International Financial Statistics Research Articles

Brazil-US trade balance and exchange rate: Dynamic empirics

Brazil and USA are important trading partners. Brazil as a resource-rich country in Latin America and a vibrant emerging economy draws enormous US trade and investment interests. Inclusion in BRICS lifts Brazil as an emerging global economic force and BRICS as a group poses economic challenges to the developed world. The Brazil-US growing trade and fluctuating Real-Dollar exchange rate are a fascinating issue of empirical exploration. The principal objective of this paper is to study the dynamics between Brazil-US nominal trade balance and nominal Real-Dollar exchange rate. Monthly data are utilized from January 1999 through December 2013 since Brazil allowed floatation of Real beginning in January 1999. They are obtained from the Direction of Trade and International Financial Statistics, published by the IMF. The standard cointegration methodology is implemented. This is appropriate since macroeconomic and financial variables are very likely to be time-variant. The application of OLS on nonstationary variables would produce misleading inferences in presence of spurious correlation. Consequently, the efficient DF-GLS and NG-Perron tests for nonstationarity and their counterpart KPSS test for stationarity are applied. All of them confirm nonstationarity of both time series variables. Stationarity in both variables is restored on first-differencing of the level data depicting I(1) behavior. Consequently, the Johansen-Juselius procedure is implemented for cointegrating relationship. Both λ max and λ trace test statistics unveil no cointegration between nominal bilateral trade balance and exchange rate. In this backdrop, VAR model is estimated, as appropriate. The evidences on short-run bidirectional causal flows are strong with significant interactive feedback effects. In the case of reverse causality, the evidences are highly insignificant. The impulse response analysis depicts the existence of short-run bilateral J-curve that shows initial deterioration in trade balance for a while following exchange rate depreciation before improvement into positive territory. In this paper, the J-curve shows that currency depreciation by Brazil against the US dollar to improve its trade balance with the USA may work only in the short run. Progressive improvement in trade balance in the long run would, in fact, depend on prudent monetary and fiscal actions to enhance Brazil’s global competitiveness through improvement in labor productivity and modern technology adoption.

Canned Pineapple in Syrup from Thailand Export by using Panel ARDL Method

Abstract This study will shows the impact factor affecting Thailand canned pineapple in syrup export by using model from the assumption of import demand side following Smith (2004). The data from various source i.e. International Financial Statistic by IMF, World Bank database, Bank of Thailand and Office of the Permanent Secretary Ministry of Commerce of Thailand. The research question intended to examine how the relationship between export of pineapple in syrup, and Gross Domestic Product of Importer countries (GDP), Exchange Rate between baht per currency of importer countries and Number of population of importer countries (POP) could be found. From 4 countries such as United State, Japan, Germany, and Canada as well as Japan has a fastest adjusting from short-run equilibrium to long-run equilibrium by have a value closest to zero; error-correction model is -1.8280. Mostly of export canned pineapple has a negative relationship with variables GDP and population both in long-run and short-run equilibrium, means canned pineapple in syrup is possibly substitution goods for those countries,

Performance Evaluation of Equity Mutual Funds in Countries with Emerging Economies: Evidence from BRIC, CEE, sea and MENA Regions

