107 results on '"REPO RATE"'
Search Results
2. Impact of Operational Decisions of RBI on Indian Economy - An Evaluation of Select Instruments.
- Author
-
Sandeep, Dubey and Ch, Suresh Chandra
- Subjects
COVID-19 pandemic ,ECONOMIC development ,DECISION making - Abstract
The current economic scenario of various countries across the world are hugely suffered from the set back issues such as War incidents, global recession, downward trend of economic growth and uncertainty caused due to COVID-19. The outlook for growth and inflation are both at risk from lingering conflict and sanctions, high oil and commodity prices, protracted supply-chain disruptions, amplified global financial market volatility resulting from monetary policy changes in major economies and new COVID-19 outbreaks in India. During 2021-2022, excess liquidity conditions and the external benchmark-based pricing of variable rate loans significantly improved monetary transmission. The bulk of the industries saw an increase in interest rates on existing loans. With the support of conventional and unconventional liquidity measures, RBI has supported the banks to maintain orderly market conditions while boosting mood on the financial markets. In view of the existing scenario, the research paper critically examines the trends in instruments used by RBI to control the flow of deposits and money circulation among the banks with a main aim to reduce the negative effects of economic down turn. In this paper, an attempt is made to evaluate the impact of financial instruments of RBI on Indian Economy. The paper further examines the influence of the select instruments (i.e., Repo Rate, Reverse Repo Rate, Cash Reserve Ratio) on Inflation rate, GDP and Unemployment rate. The study is descriptive research oriented. Secondary sources of data extracted from RBI; World Bank data holds major part of the present research paper. [ABSTRACT FROM AUTHOR]
- Published
- 2022
3. The Republic of Serbia repo market
- Author
-
Jeremić Ivana
- Subjects
repo market ,monetary policy repo instrument ,repo transaction ,reverse repo transaction ,referent interest rate ,repo rate ,collateral ,Finance ,HG1-9999 - Abstract
The purpose of this paper is to analyze the following aspects of the Republic of Serbia repo market: legislative frame in order to identify all documents related to repo market, the main repo market features and its role, institutional frame and participants, determination of the scope of the domestic repo market, the way of negotiating, processing and settlement of repo transaction, acceptable collaterals in the securities form, price aspects of repo transactions, transaction costs of completing repo transaction and suggestions for the improvement of this market. After analysing the facts, it is to be expected to gain ability to project future development trends of this segment of financial markets which has already become international.
- Published
- 2021
- Full Text
- View/download PDF
4. Role of Repo Rate in Indian Monetary Policy Since 2014
- Author
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Asbe, Chetana
- Published
- 2019
- Full Text
- View/download PDF
5. REPO TRŽIŠTE REPUBLIKE SRBIJE.
- Author
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Jeremić, Ivana
- Abstract
Copyright of Bankarstvo Magazine is the property of Association of Serbian Banks 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.)
- Published
- 2021
- Full Text
- View/download PDF
6. Can the South African Reserve Bank (SARB) protect the interest earnings of savers/investors? A new look at Fisher's hypothesis.
- Author
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Mbekeni, Lutho and Phiri, Andrew
- Abstract
In this paper, we evaluate whether the South African Reserve Bank (SARB) has been successful at fulfilling its mandate of protecting the purchasing power of the country's citizens. To this end, we use quarterly data covering the post-inflation targeting era of 2002:Q1 to 2019:Q4 to re-examine Fisher's hypothesis for the South African economy by testing for stationarity in real interest rates. Our study makes three noteworthy empirical contributions. Firstly, we use survey-data measures of inflation expectations for different market participants in computing the real interest rate variable. Secondly, our inflation expectations variables are constructed in alignment with the inflation forecast horizons of 12–24 months as practiced by the SARB. Thirdly, we rely on the more powerful flexible Fourier unit root test in testing for integration properties of the real exchange rate. All-in-all, our findings highlight the Reserve Bank's success in protecting the purchasing power of different economic agents particularly for periods subsequent to the crisis. Policy recommendations are also provided. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
7. Repo Rate, Inflation and Growth: The Way Forward
- Author
-
Misra, Satya Narayan
- Published
- 2019
- Full Text
- View/download PDF
8. Transitory and Permanent Components of the Exchange Rate Volatility
- Author
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Ndou, Eliphas, Gumata, Nombulelo, Ncube, Mthuli, Ndou, Eliphas, Gumata, Nombulelo, and Ncube, Mthuli
- Published
- 2017
- Full Text
- View/download PDF
9. Foreign GDP Growth Uncertainty Shocks and the South African Economy
- Author
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Ndou, Eliphas, Gumata, Nombulelo, Ncube, Mthuli, Ndou, Eliphas, Gumata, Nombulelo, and Ncube, Mthuli
- Published
- 2017
- Full Text
- View/download PDF
10. A Study on Influence of selected Macro Economic Variables on Bombay Stock Exchange (Special Reference to Bombay Stock Exchange Bankex)
- Author
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Kumar, L. Vijaya and Balaguru, R.
- Published
- 2017
- Full Text
- View/download PDF
11. Monetary Policy Transmission: Cointegration and Vector Error Correction Analysis
- Author
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Pandit, B. L. and Pandit, B. L.
- Published
- 2015
- Full Text
- View/download PDF
12. Inflation a hidden tax and its relative impact on Indian economy and banking system
- Author
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Zafar, S M Tariq, Hmedat, Waleed, and Maqbool, Adeel
- Published
- 2016
- Full Text
- View/download PDF
13. The Effect of Conventional Monetary Policy on Stock Market Prices in Sweden : Stock Market Reaction to Announcements of Repo Rate Changes Made by the Swedish Central Bank
- Abstract
The reaction of asset prices to monetary policy is essential for investors andpolicymakers. However, previous research on the area in Sweden is limited, and there isno evidence of any impact on stock market prices from repo rate changes. This study estimates how stock market indices respond to repo rate changes, including different sector indices. The repo rate is the primary interest rate tool for the Swedish central bank. The utilised methodology is based on previous studies and follows a regression methodology. The paper's findings are that some sectoral stock market indices are affected by changes in repo rate. Bank and Financial sector indexes are positivelyaffected, while Health, Technology, Construction & Materials, Mid Cap, Small Cap,and Financial Services indices are negative. The result is estimated using two different variables for expectations of repo rate changes. The results are justified using a larger sample, including all monetary policy meetings. The results do only have a slight change in coefficients. This paper can be used to further investigate the impact of monetary policy on asset prices in Sweden.
