of how to price them is key to whether the Asset-backed Securities (ABS) products can be issued successfully.Methods: This study analyzes the pricing process and influencing factors of PPP project ABS in the context of PPP projects in China by collating the relevant literature on PPP project ABS products and collating the advantages and disadvantages of the static discounted cash flow (SCF), static spread (SS), and option-adjusted spread (OAS) methods. The study finds that the SCF and SS methods, primarily used in pricing PPP project ABS products, lack consideration of interest rate changes, early repayment rates, and multiple interest rate path options, leading to biased results. This study introduces the Monte Carlo simulation pricing method (MCSM) and conducts an empirical analysis based on the case of the Heating income right ABS of Huaxia Happiness PPP Project ABS.Results: It is concluded that the Monte Carlo simulation method can more flexibly and accurately price PPP project ABS products with revenue rights as the underlying assets.Discussion: This study has reference significance for the pricing of ABS products in future PPP projects and the construction of PPP projects in integrated energy service industrial parks, and can promote the development of new integrated energy service industrial parks, thereby helping to improve the energy consumption structure of enterprises in industrial parks, improve energy use efficiency, ensure the safety of energy use by enterprises, and further enhance the application of new energy by enterprises, thereby reducing their Greenhouse gas emissions.

Housing Price and Interest Rate Hike: A Tale of Five Cities in Australia

Australian housing prices are reported to be overvalued and unaffordable for the past two decades. Many researchers and practitioners have attributed the persistent growth in housing prices to the prolonged period of low borrowing costs. However, due to inflationary pressure, the Central Bank has raised its cash rate consecutively in recent months. This paper aims to examine whether interest rate rises affect housing price in different parts of Australia. Evidence generated from the analysis reported bipolar results between the large and smaller cities, whereby housing prices in Sydney and Melbourne show a significant negative relationship with interest rate changes while Brisbane and the Gold Coast and Perth and Adelaide, respectively, are showing negative but insignificant results during the study period. Short-run trend projections on housing prices indicate that Sydney, Melbourne, Brisbane and the Gold Coast are on a downward trend while Adelaide and Perth will maintain its current momentum before plateauing out later next year. Likewise, control variables, such as oil prices, inflation rate and stock market performance, are found to be related to housing prices in larger cities only. These findings have implications on housing policy, house purchase decisions and investment portfolio management strategy.

Research on the impact of exchange rates and interest rates on carbon price changes in the context of sustainable development

Carbon emissions are closely linked to a company’s production activities. The amount of carbon allowances a company holds determines its carbon emissions. Changes in carbon prices interact with firms’ production activities, while changes in exchange rates and interest rates have a direct impact on firms’ production structure, willingness to produce and scale of production. Under the existing literature, most scholars have selected only one market to be used to study its influence on the carbon market. In this paper, the exchange rate market and the interest rate market are selected for the study of the impact of both on the carbon market, using the following empirical analysis methods: DCC-GARCH, TVP-VAR and GA-BP neural network. The empirical results show that interest rates are positively linked to carbon prices, while exchange rates are more negatively linked to carbon prices; exchange rates are less affected by macro factors and external shocks, while interest rates are the opposite and very sensitive to macro shocks; under the training and simulation of the neural network, carbon prices can fluctuate drastically under the combined influence of exchange rate and interest rate movements, which can provide appropriate early warning of future price fluctuations in carbon trading. This shows that adjustments to exchange rates and interest rates need to be treated with caution, and appropriate adjustments should be made to keep carbon prices stable; the government should build a mechanism to transform the green development of enterprises, pushing them to save energy and reduce emissions to achieve low-carbon transformational development; the government should not only introduce policies to support low-carbon enterprises, but also improve the national carbon market laws and regulations and price regulation mechanisms.