The fundamental principle of classical portfolio theory states that mature capital markets are nearly efficient thus offering no extra returns and low possibilities for international portfolio diversification. Thus it is not a surprise that in the recent 20 years mutual funds from emerging economies with their high growth rates, frequent abnormal returns and less than perfect positive correlation with developed economies have been attracting an increasing volume of international investment flows. In this context evaluation of emerging markets funds performance has become a frequent topic of discussion and research by modern portfolio theory and theory of capital markets equilibrium. Here it is necessary to state two things about existing studies: the one thing is that they provide quite mixed results - on average, local equity funds do not generate abnormal returns, but they still exist; and the other thing is that such evidence is structured predominantly upon country evidence, thus limiting the possibility to derive some generalized conclusions about mutual fund performance in particular groups of emerging economies or emerging economies per se. Another common drawback of existing studies is their frequent usage of data suffering with survivorship bias, which in light of short time-series of available observations, obviously do not add precision to conclusions, derived on the basis of such samples. In light of the stated above the paper aims to reevaluate absolute and relative risk-adjusted performance of open-end equity mutual funds on the sample of advanced, secondary and frontier economies from the Central and Eastern Europe, from the South Eastern Asia, from the Middle East and North Africa, and BRIC economies for the time span from Q1/2000 to Q1/2015. Following established practice, fund performance is evaluated by means of unconditional and conditional single-factor and multifactor CAPM time-series regressions under which individual fund returns are regressed over factor loadings, given by Sharpe and Treynor ratios, Jensen's alpha and M squared, Fama-French and Carhart measures, raw input data for which is collected from Bloomberg terminal and data sets of World Development Indicators and International Financial Statistics. On the basis of a large number of performance measures and attributes employed in this research as well as survivorship-bias free database, the chosen study provides a useful insight into mutual fund performance of particular groups of emerging economies or emerging economies per se, documenting important country and regional characteristics.

Inflation Targeting: A Comparative Empirical Analysis

The purpose of this paper is to make a comparison between how countries with inflation targeting (IT) fared compared to their non-IT peers in general during the period of 2003 and 2011, which is based on Kaynak (2012). The dataset, which is used in the analysis, has been provided through the database of International Financial Statistics (IFS) from the International Monetary Fund (IMF). First to detect the existing correlation between IT and economic performance outcomes Ordinary Least Squares (OLS) regression has been used. Second, to filter out business cycle fluctuations, Generalized Method of Moments (GMM) dynamic panel data estimator has been used. The results presented here is not necessarily at odds with the prescriptions of the standard IT literature. Despite the evidence demonstrates that IT countries have a better economic performance in general and in the global financial crisis in particular, it does not establish a causality relationship.

An Empirical Analysis of Population Growth on Economic Development: The Case Study of Bangladesh

The population growth has a vital impact on economic development. There are two instructs of thought regarding this issue. Some researchers maintain that population has a negative impact on economic development while others are convinced that the effects are positive. Bangladesh’s population increased 430 percent over the year1950-2012. Multivariate analyses of 1981 to 2014 data from the Bangladesh Economic Survey and from the International Financial Statistics yearbooks found significant and negative relationship between population growth and measures of economic advancement. These results demonstrate that rapid population growth is a real problem in Bangladesh because it contributes to lower investment growth and diminishes the savings rate. Today foreign investment and export promotion have only a small impact on Bangladesh’s economic growth. Owing to its rapid population growth, Bangladesh has among the world’s highest dependency ratios. Policy makers can address these serious economic consequences of rapid population growth by investing in family planning services. Development of independent media and liberal education in educational institutions will in time also help by encouraging a smaller family size ideal.

The Performance of Islamic Banks During the 2008 Global Financial Crisis: Evidence from Gulf Cooperation Council Countries

The purpose of this study is to analyse the performance of Islamic banks in terms of profitability of GCC region during 2008 global financial crisis. Bank specific data are taken from the Bank Scope database and macroeconomic data are collected from International Financial Statistics. Using a panel data series of 30 banks for the period of 2005 to 2011, the study shows the availability of structural break for the crisis year as well as the factors that impact the profitability of Islamic banks. The performance of GCC Islamic banks was significantly influenced during the crisis period by capital adequacy, credit risk, financial risk, operational efficiency, liquidity, bank size, gross domestic product, growth rate of money supply, bank sector development and inflation rate. The study also found that there was structural change before and after the global financial crisis. The study concludes that the Sharia compliant banks performed better during the crisis and were not affected based on their internal performance records; rather, they were affected indirectly from the macro shock due to the economic crisis.

Should the West African countries form a currency union?