- Published
- 2022
14. Determinants of Mergers & Acquisitions Activity : A quantitative study on public Swedish firms
- Abstract
This study investigates the effect of monetary policy, focusing on repo rate and the expansion of QE programs, on Mergers and Acquisitions activity in publicly listed companies on the Swedish Stock Exchange. The study also investigates whether there are significant relationships between companies’ acquisition activity, their solvency or liquidity ratios. Additionally, the observed firms are categorized into industries to enable examination of differences between industries. The thesis aims at expanding the knowledge of determinant factors in explaining M&A activity on the Swedish market. To adequately determine the influencing factors on activity, 27 years of data was collected on acquiring Swedish firms from the Eikon database. In addition, data for the calculations of solvency and liquidity ratios were gathered from the same database. Data for the monetary policy variables were gathered from the Swedish Central Bank. A deductive quantitative method was used to analyze the various relationships between the studied variables. The study concluded significant correlation between monetary policy and M&A activity, company solvency and M&A activity as well as corporate liquidity and M&A activity. The correlation was negative in all cases except for quantitative easing which opens up for an interesting discussion. Observed industries gave a mixed result in terms of significant relationships but the result also indicate that pro-cyclical industries tend to be more affected by monetary policy than non-cyclicals. All of the above-mentioned relationships are further discussed from the perspective of various theories that both agree and disagree with the findings of this study. The authors believe that these results will give stakeholders a more in-depth knowledge and understanding of M&A activity and M&As in general. This study contributes knowledge to enable more sustainable business administration and management of companies.
- Published
- 2022
15. The Effect of Conventional Monetary Policy on Stock Market Prices in Sweden : Stock Market Reaction to Announcements of Repo Rate Changes Made by the Swedish Central Bank
- Abstract
The reaction of asset prices to monetary policy is essential for investors andpolicymakers. However, previous research on the area in Sweden is limited, and there isno evidence of any impact on stock market prices from repo rate changes. This study estimates how stock market indices respond to repo rate changes, including different sector indices. The repo rate is the primary interest rate tool for the Swedish central bank. The utilised methodology is based on previous studies and follows a regression methodology. The paper's findings are that some sectoral stock market indices are affected by changes in repo rate. Bank and Financial sector indexes are positivelyaffected, while Health, Technology, Construction & Materials, Mid Cap, Small Cap,and Financial Services indices are negative. The result is estimated using two different variables for expectations of repo rate changes. The results are justified using a larger sample, including all monetary policy meetings. The results do only have a slight change in coefficients. This paper can be used to further investigate the impact of monetary policy on asset prices in Sweden.
- Published
- 2022
16. Determinants of Mergers & Acquisitions Activity : A quantitative study on public Swedish firms
- Abstract
This study investigates the effect of monetary policy, focusing on repo rate and the expansion of QE programs, on Mergers and Acquisitions activity in publicly listed companies on the Swedish Stock Exchange. The study also investigates whether there are significant relationships between companies’ acquisition activity, their solvency or liquidity ratios. Additionally, the observed firms are categorized into industries to enable examination of differences between industries. The thesis aims at expanding the knowledge of determinant factors in explaining M&A activity on the Swedish market. To adequately determine the influencing factors on activity, 27 years of data was collected on acquiring Swedish firms from the Eikon database. In addition, data for the calculations of solvency and liquidity ratios were gathered from the same database. Data for the monetary policy variables were gathered from the Swedish Central Bank. A deductive quantitative method was used to analyze the various relationships between the studied variables. The study concluded significant correlation between monetary policy and M&A activity, company solvency and M&A activity as well as corporate liquidity and M&A activity. The correlation was negative in all cases except for quantitative easing which opens up for an interesting discussion. Observed industries gave a mixed result in terms of significant relationships but the result also indicate that pro-cyclical industries tend to be more affected by monetary policy than non-cyclicals. All of the above-mentioned relationships are further discussed from the perspective of various theories that both agree and disagree with the findings of this study. The authors believe that these results will give stakeholders a more in-depth knowledge and understanding of M&A activity and M&As in general. This study contributes knowledge to enable more sustainable business administration and management of companies.
- Published
- 2022
17. Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data.
- Author
-
May, Cyril, Farrell, Greg, and Rossouw, Jannie
- Subjects
SOUTH African economy ,MONETARY policy ,MARKET volatility ,FINANCIAL risk ,FOREIGN exchange rates ,DEVELOPING countries - Abstract
Abstract: This paper examines the temporal effect of domestic monetary policy surprises on both returns and volatility of returns of the South African rand/U.S. dollar exchange rate. The analysis in this “event study” proceeds using intra‐day minute‐by‐minute exchange rate data, repo rate data from the South African Reserve Bank's scheduled monetary policy announcements, and market consensus repo rate forecasts. A carefully selected sample over the period August 2003 to November 2017 ensures that the change in monetary policy is exogenous to the exchange rate. We find statistically and economically significant responses in intra‐day high‐frequency South African rand/U.S. dollar exchange rate returns and volatility of exchange rate returns to domestic interest rate surprises, but anticipated changes have no bearing on exchange rate returns and their volatility. The empirical results also indicate that there is an instantaneous response of the rand/dollar exchange rate to monetary policy surprises and that monetary policy news is an important determinant of the exchange rate until at least 42 minutes after the pronouncement – suggesting a high degree of market “efficiency” in its mechanical sense (although not necessarily in the deeper economic‐informational sense) in processing this information. Essentially, the asymmetric GARCH results exhibit no leverage effects – positive and negative information shocks have symmetric effects on conditional variance. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
18. Monetary Policy Announcements and Stock Returns: Some Further Evidence from India
- Author
-
Khuntia, Sashikanta and Hiremath, Gourishankar S.
- Published
- 2019
- Full Text
- View/download PDF
19. The Effect of Conventional Monetary Policy on Stock Market Prices in Sweden : Stock Market Reaction to Announcements of Repo Rate Changes Made by the Swedish Central Bank
- Author
-
Davidsson, Viktor
- Subjects
asset prices ,Economics ,monetary policy ,policy rate ,repo rate ,Nationalekonomi ,stock market - Abstract
The reaction of asset prices to monetary policy is essential for investors andpolicymakers. However, previous research on the area in Sweden is limited, and there isno evidence of any impact on stock market prices from repo rate changes. This study estimates how stock market indices respond to repo rate changes, including different sector indices. The repo rate is the primary interest rate tool for the Swedish central bank. The utilised methodology is based on previous studies and follows a regression methodology. The paper's findings are that some sectoral stock market indices are affected by changes in repo rate. Bank and Financial sector indexes are positivelyaffected, while Health, Technology, Construction & Materials, Mid Cap, Small Cap,and Financial Services indices are negative. The result is estimated using two different variables for expectations of repo rate changes. The results are justified using a larger sample, including all monetary policy meetings. The results do only have a slight change in coefficients. This paper can be used to further investigate the impact of monetary policy on asset prices in Sweden.
