Search

This article investigates spillovers from foreign economies to the U.S. through changes in long-term Treasury yields. We document a decline in the contribution of U.S. domestic news to the variance of long-term Treasury yields and an increased importance of overnight yield changes, a proxy for foreign shocks' contribution to U.S. yields. A model that identifies U.S., Euro area, and U.K. shocks that move global yields suggests that foreign shocks account for at least 20% of the daily variation in long-term U.S. yields in recent years. We also document the predictability of long-term U.S. yields by the U.S.–foreign yield spread. [ABSTRACT FROM AUTHOR]

This paper seeks to identify the effect of macroeconomic, industry-specific and bank-specific determinants on the profitability of the Brazilian banking sector. Profitability is measured by return on assets (ROA), return on equity (ROE) and economic value added (EVA). We incorporate in the analysis-independent variables of this sector that have not been considered in previous studies. To address profit persistence, we apply a dynamic panel data model and the GMM technique described by Arellano and Bover (1995) over the quarterly period from 2009Q1 to 2019Q4. The main results show that the macroeconomic variables of credit, activity and interest rate contribute to understanding the determining factors of bank profitability in Brazil. Regarding industry-specific and bank-specific determinants, the total operating expenses to total assets ratio and net interest margin are important determinants of the bank profitability, respectively. Thus, these new macroeconomic variables and industry-specific and bank-specific variables are important drivers to understand banking profitability in Brazil, as well as indicators to be monitored by the monetary authority to ensure the financial health of the banking system. [ABSTRACT FROM AUTHOR]

Purpose -- This study aims to investigate the influence of macroeconomic factors, including economic growth, inflation, the rupiah exchange rate, and interest rates, as well as corporate financial performance indicators such as leverage and profitability, on the stock returns of Indonesian Property and Real Estate Sub-Sector companies. Method -- The research data consists of annual data obtained from the Indonesia Stock Exchange, the Indonesia Central Bureau of Statistics, and Bank Indonesia for the period from 2017 to 2021. The research population comprises 36 Property and Real Estate companies listed on the Indonesia Stock Exchange. Out of these, 28 companies meet the sample requirements. The analysis employs panel data regression to examine the data. Result -- The results indicate that inflation and exchange rates have a negative and statistically significant impact on stock returns. On the other hand, economic growth, interest rates, return on equity, and the debt-to-equity ratio exhibit a positive influence on stock returns, although these effects are not statistically significant. Contribution -- This study's distinctive contribution is its focused analysis of the Property and Real Estate Sub-Sector in Indonesia. It stands out by exploring the intricate relationship between macroeconomic factors and financial performance variables concerning the stock returns of companies within this sub-sector. This nuanced approach provides valuable insights into a specific industry within the Indonesian market, shedding light on previously unexplored dynamics and contributing to a deeper understanding of how these factors affect stock returns in this context. [ABSTRACT FROM AUTHOR]

Copyright of Itobiad: Journal of the Human & Social Science Researches / İnsan ve Toplum Bilimleri Araştırmaları Dergisi is the property of Itobiad: Journal of the Human & Social Science Researches and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Business Consultant / Poslovni Konsultant is the property of FINconsult Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The goal of natural resource damage assessment (NRDA) is to compensate the public for losses to natural resources from past or ongoing hazardous releases, including losses that may persist into the future. Compensation is delivered in the form of restoration projects. Resolving NRDA liability requires balancing losses and restoration benefits over multiple decades and converting them into a present value for calculating appropriate damages. For the past two decades, NRDA practitioners have used a real discount rate of 3 % to convert losses and benefits to a present value equivalent. That rate was based, in part, on real historical yields on risk-free debt (e.g., the real rate of return on 3-month Treasury bills). Declining interest rates on risk-free debt in recent years has led to suggestions to reexamine the historical consensus discount rate. This paper reviews two alternative conceptual paradigms for selecting a discount rate in NRDA cases: the social rate of time preference and discount rates for tort cases. We summarize historical data for empirically implementing the two paradigms and discuss the ramifications of the different options. Based on our review, we suggest maintaining the 3 % consensus as a practical solution to a range of empirical candidates within the two conceptual paradigms. [ABSTRACT FROM AUTHOR]

Purpose: The aim of this briefing is to look at the often overlooked impact of gearing (or leverage) on risk. The positive impact on equity return in a strong market is gained by increasing the overall risk of the investment and potentially negative impacts on returns in weak markets. Design/methodology/approach: This Education Briefing is an explanation of how the addition of individual assets to a portfolio can, with gearing, impact upon the portfolio risk/return profile. Findings: Through a simple example, this briefing shows how geared portfolios can struggle in poor markets when the servicing of the debt (at increased interest rates) can have a severe negative impact upon returns. Practical implications: The process of borrowing at a bank rate below the return rate on an investment project can increase the equity return of the project as long as all incomes and interest rate remain at appropriate levels but when incomes fall or disappear and/or interest rates rise, the implication for the assets return and/or solvency can be highly significant. Originality/value: This is a review of existing models. [ABSTRACT FROM AUTHOR]