This paper examines whether or not the Economic Community of West African States (ECOWAS), comprising fifteen countries, constitutes an Optimum Currency Area (OCA). The paper uses secondary data obtained from the International Financial Statistics Bulletin, covering the period 1986 to 2003. The Vector Autoregressive (VAR) modelling technique was used to investigate the optimality of the community as a currency area. The study found that shocks to the output growth rate and inflation rates aligned symmetrically. Except for Nigeria and Sierra Leone, shocks to the real exchange rates also aligned symmetrically across countries. However, the degree of openness variable showed asymmetrical disturbance across countries. This paper thus concludes that a low trade link exists among member countries of ECOWAS, traced principally to the fact that these countries’ exports were competitive rather than complementary. The asymmetric disturbance of real exchange rate shocks and the low degree of openness across the countries implied that the sub-region could not effectively form a successful Optimum Currency Area (OCA). Nevertheless, the sub-region exhibits some potential for forming an optimum currency area in the future.

Is Increasing Bank Capital the Solution to Improving Bank Liquidity and Preventing Bank Distress in Nigeria?

This paper examined the relationship between bank liquidity ratio, asset quality, bank distress and bank minimum capital requirement in Nigeria for the period 1990-2006.The study used secondary data obtained from banks financial records, CBN statistical bulletin, NDIC report and International Financial Statistics 2010. The E-view 7 statistical software was used to analyse the data and test the hypotheses .The study found out that (i) there is a positive relationship between minimum capital requirement and liquidity ratio which is not statistically significant (ii)A positive relationship exist between minimum capital requirement and asset quality, though statistically insignificant (iii) A negative relationship exist between minimum capital requirement and number of distressed banks which is also not statistically significant. The study recommends that apart from increasing minimum capital requirement, a closer and regular examination of liquidity ratio and asset quality of banks is required. In addition, other components of banks regulatory reform such as enforcement of code of corporate governance, closer collaboration with anti graft agency (EFCC), zero tolerance on misreporting, adoption of risk-based supervision and host of others should be considered. A holistic reform of this nature is capable of stemming proactively the tide of banks failure/distress as well as improving liquidity ratio and asset quality.

Analysis if the factors affecting exchange rate variability in Pakistan

The Paper examines/analyzed the factors contributing exchange rate vitality in Pakistan. The study was conducted on some major factors contributing to exchange rate volatility, and their relative importance. Annual data for the period 1975-2010 is used, taken from Economic Survey of Pakistan (various issues) and International Financial Statistics. The main variables used to check variability are inflation, Growth rate, imports and exports on exchange rate volatility. Simple Linear Regression model with ordinary least method (OLS) is used to analyze the results. The study revealed that inflation is the main factor affecting exchange rate in Pakistan. The study further show that the second important variable which bring more variation in exchange rate is economic growth, while order of export and import in variation lies at third and fourth position. Based on the finding of the study it is recommended to harmonize fiscal policies with monetary policy first and then make effective link of both these policies with trade policy. For most of the twentieth century, exchange rates have been fixed by government action rather than determined in the marketplace. Before World War I the values of the world's major currencies were fixed in terms of gold, while for a generation after World War II the values of most currencies were fixed in terms of the U.S. dollar. However, some of the world's most important exchange rates change frequently. Equilibrium in exchange rate is determined in the foreign exchange market at a point where demand for and supply of foreign currency equates. Demand for a currency comes from net export while supply of the currency comes from net foreign investment. Any change in demand for and supply of currency effect its value just like a good market that is if demand for a currency increases its value (exchange rate) will be increased while increase in supply of the currency will reduce its value(exchange rate) in the foreign exchange market. Pakistani rupee was linked with British Pound Sterling till 1970 but in 1971 it was linked with US dollar because of the increasing influence of US in the region. Until 1982, The Pakistani Rupee was pegged to the US Dollar. The currency depreciated by 38.5% from 1982-1988, when the government of General Zia-Ul-Haq convert it to Managed float, and again depreciated as a result of bad relationship with donors agencies and trade partners due to nuclear test in 1998. The empirical studies relating to the link between exchange rate variability and its factors are not conclusive. Exchange rates are basically the prices of one currency in terms of other currencies driven by the normal forces of supply and demand. There are a fixed number of Euros, Dollars, Yen, etc issued at any given time (although governments can and do print extra money to buy other currencies and impact their currencies value). As the demand increases or decreases for any single currency, it drives the clearing price for that currency. Zada (2010) studied the factors affecting exchange rate of Pakistan for the period 1979 to 2008. The study used multiple regression model in which exchange rate was taken as dependent variable while Inflation, interest rate, Foreign exchange reserves, trade balance, money supply and Gross Domestic Product were the independent variables. The study showed that Inflation, interest rate and foreign