- Published
- 2022
20. Determinants of Mergers & Acquisitions Activity : A quantitative study on public Swedish firms
- Author
-
Johnson, Hjalmar and Scherstén, Carl
- Subjects
liquidity ,industry ,trade-off theory ,activity ,quantitative easing ,monetary policy ,agency theory ,repo rate ,solvency ,pecking-order theory ,mergers & acquisitions ,Business Administration ,Företagsekonomi - Abstract
This study investigates the effect of monetary policy, focusing on repo rate and the expansion of QE programs, on Mergers and Acquisitions activity in publicly listed companies on the Swedish Stock Exchange. The study also investigates whether there are significant relationships between companies’ acquisition activity, their solvency or liquidity ratios. Additionally, the observed firms are categorized into industries to enable examination of differences between industries. The thesis aims at expanding the knowledge of determinant factors in explaining M&A activity on the Swedish market. To adequately determine the influencing factors on activity, 27 years of data was collected on acquiring Swedish firms from the Eikon database. In addition, data for the calculations of solvency and liquidity ratios were gathered from the same database. Data for the monetary policy variables were gathered from the Swedish Central Bank. A deductive quantitative method was used to analyze the various relationships between the studied variables. The study concluded significant correlation between monetary policy and M&A activity, company solvency and M&A activity as well as corporate liquidity and M&A activity. The correlation was negative in all cases except for quantitative easing which opens up for an interesting discussion. Observed industries gave a mixed result in terms of significant relationships but the result also indicate that pro-cyclical industries tend to be more affected by monetary policy than non-cyclicals. All of the above-mentioned relationships are further discussed from the perspective of various theories that both agree and disagree with the findings of this study. The authors believe that these results will give stakeholders a more in-depth knowledge and understanding of M&A activity and M&As in general. This study contributes knowledge to enable more sustainable business administration and management of companies.
- Published
- 2022
21. Effectiveness of monetary policies : A study of the Swedish repo rate between 1994 and 2019
- Abstract
The repo rate, which is the key interest rate, set by the central banks has been declining for many years and hitting zero in Sweden in late 2014. We analyse the effectiveness on the economy from a change in the repo rate, comparing two time periods with high and low repo rate environments. We use quarterly data on GDP and its components, between 1994 and 2019. For analysing the effectiveness, we use multiple Auto Regressive Distributed Lag (ARDL) modelling to compute a total of 12 models. In our findings, we saw that the effectiveness of a change in repo rate has been increased in the low repo rate environment, making it harder to increase the rate without harming the economy but also increasing the effect of a decrease in the repo rate. Also, we found that the investment component of GDP may exhibit extra high effectiveness in the low repo rate environment. This method of analysing the repo rates impact on the economy could be used for decision makers regarding monetary policies.
- Published
- 2020
22. Repo Rates and Private Consumption in Sweden from 1995-2019 : An analysis of negative repo rates with regards to private consumption
- Abstract
The aim of this thesis is to examine whether repo rates have any impact on private consumption in Sweden. After the financial crisis in 2008, the repo rates in some periods become negative. Whether negative repo rates have impact on private consumption is an additional analysis in the thesis. In the theoretical framework the IS-LM model and some explicit hypothesis are derived. In the empirical part, data for repo rate, income, inflation and saving in Sweden are collected from 1995 to 2019 with a time unit of quarterly data. With the collected data one multiple linear regression is estimated and one additional test where the same model is modified with a dummy variable that isolates the periods with negative repo rates. In line with the theoretical prediction, the first multiple linear regression result exhibits that the repo rate has statistically significant negative impact on private consumption. The second multiple linear regression with the dummy variable shows that the impact of negative repo rates is not different from positive repo rate. Limitations and shortcomings are discussed in the section limitations and weaknesses.
- Published
- 2020
23. The Effects of Monetary Adjustment on the Swedish Stock Market : An Event Study Analyzing the Effects of Monetary Changes in the Repo Rate Set by The Swedish Central Bank on the Stock Market.
- Abstract
Between the years 2007 and 2019 Riksbanken, the Swedish central bank, have changed the repo rate 75 different times. This thesis will answer if these changes have an effect on the Swedish stock market for two specific sectors, the bank- and the real estate sector. With the use of the event study method to calculate the average abnormal return and cumulative average abnormal return. The objective of this paper is to find out whether a change has or has not had an effect on the Swedish stock market for the sectors. The results are significant for both sectors, when Riksbanken decides to decrease the repo rate, which says that there is an effect on our sectors’ stock prices. However, the results are only significant for the bank sector when it comes to increases in the repo rate.
- Published
- 2020
24. Effectiveness of monetary policies : A study of the Swedish repo rate between 1994 and 2019
- Abstract
The repo rate, which is the key interest rate, set by the central banks has been declining for many years and hitting zero in Sweden in late 2014. We analyse the effectiveness on the economy from a change in the repo rate, comparing two time periods with high and low repo rate environments. We use quarterly data on GDP and its components, between 1994 and 2019. For analysing the effectiveness, we use multiple Auto Regressive Distributed Lag (ARDL) modelling to compute a total of 12 models. In our findings, we saw that the effectiveness of a change in repo rate has been increased in the low repo rate environment, making it harder to increase the rate without harming the economy but also increasing the effect of a decrease in the repo rate. Also, we found that the investment component of GDP may exhibit extra high effectiveness in the low repo rate environment. This method of analysing the repo rates impact on the economy could be used for decision makers regarding monetary policies.
- Published
- 2020
25. Repo Rates and Private Consumption in Sweden from 1995-2019 : An analysis of negative repo rates with regards to private consumption
- Abstract
The aim of this thesis is to examine whether repo rates have any impact on private consumption in Sweden. After the financial crisis in 2008, the repo rates in some periods become negative. Whether negative repo rates have impact on private consumption is an additional analysis in the thesis. In the theoretical framework the IS-LM model and some explicit hypothesis are derived. In the empirical part, data for repo rate, income, inflation and saving in Sweden are collected from 1995 to 2019 with a time unit of quarterly data. With the collected data one multiple linear regression is estimated and one additional test where the same model is modified with a dummy variable that isolates the periods with negative repo rates. In line with the theoretical prediction, the first multiple linear regression result exhibits that the repo rate has statistically significant negative impact on private consumption. The second multiple linear regression with the dummy variable shows that the impact of negative repo rates is not different from positive repo rate. Limitations and shortcomings are discussed in the section limitations and weaknesses.
- Published
- 2020
26. The Effects of Monetary Adjustment on the Swedish Stock Market : An Event Study Analyzing the Effects of Monetary Changes in the Repo Rate Set by The Swedish Central Bank on the Stock Market.