Over the past few years, Bitcoin's price has fluctuated significantly, making it a hot topic in finance research. Numerous studies have been conducted to determine whether Bitcoin is a reliable currency. This study aims to investigate how the Dollar Index and Gold Return Rate affect Bitcoin's price, using a non-linear approach with the NARDL method. The findings show that the Gold Return Rate (G) and Dollar Index Return Rate significantly negatively impact Bitcoin's return. Additionally, based on non-linear and asymmetric tests, the assumption of symmetry in the results for all variables, except nominal interest rate and commodity index return, is rejected. This indicates that the impact of the Gold Return Rate, nominal interest rate, fluctuations in the US stock market, and oil price return is asymmetric. These results confirm the non-linear nature of these relationships. They also demonstrate that Bitcoin's return has been able to protect itself to a certain degree against the US dollar or some other investments. [ABSTRACT FROM AUTHOR]

Large-scale decision-making, which involves a large number of participants, is common in practical applications. While cost is a crucial factor in large- scale decision-making, research on minimum cost consensus in group decision-making are mainly focused on a small number of experts. The goal of this paper is to expand the application of minimum cost consensus models to large-scale decision-making problems, and provide an approach for modeling and optimizing the cost in large-scale decision-making. This paper randomly collected a sample of 103 loans from one of the leading U.S. peer-to-peer loan platforms-Lending Club, and constructed several loan consensuses models. The minimum cost of loan consensus and changes of borrowers' group opinions under such scenarios were studied. In addition, we discussed the effects of different loan consensus levels on the adjustments of interest rates and the consensus costs. The results showed that the proposed models can help Lending Club improve the efficiency of loan consensus reaching, and increase the rate of return of lenders. The proposed models provide a new way to coordinate the funds supply and demand of large-scale peer-to-peer lending, and help lenders and borrowers to reach a certain level of consensus on interest rates. [ABSTRACT FROM AUTHOR]

The aim of the study was to investigate the effect of mobile money services on Zambia’s banking sector profitability. Profitability was proxied by Return on equity (ROE) and Gross interest income (GII). Using the Johansen Cointegration approach on quarterly data for the period 2012Q1 to 2021Q4, the results suggest a positive relationship between mobile money services and commercial banks’ profitability. Based on the results, the study recommends that there is need for commercial banks to continuously align their operational models with emergent innovative services in the sector while also appealing to regulators to collectively design regulatory frameworks that are responsive to developing sector trends. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Engineering Management / Gongcheng Guanli Xuebao is the property of Journal of Engineering Management Editorial Office and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Risk‐Adjusted‐Return‐On‐Capital (RAROC) is a loan‐pricing criterion under which a bank sets the loan term such that a certain rate of return is achieved on the regulatory capital required by the Basel regulation. Some banks calculate the amount of regulatory capital for each loan under the standardized approach ("standardized banks," the regulatory capital is proportional to the loan amount), and others under the internal rating‐based (IRB) approach ("IRB banks," the regulatory capital is related to the Value‐at‐Risk of the loan). This article examines the impact of the RAROC criterion on the bank's loan‐pricing decision and the retailer's inventory decision. We find that among the loan terms that satisfy the bank's RAROC criterion, the one that benefits the retailer the most requires the bank to specify an inventory advance rate in addition to the interest rate. Under this loan term, the retailer's inventory level is more sensitive to his asset level when facing an IRB bank compared to a standardized bank. An IRB (standardized) loan leads to higher profit and inventory level for retailers with high (low) asset. For retailers with medium asset, an IRB loan results in a higher retailer profit but a lower consumer welfare. Calibrated numerical study reveals that the benefit of choosing standardized banks (relative to IRB banks) can be as high as 30% for industries with severe capital constraints, volatile demands, and low profit margins, highlighting the importance for retailers to carefully choose the type of banks to borrow from. When the interest rate is capped by regulation, retailers borrowing from a standardized bank are more likely to be influenced by the interest rate cap than those borrowing from an IRB bank. Under strong empire‐building incentives (the bank will offer loan terms to maximize the size of the loan), retailers with medium initial asset level shift their preference from IRB banks to standardized banks. [ABSTRACT FROM AUTHOR]