MACROECONOMIC DETERMINANTS OF NON-PERFORMING LOANS (NPL): EVIDENCE FROM PAKISTAN

This analytical study investigates the determinants of non-performing loan in Pakistan. Secondary data is used in this study. The data is collected through World Bank Databank, international financial statistics and various issues of economic survey of Pakistan. The issue of Non-Performing Loan is one of the clusters of financial problems in Pakistan. No one can deny the importance of financial sector in any economy. In this study we find the macroeconomic factor that surge the NPL. We also suggest some strategies to cutback the non-performing loans. Current study uses the time series data of Pakistan, ranging from 1990 to 2013. Ordinary least square (OLS) method is used to investigate the problem. The dependent variable is non-performing loan and independent variables are exchange rate, interest rate, GDP, share prices, energy crisis, exchange rate and energy crisis. GDP has significant relationship with NPL and interest rate, share prices have insignificant relationships with NPL. A positive link has established between non-performing loans and various independent variables like energy crisis, exchange rate, interest rate, share prices. But on the other hand a negative relationship has been found between dependent variable and GDP.

Financial Development and Economic Growth: A Revised Empirical Study for Ireland

1. Introduction The issue of causal relationship between financial development and economic growth has been an intensive subject of interest for many theoretical and empirical studies (Thalassinos and Kiriazidis, 2003; Thalassinos and Pociovalisteanu, 2007). The main objective of this study is to investigate the causal relationship between economic growth and financial development taking into account the positive effect of industrial production index. Ireland consists one of the most important developed countries of European Union characterized by a high rate of economic growth, a constant monetary and fiscal economic policy and very low inflation and unemployment rates, and a healthy and competitive economy. The negative effects of financial crisis are obvious in an unstable world financial system, which is mainly characterized by an economic instability, while a possible increase of credit risk causes a highly banking uncertainty (Thalassinos et al., 2010). The remainder of the paper proceeds as follows: Initially the data and the specification of the multivariate VAR model are described. For this purpose stationarity test and Johansen cointegration analysis are examined taking into account the estimation of vector error correction model. Finally, Granger causality test is applied in order to find the direction of causality between the examined variables of the estimated model. The empirical results are presented analytically and some discussion issues resulted from this empirical study are developed shortly, while the final conclusions are summarized relatively. 2. Data and Methodology In this study the method of vector autoregressive model (VAR) is adopted to estimate the effects of stock and credit market development on economic growth through the effect of industrial production. The use of this methodology predicts the cumulative effects taking into account the dynamic response among economic growth and the other examined variables Pereira and Hu (2000). In order to test the causal relationships, the following multivariate model is to be estimated [GDP.sub.t] = f([SM.sub.t], [BC.sub.t], [IND.sub.t]) (1) Where: [GDP.sub.t] is the gross domestic product, [SM.sub.t] is the general stock market index, [BC.sub.t] are the domestic bank credits to private sector, [IND.sub.t] is the industrial production index. Relating to the econometric analysis this paper is based on the empirical studies of Chang (2002), Chang and Caudill (2005), Shan (2005), Vazakidis (2006), Vazakidis and Adamopoulos 2009a,b,c). Therefore, this empirical study based on the previous published version on 2010 tries to fill some possible theoretical and empirical gaps estimating a larger data sample taking into account the negative effects of financial crisis the last years. The used data are annual covering the period 1965-2011 for Ireland, regarding 2005 as a base year. All time series data are expressed in their levels and are obtained from International Financial Statistics, (International Monetary Fund, 2012). The selected linear model has better statistical estimations than a logarithmic one. The tested results of the logarithmic model proved to be statistical inferior. Unit root tests: Augmented Dickey-Fuller (ADF) test involves the estimation one of the following equations respectively, Seddighi et al (2000): [[DELTA]X.sub.t] = [[delta]X.sub.t-1] + [p.summation over (j=1)] [[delta].sub.j][[DELTA]X.sub.t-j] + [[epsilon].sub.t] (2) [[DELTA]X.sub.t] = [[alpha].sub.0] + [[delta]X.sub.t-1] + [p.summation over (j=1)] [[delta].sub.j][[DELTA]X.sub.t-j] + [[epsilon].sub.t] (3) [[DELTA]X.sub.t] = [[alpha].sub.0] + [[alpha].sub.1]t + [[delta]X.sub.t-1] + [p.summation over (j=1)] [[delta].sub.j][[DELTA]X.sub.t-j] + [[epsilon].sub.t] (3) If the calculated ADF statistic is higher than McKinnon's critical values, then the null hypothesis ([H. …