- Abstract
Between the years 2007 and 2019 Riksbanken, the Swedish central bank, have changed the repo rate 75 different times. This thesis will answer if these changes have an effect on the Swedish stock market for two specific sectors, the bank- and the real estate sector. With the use of the event study method to calculate the average abnormal return and cumulative average abnormal return. The objective of this paper is to find out whether a change has or has not had an effect on the Swedish stock market for the sectors. The results are significant for both sectors, when Riksbanken decides to decrease the repo rate, which says that there is an effect on our sectors’ stock prices. However, the results are only significant for the bank sector when it comes to increases in the repo rate.
- Published
- 2020
27. The Empirical Research Based on the Choice of the Benchmark Interest Rate in Our Country's Money Market.
- Author
-
Zhang, Zhao Jun
- Abstract
The choice of benchmark interest rate is an important part of interest rate marketization and financial market reform in our country. When choosing benchmark interest rate, we must adhere to principles of marketability, fundamentality, reasonable term structure, stability, immunity, conductivity, fundamentality and correlation. This paper selects SHIBOR and Repo Rate with regard to international experience and China's reality. Then we test whether these two rates meet principles above by descriptive analysis, ADF test, impulse response analysis, Granger Causality test and correlation analysis. Empirical results show that SHIBOR is superior to Repo Rate with regarding to fundamentality and correlation, however, this advantage is not significant. This paper suggests that we can cultivate the two rates simultaneously, and select the appropriate rate as the benchmark rate according to the future development prospects. [ABSTRACT FROM PUBLISHER]
- Published
- 2012
- Full Text
- View/download PDF
28. THE REACTION FUNCTION OF THREE CENTRAL BANKS OF VISEGRAD GROUP.
- Author
-
Arlt, Josef and Mandel, Martin
- Subjects
CENTRAL banking industry ,BANKING industry - Abstract
The article analyzes the reaction function of the central banks of the Visegrad Group namely the Czech National Bank (CNB), the National Bank of Poland (NBP) and the Magyar Nemzeti Bank (MNB) for period January 1999 to April 2012 in order to formulate and verify an econometric backward looking model of the monetary policy rule. Topics discussed include an overview of research aimed at countries in Central Europe and the construction of an econometric model of the monetary policy rule.
- Published
- 2014
- Full Text
- View/download PDF
29. MONETARY POLICY EFFICIENCY IN CONDITIONS OF EXCESS LIQUIDITY WITHDRAWAL.
- Author
-
Mandel, Martin and Tomšik, Vladimir
- Subjects
CENTRAL banking industry ,LIQUIDITY (Economics) ,MONETARY policy ,BANKING industry ,INTEREST rates - Abstract
The article presents a paper which was focused on analyzing the effect of liquidity withdrawal by the central banks of Czech Republic on the monetary policies that are based on repo operations. A microeconomic model has been developed for determining the behavior of commercial banks as it will help in defining the interest rate policies of central banks.
- Published
- 2014
- Full Text
- View/download PDF
30. COVID-19 WILL LEAD TO INCREASED CRIME RATES IN INDIA
- Author
-
Pradyumna Uppal
- Subjects
Government ,COVID-19 ,Unemployment Rate ,Income Level ,Repo Rate ,Economic Crisis ,Arrest Rate ,Social distance ,media_common.quotation_subject ,05 social sciences ,Law enforcement ,Recession ,Political science ,0502 economics and business ,Economic recovery ,Development economics ,Pandemic ,050207 economics ,Curfew ,China ,050203 business & management ,media_common - Abstract
The first ever Coronavirus outbreak was identified in Wuhan, Hubei, China in December 2019 and was recognized as a pandemic by the World Health Organization (WHO) on 11 March 2020. The cases of COVID-19 (Coronavirus Disease 2019) are increasing exponentially around the globe. Various measures like Social Distancing, Complete lockdown and Curfew are seen in the likes of India, China, Italy among others. India, as a nation, got an opportunity to learn from their experiences and initiated a complete lockdown in the whole country until the end of April. The economies around the world got hit by such lockdowns due to which, as many economists predict, a recession seems inevitable. The unemployment rate will likely increase and people will be left with less disposable incomes, paving the way for an economic crisis. With the experience of major crisis in the past, we have noticed that the crime rates in and post such situations tend to increase. The situation with the law enforcement organization needs to be handled with care and caution if India and other countries hope to bounce back strongly. This paper has studied the past economic recessions and changes in crime rate during and post economic recovery. It also aims to enlist a variety of measures that the government of India is taking to fight the crisis arising due to COVID-19 along with some suggestions to control the situation afterwards.
- Published
- 2020
31. Repo Rates and Private Consumption in Sweden from 1995-2019 : An analysis of negative repo rates with regards to private consumption
- Author
-
Söderström Hallberg, Jacob and Xu, Zixuan
- Subjects
Negative interest rates ,Repo rate ,Private Consumption ,Economics ,IS-LM model ,Nationalekonomi - Abstract
The aim of this thesis is to examine whether repo rates have any impact on private consumption in Sweden. After the financial crisis in 2008, the repo rates in some periods become negative. Whether negative repo rates have impact on private consumption is an additional analysis in the thesis. In the theoretical framework the IS-LM model and some explicit hypothesis are derived. In the empirical part, data for repo rate, income, inflation and saving in Sweden are collected from 1995 to 2019 with a time unit of quarterly data. With the collected data one multiple linear regression is estimated and one additional test where the same model is modified with a dummy variable that isolates the periods with negative repo rates. In line with the theoretical prediction, the first multiple linear regression result exhibits that the repo rate has statistically significant negative impact on private consumption. The second multiple linear regression with the dummy variable shows that the impact of negative repo rates is not different from positive repo rate. Limitations and shortcomings are discussed in the section limitations and weaknesses.
- Published
- 2020
32. The Effects of Monetary Adjustment on the Swedish Stock Market : An Event Study Analyzing the Effects of Monetary Changes in the Repo Rate Set by The Swedish Central Bank on the Stock Market
- Author
-
Blomberg, Maja and Forell, Lukas
- Subjects
Average Abnormal Return and Cumulative Average Abnormal Return ,Event study ,Economics ,Repo Rate ,Real Estate sector ,Swedish central bank ,Bank sector ,Swedish Stock Market ,Nationalekonomi ,Riksbanken - Abstract
Between the years 2007 and 2019 Riksbanken, the Swedish central bank, have changed the repo rate 75 different times. This thesis will answer if these changes have an effect on the Swedish stock market for two specific sectors, the bank- and the real estate sector. With the use of the event study method to calculate the average abnormal return and cumulative average abnormal return. The objective of this paper is to find out whether a change has or has not had an effect on the Swedish stock market for the sectors. The results are significant for both sectors, when Riksbanken decides to decrease the repo rate, which says that there is an effect on our sectors’ stock prices. However, the results are only significant for the bank sector when it comes to increases in the repo rate.