Purpose: The paper examines the effect of bank-specific, financial structure and macroeconomic factors on the profitability of banks in Asian economies during 1995–2017. Design/methodology/approach: It uses the data of 2,446 banks across 47 Asian countries between 1995 and 2017 (41,582 year observations). The static and dynamic panel generalized methods of moments (GMM) estimation techniques are applied. Findings: The results show that banks that are highly dependent on nontraditional activities have lower net interest revenue and net interest margin but higher return on assets, return on equity and profit before tax. Higher opportunity cost, capitalization, demand deposits and market risk result in a better bank profits. Furthermore, banks with higher loan exposure and growth have more profit. However, nonperforming loans have negative and significant impact on bank profitability. Asian banks do not suffer from diseconomies of scale and scope. The author also finds that banks located in countries with high gross domestic product, inflation rates and high rates of interest or in financially developed economies offer better profits. High credit to the private sector reduces the bank profitability. This study finds evidence to support the structure-conduct-performance (SCP) hypothesis. It also provides evidence that the impact of financial turmoil on the profitability of the Asian banking sector is negative and significant and has severely weakened the Asian banking system. Originality/value: As Asia has become an important economic area and the Asian topic has not earned enough discussions, this paper is the first to examine Asian banks with the latest and a wider range of panel data that cover 2,446 banks at 47 Asian countries over the period 1995–2017. The present study is among the first to address the influence of financial turmoil on bank profitability in this region. It also studies new variables, such as demand deposits, opportunity cost and off-balance sheet activities, which have not been examined in relation to bank profitability. It also applies both static techniques and dynamic panel estimation techniques to analyze the data. [ABSTRACT FROM AUTHOR]

Microfinance institutions play a crucial role in poverty alleviation and provide financial services to low-income households. Microfinance growth rate is quite high in Asia but an undesirable development achieved due to high borrowing cost and inadequate reserves. Capital structure is being affected by lack of funds and interest rates charged by commercial institutions. For microfinance institutions, there is a need to determine a suitable mix of financing to stay sustainable. This study examines the impact of capital structure on the performance of microfinance institutions in Asia. Using a unique unbalanced panel data set of 253 microfinance institutions from 2000 to 2015, performance is measured in terms of sustainability, financial performance, social performance and efficiency. It is evident from the findings that capital structure and micro finance characteristics play a significant role in the performance. Grants to assets increase operational self-sufficiency and debt to equity increases the financial self-sufficiency of microfinance institutions. Microfinance characteristics like borrowers, loan intensity, and size of institutions upsurge sustainability. Banks and NGOs positively affect the financial and social performance of microfinance institutions. Deposit to asset ratio, debt to assets, and debt to equity impact outreach and return on the asset while grants decrease financial self-sufficiency and return on equity. At macroeconomic level, gross domestic product contributes to sustainability and management efficiency. However, inflation declines financial performance. Implications emerge from the findings are a crucial element in the performance of financial institutions. Microfinance institutions should maintain an optimal capital to ensure that their going concern is assured at all times. Therefore, managers should appropriately justify capital structure to stay sustainable. It also provides some managerial suggestions for microfinance institutions that help stakeholders to make decisions. [ABSTRACT FROM AUTHOR]

This paper aims to carry out a preliminary analysis of the arbitrage pricing theory in Argentine capital market, with special emphasis on inflation as a variable of interest for an emerging country, an underdeveloped financial market, and a period under analysis with inflationary trends and exchange market intervention. To that end, we work with a theoretical-empirical method. In order to formulate the model, we make a theoretical approach to the subject, based mainly on scientific articles that examine the relationship between the rate of return on assets and inflation. We focus our empirical analysis in an econometric study of the shares' performance of 19 companies listed on Argentinian capital market in the 2005-2014 period, and the associations with variables of interest, especially macroeconomic ones, also including some control tests with microeconomic variables. The main findings are robust about the effect on firms' performance of the following explanatory variables: risk-free interest rate, market performance, temporary effects of "hinge" periods and sector effects. However, the results are not determinant in reference to the effect of the inflation and the exchange rate variables on stocks' performance. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar is the property of Journal of Financial Politic & Economic Reviews / Finans Politik & Ekomomik Yorumlar and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Purpose: The aim of this study is to comment upon the relatively straightforward but often misunderstood role of gearing (or leverage) on the potential equity return of a property investment portfolio. Design/methodology/approach: This education briefing is an explanation of the how the addition of individual assets to a portfolio can, with gearing, impact upon the portfolio return. Findings: Although, this case study is relatively straightforward, it shows how portfolios can be geared to give enhanced returns at differing, aggregate and levels of risk. Practical implications: The process of borrowing at a bank rate below the return rate on an investment project can increase the equity return of the project as long as all incomes and discount rate remain at appropriate levels. Originality/value: This is a review of existing models. [ABSTRACT FROM AUTHOR]

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1)MBSduration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in nature; and (3) MBS convexity increases interest rate volatility, and this effect has a hump-shaped term structure. [ABSTRACT FROM AUTHOR]