Browsing by Topic Conventional finance::Banking

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Showing results 1 to 8 of 8
  • rolling_regression_analysis_international_transmission_inflation_malaysia_mansor.pdf.jpg
  • Journal Article

  • A rolling regression analysis of international transmission of inflation in Malaysia

    • Authors: Ibrahim, Mansor H. (2009)

  • The paper assesses the transmission of foreign inflationary disturbances for Malaysia. Using quarterly data from 1971 to 2003, we form a four-variable vector error correction model (VECM) consisting of domestic prices, US prices, Ringgit exchange rate and relative interest rate. Apart from the full-sample analysis, recursive and rolling regressions are adopted to examine potential changes in infl ation transmission from the US to Malaysia. As a basis for inferences, we rely on the speed of adjustments estimates as well as the significance of lagged fi rst-differenced terms of the VECM. The results unequivocally suggest significant spillover of US infl ationary disturbances to Malaysia...
  • bank_lending_macroeconomic_conditions_financial_uncertainty_evidence_malaysia_eskandar_mansor.pdf.jpg
  • Journal Article

  • Bank lending, macroeconomic conditions and financial uncertainty: evidence from Malaysia

    • Authors: Ibrahim, Mansor H.; Mohd Rasid, Mohamed Eskandar Shah (2012)

  • In this paper, we examine the interrelations between bank lending, macroeconomic conditions and financial uncertainty for an emerging economy, Malaysia. Adopting time series techniques of cointegration, causality and vector autoregressions (VARs), we arrive at the following main results. We note long run positive relations between real output and both real bank credits and real stock prices. However, with slow adjustment of real output in responses to credit expansion or stock price increase and weak exogeneity of the latter two variables, both credits and stock prices can be persistently higher than their fundamental values. The phenomenon can be detrimental since it heightens market...
  • item.jpg
  • Journal Article

  • Effect of mergers on efficiency and productivity: some evidence for banks in Malaysia

    • Authors: Radam, Alias; Abdul Hamid, Baharom; Awang Marikan, Dayang Affizzah; Ismail, Farhana (2008-06-04)

  • This study is undertaken to investigate the extent to which mergers lead to efficiency by which services are provided to the public and the productivity of Malaysia’s banking institutions sector. The data cover the period 1993 to 2004, which includes the pre-merger years and the post-merger years. This study attempts to evaluate technical efficiency, efficiency change, technical change and productivity of commercial banks, finance companies and merchant banks using a non-parametric Data Envelopment Analysis (DEA) and Malmquist Index approach as the framework for the analyses. It is found that: (1) that on average, productivity across banking institutions increased at annual rate of 5....
  • exchange_rate_interest_rate_thailand_look_traditional_revisionist_views_mansor.pdf.jpg
  • Journal Article

  • Exchange rate and interest rate in Thailand: a look at traditional and revisionist views

    • Authors: Ibrahim, Mansor H. (2009)

  • In this paper, we analyze the traditional-revisionist debate on whether high interest rate can defend the downfall in currency values by allowing for asymmetric responses of exchange to positive and negative changes in the interest rate using Thailand data. Applying an EGARCH specification with long spam of data, we find evidence in support of the revisionist view. Namely, while the decline in the interest rate may lead to currecy depreciation, we find no evidence that high interest rate appreciates the currency. Instead, albeit small in magnitude, high interest rate tends to lead further depreciation. Thus, the policy of high interest rate to defend the currency can be futile and cos...
  • financial_integration_international_capital_mobility_muzafar_sarinder_baharom.pdf.jpg
  • Journal Article

  • Financial integration and international capital mobility: evidence from ASEAN

    • Authors: Habibullah, Muzafar Shah; Kumari, Sarinder; Abdul Hamid, Baharom (2012)

  • This study was conducted to explore the linkages between savings and investment and to further test whether there is any evidence of relationship between financial integration and international capital mobility. The empirical model to test the capital mobility hypothesis applied here employs the panel data approach to the basic regression model used by Feldstein & Horioka (1980). The study covers ASEAN5 and ASEAN+3 (with China, Korea and Japan included). The findings of this study corroborate with other studies that savings and investment are cointegrated and this can be interpreted as a manifestation of the inter-temporal budget constraint rather than evidence of low capital mobility...
  • lending_structure_3-factor_capm_risk_exposures_case_malaysia_aisyah_mansor_kameel.pdf.jpg
  • Journal Article