- Published
- 2020
33. Effectiveness of monetary policies : A study of the Swedish repo rate between 1994 and 2019
- Author
-
Bjerknesli, Christoffer
- Subjects
Economics ,auto regressive distributed lag model ,monetary policies ,effectiveness ,repo rate ,Nationalekonomi ,coefficients ,GDP - Abstract
The repo rate, which is the key interest rate, set by the central banks has been declining for many years and hitting zero in Sweden in late 2014. We analyse the effectiveness on the economy from a change in the repo rate, comparing two time periods with high and low repo rate environments. We use quarterly data on GDP and its components, between 1994 and 2019. For analysing the effectiveness, we use multiple Auto Regressive Distributed Lag (ARDL) modelling to compute a total of 12 models. In our findings, we saw that the effectiveness of a change in repo rate has been increased in the low repo rate environment, making it harder to increase the rate without harming the economy but also increasing the effect of a decrease in the repo rate. Also, we found that the investment component of GDP may exhibit extra high effectiveness in the low repo rate environment. This method of analysing the repo rates impact on the economy could be used for decision makers regarding monetary policies.
- Published
- 2020
34. The Sensitivity of Banks’ Stock Returns to Interest Rate Exposure : How Major Swedish Banks’ Stock Returns Are Affected by Changes in Interest Rates and in the Slope of the Yield Curve
- Abstract
Purpose: The purpose of this study is to examine how changes in long and short interest rates as well as in the slope of the yield curve affect the stock returns of the four major Swedish banks; Svenska Handelsbanken, Nordea Bank, Swedbank, and Skandinaviska Enskilda Banken. Further, the aim of the research is to compare these findings to how the banks perceive that such changes affect their stock returns. The objective is thereof to detect differences and similarities between regressions and interviews, in order to contribute with insights to how the banks can handle their exposure to interest rate risk. Theoretical Framework: Previous research show that banks’ stock returns are affected by many factors, including cash flow news, interest rates, size of the business, and the macroeconomy as a whole. However, banks’ interest rate margins are set to market rates so these are more exposed to and affected by changes in interest rates, especially short ones, than are non-financial institutions. Furthermore, the low interest rate levels and forecasting errors that have been seen lately have contributed to greater uncertainty and higher risk exposures, making banks’ sensitivity increase. Methodology: A mixture of a qualitative and a quantitative methodology is used, where the former consists of interviewing the banks and the latter of regressions through secondary data from Thomson Reuters Eikon and the Riksbank. Conclusion: The major Swedish banks’ stock returns are generally affected by changes in short interest rates but not by changes in long interest rates, with the exception of Handelsbanken being impervious to all such changes. Swedbank’s stock returns are most sensitive than the other banks’ stock returns and it is the only bank affected by changes in the yield curve slope. However, the banks seem to perceive no crucial difference in how their stock returns are affected by changes in short interest rates and long interest rates, concluding that their perceptions o
- Published
- 2019
35. The impact of Sweden ́s Negative Repo Rate on FDI : A quantitative analysis of how Sweden’s monetary policy has affected foreign direct investments
- Abstract
Sweden’s central bank implemented a negative interest rate policy (NIRP) in 2015, one year after adopting a zero-interest rate policy. Due to the monetary policy’s untested framework,experts are divided on the effectiveness of such a policy as well as its fortitude when faced with an economic recession. The lack of research on how the interest rate affects various economic metrics has left ample room for analysis and discussion on the subject. The aim ofthis thesis is to analyze how Sweden’s monetary policy has affected the flow of foreign directinvestments (FDI). Specifically, the paper will be focused on discovering the effect of theRiksbank’s negative repo rate policy on net FDI inflows between 2006 and 2017. Our quantitative analysis found no significant relationship between Sweden’s repo rate and itsFDI inflows. However, significance was found in the variables exchange rate, research and development expenditures, corporate taxes, and wages.
- Published
- 2019
36. Could confidence predict households’ debt growth?
- Abstract
This thesis analyses if households’ confidence could be a significant variable to predicthouseholds’ debt growth in Sweden. Households’ debts have an important role in thefinancial system where the vulnerability of households’ debts has increased over time.To test whether households’ confidence is a significant variable for the prediction ofhouseholds’ debt growth in Sweden, an econometric model with the households’ debtchange as the dependent variable and the changes in the repo rate, unemployment, grossdomestic product and consumer confidence index as independent variables was used.Consumer confidence index was used as a proxy variable for households’ confidence.It was lagged by one time period in order to quantify if consumer confidence indexcould, with previous value, predict the households’ debt growth. The result showed thatthe households’ confidence was not significant to predict the households’ debt growth., Denna uppsats har analyserat om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige. De svenska hushållens skulder har ensignifikant betydelse för den svenska ekonomin. Men sårbarheten för dessa skulder harökat med tiden. För att testa om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige har en ekonometrisk modell med förändringeni hushållens skulder som en beroende variabel och förändringen i reporäntan,arbetslöshet, bruttonationalprodukten och konsumentförtroendeindex som oberoendevariabler. Konsumentförtroendeindex användes som en ersättare för att mäta hushållensförtroende används. Den var fördröjd med en tidsperiod för att kunna testa omhushållens föregående uppfattningar påverkade framtida skuldtillväxt för hushållen.Resultaten från regressionsanalysen antyder på att hushållens förtroende inte är ensignifikant variabel för att kunna förutse hushållens skuldtillväxt.
- Published
- 2019
37. The impact of Sweden ́s Negative Repo Rate on FDI : A quantitative analysis of how Sweden’s monetary policy has affected foreign direct investments
- Abstract
Sweden’s central bank implemented a negative interest rate policy (NIRP) in 2015, one year after adopting a zero-interest rate policy. Due to the monetary policy’s untested framework,experts are divided on the effectiveness of such a policy as well as its fortitude when faced with an economic recession. The lack of research on how the interest rate affects various economic metrics has left ample room for analysis and discussion on the subject. The aim ofthis thesis is to analyze how Sweden’s monetary policy has affected the flow of foreign directinvestments (FDI). Specifically, the paper will be focused on discovering the effect of theRiksbank’s negative repo rate policy on net FDI inflows between 2006 and 2017. Our quantitative analysis found no significant relationship between Sweden’s repo rate and itsFDI inflows. However, significance was found in the variables exchange rate, research and development expenditures, corporate taxes, and wages.