WACC for Electric Power Transmission System Operators: The Case of Colombia

In emerging countries, energy service users generally pay high rates of return to transmission system operators (TSOs). One of the causes of this situation is the application of the CAPM with the comparable beta method when estimating the cost of equity in the WACC. The purpose of this article is to present a new methodology for calculating the cost of equity of TSOs in Colombia. To achieve this objective, a multifactor model has been built to explain the variation in returns on the electric utilities portfolio in Colombia between April 2008 and March 2022 and then recalculate the WACC approved by the country’s regulatory commission. It was found that, in addition to the estimated market risk in the CAPM, there is a risk due to the regulatory framework and changes in interest rates, which helps to explain 73% of the variations in the electric utilities portfolio, resulting in a lower cost of equity, and therefore a lower WACC of 5.28% compared to the WACC estimated by the regulator of 11.79% in 2019. These results can support regulatory commissions in emerging countries in establishing a more accurate rate of return for users.

The Effect of Interest Rate Changes on Consumption: An Age-Structured Approach

Interest rates have generally trended downward over the past several decades. It has made borrowing cheaper, which has encouraged people to spend more. It has also made saving less attractive, contributing to increased consumption. At the same time, the role of household credit increased significantly. The paper suggests a model for the effect of an interest rate change on household consumption, which relies on income and loans. The model is based on methods of the optimal control theory. The approach is age-structured: households reconsider their consumption patterns at the moment of the interest rate change and the changes in consumption patterns are age dependent. The consumption changes for different age groups contribute to the modification of aggregate consumption. Numerical simulation shows that a decrease in the interest rate leads to a consumption boost (a substantial increase in consumption in the short run), which diminishes as time passes and consumption becomes fully adjusted to the new interest rate value. The consumption boost is achieved by an increase in the debt load.

The Effect of Interest Rate Adjustment on the Stock Price Index in China

The interest rate is one of the main tools used to control monetary policy in China. Changes in interest rates will affect the return on capital and the financial situation of enterprises, which will in turn have an impact on the stock market. What effect will interest rate adjustments have on the stock market? Are fluctuations in the interest rates and the stock market correlated? At present, there is no consensus on the answers to these questions. This paper studies these problems. In order to study the effect of the interest rate adjustment on the stock price index, this paper first conducts literature review and analysis, and then uses unit root test, Johansen integration test, Granger causality test and error correction model. The factors studied are the one-year deposit rate and the closing price of the Shanghai Composite Index from 1991 to 2015. It can be seen that the long-term relationship between the interest rate and stock prices is a reverse relation - when interest rates change, the stock price is adjusted in reverse. Specifically, (1) there is a long term reverse relationship between the interest rate and the stock price index, (2) interest rates are the Granger cause of the stock price index, and the stock price index is not the Granger cause of interest rates, (3) the stock price index cannot adjust to the interest rate in a short time.

Interest rate changes and the cross-section of global equity returns

Interest rate changes typically affect equity values. However, if investors react slowly, the repricing may stretch over time. Using a century of data from sixty countries, we demonstrate that past interest rate changes predict the cross-section of equity returns worldwide. The quintile of stock markets with the highest change in government bond yields underperforms the countries with the lowest change by 0.76% per month. The phenomenon is distinctly robust and cannot be explained by known risk factors. Furthermore, the low correlation with other return patterns paves the way for effective country allocation strategies.

Pengaruh Pengumuman Pembatasan Aktivitas Masyarakat dan Restrukturisasi Kredit terhadap Tingkat Bunga Antar Bank

This study aimed to analyze the effect of public activity restriction announcements and credit restructuring on interbank interest rates in Indonesia during the Covid-19 pandemic. This study used the event study method by analyzing changes in interbank interest rates 5 days before and after the announcement event. The announcement of restrictions on community activities consisted of the announcement of the first Covid-19 case in Indonesia, the first PSBB, the second PSBB and emergency PPKM. Meanwhile, the announcement of credit restructuring consisted of a presidential announcement regarding credit relief, the Minister of Finance regarding MSME credit relief and the Chairman of the OJK regarding extending credit relaxation. From the results of the analysis, only the announcement of the minister of finance regarding MSME credit relief had an effect on interbank interest rates.