  • Lending structure and 3-factor CAPM risk exposures: the case of Malaysia

    • Authors: A. Rahman, Aisyah; Ibrahim, Mansor H.; Mydin Meera, Ahamed Kameel (2010)

  • This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market ...
  • pricing_efficiency_3_month_KLIBOR_futures_contracts_empirical_analysis_obiyathulla.pdf.jpg
  • Journal Article

  • Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis

    • Authors: Abdul Razak, Marina; Bacha, Obiyathulla Ismath (2009-03-09)

  • This study is an empirical investigation of the pricing efficiency of Malaysia’s interest rate futures contract, the 3-month Kuala Lumpur Interbank Offered Rates (KLIBOR) futures contract. This article also examines several issues related to pricing efficiency. The study spans the contract’s entire 10-year history, June 1996 to June 2006. In line with findings in other markets, we find a pre-ponderance of overpricing. Almost 80% of the mispricing constituted overpricing of the futures contract. Mean overpricing was 8 basis points. Our results lend support to the hypothesis that there may be a ‘Futures Habitat Premium’. Underpricing, though less frequent was of a larger magnitude and h...
  • trade_sustainability_forestry_domain_case_malaysia_baharom.pdf.jpg
  • Journal Article

  • Trade sustainability in the forestry domain: the case of Malaysia

    • Authors: Alias, Emmy Farha; Abdul Hamid, Baharom; Radam, Alias; Ismail, Illisriyani (2009-12-01)

  • This study was undertaken to explore the relationship between export and import, in the category of Forestry domain for Malaysia, which includes sub domain (1) industrial roundwood; (2) wood pulp; (3) wood fuel; (4) paper and paper board; (5) sawn wood; (6) recovered paper and (7) wood base panel. Johansen (1991) cointegration method was employed and the period of the study covers annual data from 1961 to 2007. The results clearly show that the export and import of forestry domain is highly cointegrated. This shows trade is indeed sustainable in the domain of forestry and a sign of good trade policies adapted and implemented by the relevant authorities Bi-directional granger causality...

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Browsing by Topic Conventional finance::Banking

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 8 of 8
  • rolling_regression_analysis_international_transmission_inflation_malaysia_mansor.pdf.jpg
  • Journal Article

  • A rolling regression analysis of international transmission of inflation in Malaysia

    • Authors: Ibrahim, Mansor H. (2009)

  • The paper assesses the transmission of foreign inflationary disturbances for Malaysia. Using quarterly data from 1971 to 2003, we form a four-variable vector error correction model (VECM) consisting of domestic prices, US prices, Ringgit exchange rate and relative interest rate. Apart from the full-sample analysis, recursive and rolling regressions are adopted to examine potential changes in infl ation transmission from the US to Malaysia. As a basis for inferences, we rely on the speed of adjustments estimates as well as the significance of lagged fi rst-differenced terms of the VECM. The results unequivocally suggest significant spillover of US infl ationary disturbances to Malaysia...
  • bank_lending_macroeconomic_conditions_financial_uncertainty_evidence_malaysia_eskandar_mansor.pdf.jpg
  • Journal Article

  • Bank lending, macroeconomic conditions and financial uncertainty: evidence from Malaysia

    • Authors: Ibrahim, Mansor H.; Mohd Rasid, Mohamed Eskandar Shah (2012)

  • In this paper, we examine the interrelations between bank lending, macroeconomic conditions and financial uncertainty for an emerging economy, Malaysia. Adopting time series techniques of cointegration, causality and vector autoregressions (VARs), we arrive at the following main results. We note long run positive relations between real output and both real bank credits and real stock prices. However, with slow adjustment of real output in responses to credit expansion or stock price increase and weak exogeneity of the latter two variables, both credits and stock prices can be persistently higher than their fundamental values. The phenomenon can be detrimental since it heightens market...
  • item.jpg
  • Journal Article

  • Effect of mergers on efficiency and productivity: some evidence for banks in Malaysia

    • Authors: Radam, Alias; Abdul Hamid, Baharom; Awang Marikan, Dayang Affizzah; Ismail, Farhana (2008-06-04)