- Published
- 2019
38. The Sensitivity of Banks’ Stock Returns to Interest Rate Exposure : How Major Swedish Banks’ Stock Returns Are Affected by Changes in Interest Rates and in the Slope of the Yield Curve
- Abstract
Purpose: The purpose of this study is to examine how changes in long and short interest rates as well as in the slope of the yield curve affect the stock returns of the four major Swedish banks; Svenska Handelsbanken, Nordea Bank, Swedbank, and Skandinaviska Enskilda Banken. Further, the aim of the research is to compare these findings to how the banks perceive that such changes affect their stock returns. The objective is thereof to detect differences and similarities between regressions and interviews, in order to contribute with insights to how the banks can handle their exposure to interest rate risk. Theoretical Framework: Previous research show that banks’ stock returns are affected by many factors, including cash flow news, interest rates, size of the business, and the macroeconomy as a whole. However, banks’ interest rate margins are set to market rates so these are more exposed to and affected by changes in interest rates, especially short ones, than are non-financial institutions. Furthermore, the low interest rate levels and forecasting errors that have been seen lately have contributed to greater uncertainty and higher risk exposures, making banks’ sensitivity increase. Methodology: A mixture of a qualitative and a quantitative methodology is used, where the former consists of interviewing the banks and the latter of regressions through secondary data from Thomson Reuters Eikon and the Riksbank. Conclusion: The major Swedish banks’ stock returns are generally affected by changes in short interest rates but not by changes in long interest rates, with the exception of Handelsbanken being impervious to all such changes. Swedbank’s stock returns are most sensitive than the other banks’ stock returns and it is the only bank affected by changes in the yield curve slope. However, the banks seem to perceive no crucial difference in how their stock returns are affected by changes in short interest rates and long interest rates, concluding that their perceptions o
- Published
- 2019
39. Could confidence predict households’ debt growth?
- Abstract
This thesis analyses if households’ confidence could be a significant variable to predicthouseholds’ debt growth in Sweden. Households’ debts have an important role in thefinancial system where the vulnerability of households’ debts has increased over time.To test whether households’ confidence is a significant variable for the prediction ofhouseholds’ debt growth in Sweden, an econometric model with the households’ debtchange as the dependent variable and the changes in the repo rate, unemployment, grossdomestic product and consumer confidence index as independent variables was used.Consumer confidence index was used as a proxy variable for households’ confidence.It was lagged by one time period in order to quantify if consumer confidence indexcould, with previous value, predict the households’ debt growth. The result showed thatthe households’ confidence was not significant to predict the households’ debt growth., Denna uppsats har analyserat om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige. De svenska hushållens skulder har ensignifikant betydelse för den svenska ekonomin. Men sårbarheten för dessa skulder harökat med tiden. För att testa om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige har en ekonometrisk modell med förändringeni hushållens skulder som en beroende variabel och förändringen i reporäntan,arbetslöshet, bruttonationalprodukten och konsumentförtroendeindex som oberoendevariabler. Konsumentförtroendeindex användes som en ersättare för att mäta hushållensförtroende används. Den var fördröjd med en tidsperiod för att kunna testa omhushållens föregående uppfattningar påverkade framtida skuldtillväxt för hushållen.Resultaten från regressionsanalysen antyder på att hushållens förtroende inte är ensignifikant variabel för att kunna förutse hushållens skuldtillväxt.
- Published
- 2019
40. JE MOŽNÉ PŘEDPOVÍDAT REPO SAZBU ČNB NA ZÁKLADĔ ZPĔT HLEDÍCÍHO MĔNOVÉHO PRAVIDLA?
- Author
-
Arlt, Josef and Mandel, Martin
- Abstract
The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary rule, which would be able to describe the development of CNB repo rate, namely only on the basis of statistically measured and in the given time available information. We focus on the period after 1998, when the CNB's inflation targeting policy is implemented and the repo rate (14 days) plays the role of the monetary policy rate. In the paper we discuss some methodological problems associated with the ,ex post" empirical verification of the central bank monetary rule. We construct an empirical model of the monetary rule, justify the choice and the inclusion of explanatory variables, we analyze the statistical properties of time series and verify the alternative forms of econometric models. Our analysis showed that the development of CNB repo rate in the reporting period can be explained by the past and present evolution of three explanatory variables: the yearly inflation rate, the exchange rate and the ECB repo rate. The annualized inflation rate proved to be statistically insignificant in the model. We find interesting that the statistical quality of the estimated model was further increased after a six-month delay of the yearly inflation rate. The obtained results indicate that in determining the CNB repo rate the expected future level of the yearly inflation rate does not play important role and the last yearly inflation rate is more important than its present level. [ABSTRACT FROM AUTHOR]
- Published
- 2012
41. MONETARY POLICY COMMITTEE AND SPECTRE OF COMMITTED BANKING.
- Author
-
MISRA, S. N. and GHADAI, SANJAYA KU.
- Subjects
REGULATORY reform ,FINANCIAL services industry ,MONETARY policy ,REPOSSESSION ,CRONY capitalism - Abstract
One of the major second generation reforms being considered is the reform of financial sector. The Financial Sector Legislative Regulatory Committee (FSLRC) has recommended creation of a unified regulator, Monetary Policy Committee (MPC) and Indian Financial Code (IFC). The proposed reform seeks to assert government supremacy in determination of monetary policy and repo rate. This is understandably causing concern amongst discerning analysts who foresee emasculation of Reserve Bank of India (RBI) as an independent institution. This paper takes an overview of the role of RBI so far in terms of inflation targeting etc, the turbulent journey of US Federal Reserve Bank whose policies have global impact and the need to have professional approach to address serious issues like fiscal stability of a country's currency, without undue political interference and influence of crony capitalism. Drawing reference to the turbulence the nation witnessed during (1971-1975) due to coinage of terms like committed judiciary, the paper strongly pitches for ring fencing the institutional autonomy of RBI and for management of its affair in the hands of RBI Governor and his professional associates. [ABSTRACT FROM AUTHOR]
- Published
- 2015
42. MECHANISMUS STABILIZACE ULTRAKRÁTKÝCH ÚROKOVÝCH SAZEB PROSTŘEDNICTVÍM REPO OPERACÍ ČESKÉ NÁRODNÍ BANKY.
- Author
-
Brůna, Karel
- Abstract
Effectiveness of actual monetary policy depends on the ability of central banks to stabilize the fluctuations of overnight interest rates around their official policy rate. To ensure the functionality of the stabilization mechanism needs the successful balancing between bank's demand for reserves and central bank's supply of the reserves in interbank market. I discuss the main sources of temporal gaps between the demand for and the supply of the reserves and their impact on the volatility of overnight interest rates. In our theoretical explanation there is stressed the role of intertemporal substitution in fluctuation of demand for reserves. In the empirical part there is analysed the behaviour of overnight interest rates in the Czech interbank market (2001-2004) in the context of excess liquidity. Some structural changes in interbank market were found—undershooting of non-stability of excess liquidity and decline of overnight interest rates volatility due to new possibility of intraday credit. [ABSTRACT FROM AUTHOR]