An empirical analysis on the law of purchasing power parity and international economic deepening

This article empirically investigates the effect of international trade on the deviation of Purchasing Power Parity (PPP) law and on the international economic deepening in four developed countries (Japan, USA, UK and France), and three Asian developing ones (South Korea, Singapore and Malaysia), using International Financial Statistics (IFS) data issued by International Monetary Fund (IMF). Our results show that in some developed countries the imbalance effect of balance of payments is significant for both international deepening and deviation from PPP, and in some developing countries the volume effect of balance of payments is significant for international deepening.

The Relationship Between Unemployment and Output in Egypt

Okun's law is a key relationship in microeconomics and finds that the relationship implies that a GDP growth by 3% leads to 1% decrease in unemployment Okun (1970). Recently, many studies find that the relationship between GDP and unemployment is not 3% as Okun's law suggests but sometimes it is between 2.5% and 2% (Samuelson and Nordhaus, 1995). This paper tests Okun's coefficient in Egypt. The paper uses co-integration analysis to estimate Okun's coefficient in the long run. and in the short run by using the Error Correction Mechanism (ECM). The analysis depends on annual data from the International Financial Statistics (IFS) published by the IMF for the period 1970-2010. When Okun's law was estimated in Egypt in the long run and short run the coefficient was statically significant with the expected sign.

Exchange Rate Pass-through Estimates for Sukuk Issuing Countries

The aim of the study is to estimate the degree of import and consumer prices exchange rate pass-through for sukuk issuing OIC member countries. Exchange rate pass-through is estimated based on recursive vector autoregresion (VAR) model. Data are yearly covering the period 1970-2010 and are sourced from International Financial Statistics and SESRIC database. The findings indicate that import and consumer prices pass-through increases in the long horizon in the case of Bahrain and Saudi Arabia. Other countries reported low degree of both import and consumer prices pass-through with no discernible patterns. Policymakers and investors might benefits from the findings since pass-through estimates indicate inflation and exchange rate risk exposure particularly for intra-OIC cross-border sukuk issuance.

How has Mobile Phone Penetration Stimulated Financial Development in Africa?

In the first macroeconomic empirical assessment of the relationship between mobile phones and finance, the author examines the correlations between mobile phone penetration and financial development using two conflicting definitions of the financial system in the financial development literature. With the traditional International Financial Statistics (IFS) (2008) definition, mobile phone penetration has a negative correlation with traditional financial intermediary dynamics of depth, activity, and size. However, when a previously missing informal-financial sector component is integrated into the definition, mobile phone penetration has a positive correlation with informal financial development. Three implications result: There is a growing role of informal finance; mobile phone penetration may not be positively assessed at a macroeconomic level by traditional financial development indicators; and it is a wake-up call for scholarly research on informal financial development indicators that will orient monetary policy.