  • This study is undertaken to investigate the extent to which mergers lead to efficiency by which services are provided to the public and the productivity of Malaysia’s banking institutions sector. The data cover the period 1993 to 2004, which includes the pre-merger years and the post-merger years. This study attempts to evaluate technical efficiency, efficiency change, technical change and productivity of commercial banks, finance companies and merchant banks using a non-parametric Data Envelopment Analysis (DEA) and Malmquist Index approach as the framework for the analyses. It is found that: (1) that on average, productivity across banking institutions increased at annual rate of 5....
  • exchange_rate_interest_rate_thailand_look_traditional_revisionist_views_mansor.pdf.jpg
  • Journal Article

  • Exchange rate and interest rate in Thailand: a look at traditional and revisionist views

    • Authors: Ibrahim, Mansor H. (2009)

  • In this paper, we analyze the traditional-revisionist debate on whether high interest rate can defend the downfall in currency values by allowing for asymmetric responses of exchange to positive and negative changes in the interest rate using Thailand data. Applying an EGARCH specification with long spam of data, we find evidence in support of the revisionist view. Namely, while the decline in the interest rate may lead to currecy depreciation, we find no evidence that high interest rate appreciates the currency. Instead, albeit small in magnitude, high interest rate tends to lead further depreciation. Thus, the policy of high interest rate to defend the currency can be futile and cos...
  • financial_integration_international_capital_mobility_muzafar_sarinder_baharom.pdf.jpg
  • Journal Article

  • Financial integration and international capital mobility: evidence from ASEAN

    • Authors: Habibullah, Muzafar Shah; Kumari, Sarinder; Abdul Hamid, Baharom (2012)

  • This study was conducted to explore the linkages between savings and investment and to further test whether there is any evidence of relationship between financial integration and international capital mobility. The empirical model to test the capital mobility hypothesis applied here employs the panel data approach to the basic regression model used by Feldstein & Horioka (1980). The study covers ASEAN5 and ASEAN+3 (with China, Korea and Japan included). The findings of this study corroborate with other studies that savings and investment are cointegrated and this can be interpreted as a manifestation of the inter-temporal budget constraint rather than evidence of low capital mobility...
  • lending_structure_3-factor_capm_risk_exposures_case_malaysia_aisyah_mansor_kameel.pdf.jpg
  • Journal Article

  • Lending structure and 3-factor CAPM risk exposures: the case of Malaysia

    • Authors: A. Rahman, Aisyah; Ibrahim, Mansor H.; Mydin Meera, Ahamed Kameel (2010)

  • This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market ...
  • pricing_efficiency_3_month_KLIBOR_futures_contracts_empirical_analysis_obiyathulla.pdf.jpg
  • Journal Article

  • Pricing efficiency of the 3-month KLIBOR futures contracts: an empirical analysis

    • Authors: Abdul Razak, Marina; Bacha, Obiyathulla Ismath (2009-03-09)

  • This study is an empirical investigation of the pricing efficiency of Malaysia’s interest rate futures contract, the 3-month Kuala Lumpur Interbank Offered Rates (KLIBOR) futures contract. This article also examines several issues related to pricing efficiency. The study spans the contract’s entire 10-year history, June 1996 to June 2006. In line with findings in other markets, we find a pre-ponderance of overpricing. Almost 80% of the mispricing constituted overpricing of the futures contract. Mean overpricing was 8 basis points. Our results lend support to the hypothesis that there may be a ‘Futures Habitat Premium’. Underpricing, though less frequent was of a larger magnitude and h...
  • trade_sustainability_forestry_domain_case_malaysia_baharom.pdf.jpg
  • Journal Article

  • Trade sustainability in the forestry domain: the case of Malaysia

    • Authors: Alias, Emmy Farha; Abdul Hamid, Baharom; Radam, Alias; Ismail, Illisriyani (2009-12-01)

  • This study was undertaken to explore the relationship between export and import, in the category of Forestry domain for Malaysia, which includes sub domain (1) industrial roundwood; (2) wood pulp; (3) wood fuel; (4) paper and paper board; (5) sawn wood; (6) recovered paper and (7) wood base panel. Johansen (1991) cointegration method was employed and the period of the study covers annual data from 1961 to 2007. The results clearly show that the export and import of forestry domain is highly cointegrated. This shows trade is indeed sustainable in the domain of forestry and a sign of good trade policies adapted and implemented by the relevant authorities Bi-directional granger causality...