- Published
- 2005
- Full Text
- View/download PDF
43. ANALÝZA CITLIVOSTI REFERENČNÍCH ÚROKOVÝCH SAZEB PRIBOR NA ZMĚNY REPO SAZBY ČESKÉ NÁRODNÍ BANKY.
- Author
-
Brada, Jaroslav
- Abstract
Since 1980's many central banks have been changing their monetary strategy to explicit inflation targeting. This new monetary concept is based on management of short-term interest rates in the context of relation between inflation prediction and central bank inflation target. Therefore we try to analyze the crucial problems of efficiency of the inflation targeting strategy - the causality and sensitivity between interest rates on Prague interbank market (PRIBOR) and Czech National Bank repo rate. For this purpose we use the framework of expectation theory with the term premium and simple deterministic regression models. We found out that as repo rate was sticky it led to higher volatility of PRIBOR before repo rate change and when the maturity of PRIBOR was increasing the sensitivity of PRIBOR to repo rate changes was strongly decreasing. In our opinion it's the result of at least partial adjustment of PRIBOR before repo rate changes. [ABSTRACT FROM AUTHOR]
- Published
- 2004
44. TRANSMISE KLÍČOVÝCH ÚROKOVÝCH SAZEB V ČESKÉ EKONOMICE.
- Author
-
Dvorný, Zdeněk
- Abstract
The presented study is an empirical investigation of interest rates transmission on the Czech financial market. Transmission was simulated by means of VAR model, built up to evaluate an impact of impuls change of one interest rate on the behaviour of the others in the given sample. The study shows that transmission from repo rates through PRIBORs to the yields on treasury bills can be determined. Next, transmission from repo rates to short interbank rates was proven as an important channel used by the Czech National Bank to stabilize unfavourable development on the money market in the middle 1997. [ABSTRACT FROM AUTHOR]
- Published
- 2002
- Full Text
- View/download PDF
45. Transmission mechanism of monetary policy in Russia: var analysis
- Author
-
A. D. Klovina
- Subjects
монетарная политика ,Oil prices ,transmission mechanism ,monetary policy ,цены на нефть ,elasticity ,inflation ,ставка РЕПО ,эластичность ,трансмис- сионный механизм ,REPO rate ,инфляция - Abstract
Empirical analysis of the transmission mechanism of monetary policy in Russia was carried out by applying a vector autoregression model based on monthly data for 2008-2017. The results of the study confirm the presence of statistically significant impact of oil price shocks and REPO rates on the level of consumer inflation in Russia., Эмпирический анализ трансмиссионного механизма денежно-кредитной политики в России проводился путем применения модели векторной авторегрессии на основе месячных данных за 2008-2017 годы. Результаты исследования подтверждают наличие статистически значимого воздействия шоков цен на нефть и ставки РЕПО на уровень потребительской инфляции в России.
- Published
- 2019
- Full Text
- View/download PDF
46. The Sensitivity of Banks’ Stock Returns to Interest Rate Exposure : How Major Swedish Banks’ Stock Returns Are Affected by Changes in Interest Rates and in the Slope of the Yield Curve
- Author
-
Strömberg, Linda and Karlsson, Matilda
- Subjects
interest rate margin ,interest rates ,cash flows ,yield curve slope ,Banks ,stock returns ,SSVX ,profitability ,sense organs ,repo rate ,SE GVB ,STIBOR ,Business Administration ,Företagsekonomi - Abstract
Purpose: The purpose of this study is to examine how changes in long and short interest rates as well as in the slope of the yield curve affect the stock returns of the four major Swedish banks; Svenska Handelsbanken, Nordea Bank, Swedbank, and Skandinaviska Enskilda Banken. Further, the aim of the research is to compare these findings to how the banks perceive that such changes affect their stock returns. The objective is thereof to detect differences and similarities between regressions and interviews, in order to contribute with insights to how the banks can handle their exposure to interest rate risk. Theoretical Framework: Previous research show that banks’ stock returns are affected by many factors, including cash flow news, interest rates, size of the business, and the macroeconomy as a whole. However, banks’ interest rate margins are set to market rates so these are more exposed to and affected by changes in interest rates, especially short ones, than are non-financial institutions. Furthermore, the low interest rate levels and forecasting errors that have been seen lately have contributed to greater uncertainty and higher risk exposures, making banks’ sensitivity increase. Methodology: A mixture of a qualitative and a quantitative methodology is used, where the former consists of interviewing the banks and the latter of regressions through secondary data from Thomson Reuters Eikon and the Riksbank. Conclusion: The major Swedish banks’ stock returns are generally affected by changes in short interest rates but not by changes in long interest rates, with the exception of Handelsbanken being impervious to all such changes. Swedbank’s stock returns are most sensitive than the other banks’ stock returns and it is the only bank affected by changes in the yield curve slope. However, the banks seem to perceive no crucial difference in how their stock returns are affected by changes in short interest rates and long interest rates, concluding that their perceptions of long interest rates are not as in line with our results as are their perceptions of short interest rates. However, it tends to be a more diffuse relationship between changes in long interest rates and stock returns than between changes in short interest rates and stock returns.
- Published
- 2019
47. The impact of Sweden ́s Negative Repo Rate on FDI : A quantitative analysis of how Sweden’s monetary policy has affected foreign direct investments
- Author
-
Olsson, Sanna and Jungnelius, Gustaf
- Subjects
Negative Interest Rate Policy ,NIRP ,Economics ,Repo Rate ,FDI ,Interest Rates ,Foreign Direct Investment ,Nationalekonomi ,Monetary Policy - Abstract
Sweden’s central bank implemented a negative interest rate policy (NIRP) in 2015, one year after adopting a zero-interest rate policy. Due to the monetary policy’s untested framework,experts are divided on the effectiveness of such a policy as well as its fortitude when faced with an economic recession. The lack of research on how the interest rate affects various economic metrics has left ample room for analysis and discussion on the subject. The aim ofthis thesis is to analyze how Sweden’s monetary policy has affected the flow of foreign directinvestments (FDI). Specifically, the paper will be focused on discovering the effect of theRiksbank’s negative repo rate policy on net FDI inflows between 2006 and 2017. Our quantitative analysis found no significant relationship between Sweden’s repo rate and itsFDI inflows. However, significance was found in the variables exchange rate, research and development expenditures, corporate taxes, and wages.