Effect of Gross Domestic Product and Interest Rate Changes on the Financial Performance of Banks in Kenyan: A Case of Co. Bank Limited

The study's primary objective was to determine the effect of macroeconomic variables on bank performance. Numerous studies on the effects of macroeconomic factors on the banking business in Kenya and globally have been undertaken, all with differing findings and conclusions. The purpose of this study was to add to existing information by determining the extent to which macroeconomic variables affect bank performance. The study was guided by the following objectives: To what extent has gross domestic product affected the Co. Bank of Kenya Limited’s performance, extend to which interest rate changes affect the Co. Bank of Kenya Limited’s performance. Liquidity preference theory, efficient market theory, and current portfolio theory were adopted in the study. The study used a descriptive research approach to examine the relationship between the independent variables of gross domestic product and interest rates and the dependent variable of bank performance. The study surveyed a total of 120 respondents from the Cooperative Bank of Kenya limited, including branch managers, credit managers, finance officials, accountants, staff, and consumers. The study drew conclusions about the research issue using both primary and secondary data. The study collected main data via questionnaires and secondary data via data collecting forms. Secondary data was derived from the Co-operative Bank of Kenya's annual financial reports from 2016 through the first quarter of 2022, CBK, Kenya Bureau of statistics, World Bank reports etc. The study first looks at the general information of the respondents in the fourth chapter. This information is presented using pie charts, graphs and tables. The chapter further explores the dependent variable and presents response from respondents on the extent to which independent variables affect dependent variables in for, of graphs, tables. The study also explores each independent variable. It starts with GDP and Interest rates respectively. For every independent variable the researcher used five statements to ascertain the effect of each variable on bank performance. The research also utilizes secondary data to compute trend analysis for each independent variable and to formulate multiple regression equation and regression coefficients. The study wraps up with the limitation of the study. The last part of the study entails a summary of the research findings. The summary provides an illustration of each independent variable and its effect on the dependent variable in line with the findings of the study. The study further looks at overall research conclusions, provides recommendation on what needs to be done to minimize the effects of the independent variables on the dependent variable.

Inspekcija uticaja makroekonomskih faktora na povrat akcija - slučaj Srbije

In many developed economies, a stable financial market is the basis for the growth and development of a country's well-being. The movement of stock prices is, in many ways, a reflection of the development of the largest companies in a country. In this paper, we deal with the analysis of the impact of macroeconomic indicators such as inflation, interest rates, and exchange rates on stock prices on the stock market. The goal of the paper is a deeper understanding of how the movements of macroeconomic indicators affect the movement of stock prices and, at the same time, the economic growth of the largest companies. The analysis used monthly data on changes in inflation, interest rates, and exchange rates, together with the prices of shares of companies listed on the Belgrade Stock Exchange (BelexLine index) for the period from 2015 to 2021. The index itself contains a sample of 29 companies. The findings indicate the existence of a unidirectional relationship between interest rate changes and stock prices, and a bidirectional relationship between stock price changes and changes in inflation and interest rates. In addition to these two tests, the authors graphically show the impulse response of indicators as well as the decomposition of data variation, which indicates that the changes in stock price are explained mostly by the variance in the stock price itself. The results also indicate that the primary change of the BelexLine index to itself is positive, while in other periods there is a negative reaction, but at the end of the period, there is stabilization after the original occurrence of the shock.

РОССИЙСКИЙ И ЗАРУБЕЖНЫЙ ОПЫТ ГОСУДАРСТВЕННОЙ АНТИИНФЛЯЦИОННОЙ И АДАПТАЦИОННОЙ ПОЛИТИКИ

The article analyzes Russian and foreign experience on alternative types of state anti-inflationary and adaptation policies. The paper identifies methods of anti-inflationary and adaptation policy in Russia and foreign countries, such as the USA, Germany, Japan. In Russia, the state anti-inflationary and adaptation policy is linked to the Central Bank and the government In foreign countries, the state anti-inflationary and adaptation policy is also linked to Central Banks and governments. In the USA and Japan, monetary policy instruments are used, in Germany, the Central Bank and the government are taking measures to curb inflation and ensure the stability of the economy, also using monetary policy, including changes in interest rates, to achieve a steady inflation rate.