Impact of Misaligned Real Exchange Rate on Economic Performance: A case study of West African Monetary Zone

The study assessed the impact of real exchange rate misalignment on economic performance of WAMZ economies. The study uses Generalised Method of Moment of Dynamic Panel Estimation Method, supported with Cross Country Correlation Approach which comprises Gambia, Ghana, Guinea, Liberia, Nigeria and Sierra Leone covering the period from 2000 commencement of the zone to 2010 from international financial statistics of international monetary fund with aid of quarterly data. The study discovered that the zone experiences asymmetrical correlations between real exchange rate misalignment and economic performance while the inclusion of equilibrium real exchange rate revealed a symmetrical relationship with economic performance. Further revelation in the study happened to be the cross country correlations which unveiled that two countries (Ghana and Nigeria) emerged to have a moderate degree of symmetrical relationship using the study macroeconomic variables of interest, real exchange rate and misaligned real exchange rate.

PENGUJIAN ELASTISITAS HARGA PADA PERMINTAAN UANG DI INDONESIA

Keywords: This study tries to test the price elasticity in money demand of Indonesia, where theory states that the price elasticity of money demand is equal to one in nonmonetary gold standard like Indonesia. The study uses quarterly data run from 1990.1 until 2010.1 or total sample of 81 quarters. The data are obtained from Bank Indonesia and International Financial Statistics of International Monetary Fund (IMF). The study uses ordinary least squares (OLS, generalized least squares (GLS), and generalized autoregressive conditional heteroscedasticity (GARCH) approaches to estimate the money demand function of Indonesia and Wald statistic is used to test the hypothesis of price elasticity of money demand in Indonesia. There are two nominal money demand functions are estimated in this study, narrow money demand function (M1) and broad demand function (M2). All of the coefficients of narrow money demand function are theoretically and statistically significant at 99 percent. Meanwhile, one of the coefficients of broad money demand function is not statistically significant at 95 percent, the coefficient is interest rate. The result shows that the price elasticity of money demand in Indonesia is not equal to one as stated by theory. The result does not support the theory for the case of Indonesia. The model and data in this study are different to previous stuady so the results could be different. Keywords: money demand, price elasticiy, Indonesia, fiat standard.

Estimating the monetary policy reaction function in Egypt

This paper estimates the Egyptian monetary policy reaction function, by applying the Taylor (1993) rule and its open-economy version which employs co-integration analysis to estimate Taylor’s function in the long run. Also, this analysis is concerned with measuring this function in the short run by employing the Error Correction Mechanism (ECM). The analysis relies on the annual data obtained from the International Financial Statistics (IFS) published by the IMF for the period 1970-2007. When the simple Taylor rule was estimated for Egypt, the output gap and inflation coefficients were statistically significant, and their signs were found to be consistent with theoretical rationale. When the open-economy Taylor rule was estimated, the coefficients of the output gap, inflation and exchange rate had statistical significance with the expected signs. Therefore, the inflation rate has played an important role in conducting the Egyptian monetary policy.

A Comparison Of Capital Formation In Industrialized Countries

Capital formation in other industrialized nations requires our attention particularly because of the volatile changes in Europe and the Soviet Union. Using the multiple regression technique on data drawn from International Financial Statistics from 1976 through 1990, this study compares the impact of economic variables namely GNP, money supply, short- and long-term interest rates on capital formation in eight industrialized countries. The Changes in GNP, followed by long term interest rate and money supply, have a greater impact on capital formation than cost of funds as represented by short-term interest rates.

The International Monetary Fund's International Financial Statistics Database

The International Monetary Fund's (IMF) International Financial Statistics (IFS) database is one of several databases offered by the IMF. Providing detailed country financial data, this is an onlin...