- Published
- 2019
48. Could confidence predict households’ debt growth?
- Author
-
Hübbert, Alexander and Lindström, Linda
- Subjects
reporäntan ,Unemployment ,Repo rate ,Households’ debt growth ,Economics ,Gross Domestic Product ,Bruttonationalprodukt ,Arbetslöshet ,Nationalekonomi ,Consumer Confidence Index ,Konsumentförtroendeindex ,hushållens skuldtillväxt - Abstract
This thesis analyses if households’ confidence could be a significant variable to predicthouseholds’ debt growth in Sweden. Households’ debts have an important role in thefinancial system where the vulnerability of households’ debts has increased over time.To test whether households’ confidence is a significant variable for the prediction ofhouseholds’ debt growth in Sweden, an econometric model with the households’ debtchange as the dependent variable and the changes in the repo rate, unemployment, grossdomestic product and consumer confidence index as independent variables was used.Consumer confidence index was used as a proxy variable for households’ confidence.It was lagged by one time period in order to quantify if consumer confidence indexcould, with previous value, predict the households’ debt growth. The result showed thatthe households’ confidence was not significant to predict the households’ debt growth. Denna uppsats har analyserat om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige. De svenska hushållens skulder har ensignifikant betydelse för den svenska ekonomin. Men sårbarheten för dessa skulder harökat med tiden. För att testa om hushållens förtroende är en signifikant variabel för attförutse hushållens skuldtillväxt i Sverige har en ekonometrisk modell med förändringeni hushållens skulder som en beroende variabel och förändringen i reporäntan,arbetslöshet, bruttonationalprodukten och konsumentförtroendeindex som oberoendevariabler. Konsumentförtroendeindex användes som en ersättare för att mäta hushållensförtroende används. Den var fördröjd med en tidsperiod för att kunna testa omhushållens föregående uppfattningar påverkade framtida skuldtillväxt för hushållen.Resultaten från regressionsanalysen antyder på att hushållens förtroende inte är ensignifikant variabel för att kunna förutse hushållens skuldtillväxt.
- Published
- 2019
49. An analysis of monetary policy and its effect on inflation and economic growth in South Africa
- Author
-
Van Wyngaard, D., Meyer, D.F., De Jongh, J.J., 10513086 - Meyer, Daniel Francois (Supervisor), and 23523417 - De Jongh, Jacobus Johannes (Supervisor)
- Subjects
consumer price inflation ,government revenue ,structural ,Broad money supply ,gross domestic product ,employment ,government debt ,monetary policy ,nominal effective exchange rate ,repo rate ,cost-push - Abstract
MCom (Economics), North-West University, Vaal Triangle Campus, 2019 Emerging market economies, such as South Africa, frequently struggle to maintain a stable and economically viable inflation rate due to economic factors of a cost-push and structural nature. These factors not only influence inflation within the economy, but also the efficacy of monetary policy in its pursuit of its many goals. The South African economy has thus long been a victim of volatile inflation, low growth and low employment creation, which are all matters that form part of the mandate of monetary policy. This could be because of the indirect measures that have been used by the South African Reserve Bank (SARB) to control both money supply as well as inflation in the economy have become increasingly inefficient over time. Therefore, the primary objective of the study was to analyse the efficiency of monetary policy in South Africa, in terms of reaching its goals as set out by the mandate of the SARB regarding inflation, employment and economic growth and in having done so, investigating the existence of cost-push and structural inflationary factors within the South African economy. This study examined the effects of official interest rate, broad money supply, the exchange rate, government debt and government revenue on CPI inflation, as well as on the efficiency of monetary policy in reaching its objectives. It thus determines the long- and short-run relationships between the aforementioned variables from 2001 to 2017. The study further establishes the causal direction between the variables under study. Therefore, the study employed various econometric models inclusive of the Autoregressive Distributed Lag (ARDL) model, the standard ARDL bounds test to cointegration, the Error Correction Model and Toda-Yamamoto granger noncausality test. Furthermore, the study made use of a quantitative research design and included time series, macro-economic variables such as gross domestic product, employment, the repo rate, broad money supply, the nominal effective exchange rate, government debt, government revenue and consumer price inflation, quarterly from 2001 to 2017. These variables were used in two separate econometric models, one of which had consumer price inflation as its dependent variable, with all other variables as independent. The other combined gross domestic product, employment, consumer price inflation to create the Monetary Policy Success Index or MPSI. By employing the unit root and stationarity tests, the study found that all the variables under study comprised of variables that are stationary at either I(0) or I(1), with none of the variables stationary at I(2). This allowed the ARDL model to be used, which produced results that indicated that the South African economy is consistent with cost-push and structural inflation, which leads to inefficiency in the achievement of the objectives of monetary policy as it takes roughly 5.34 quarters for changes in monetary policy to affect the economy. Both long- and short-run relationships exist between independent and dependent variables. The study further performed the Toda-Yamamoto Granger non-causality test and found that variables such as government revenue and government debt have a short-run impact on consumer price inflation, supporting the existence of structural and cost-push inflation in the South African economy. Equally as important, the results of the residual and stability diagnostic tests, which were performed on both models of the study proved that the study models are normally distributed, none are serially correlated nor heteroscedastic and are both stable. This, in turn, ensured that the results of the study are not inaccurate or misleading. Masters
- Published
- 2019
50. Interest Rate Sensitivity of Real Estate Companies Income Statements
- Abstract
Title: Interest Rate Sensitivity of Real Estate Companies’ Income Statements - A Study on the Swedish Market in a Low Rate Environment Seminar date: 11th of January 2018 Course: FEKH89, Bachelor Degree Project in Financial Management, Undergraduate Level Authors: Karl Ågren, Samuel Hammarling and Sebastian Lindeborg Advisor: Anamaria Cociorva Key words: Real estate companies, repo rate, income statement sensitivity, pricing of debt, mixed methods research Purpose: The purpose of this study is to empirically investigate the sensitivity of Swedish real estate companies’ income statements towards a 100 basis point increase in the Riksbank’s repo rate. Methodology: A mixed methods research approach is employed. Qualitative research and theory constitute the framework for this study, to later be validated against the findings from three multiple regressions. Theoretical perspectives: Robert C. Merton’s theory of pricing corporate debt is, together with the findings of this study’s qualitative research, used as framework for this study. Empirical foundation: The qualitative research of this study consists of semi-structured interviews with six market experts. The quantitative research is constituted by company data and macro data: The company data includes a sample of ten companies over a ten year period, amounting to 100 firm-years. The macro data constitutes 521 observations over a ten year period. Conclusions: The study can confirm the sensitivity of Swedish real estate companies’ income statement towards changes in the Riksbank’s repo rate. The findings imply that two items are affected, interest expenses and revaluation of properties. A hypothetical 100 basis point increase in repo rate implies, according to the results, a 212 basis point decrease in revaluation of properties and a 40 basis point increase in interest expenses. This study’s focus on income statements complements previous literature that largely focuses on real estate companies’ returns and probability
- Published
- 2018
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