Purpose:The main purpose of this article is the effect of exchange rate fluctuations, oil prices, and stock market index on the financial instability index using the Markov switching rotation mode in 2009-2018 in the form of monthly data. Design/Methodology/Approach: In this research, the Toolbox-Violet wavelet transform model has been used to extract the exchange rate fluctuations, oil prices, and stock market indices. Findings: The results indicated that the effect of exchange rate fluctuations in various regimes and periods is different. Exchange rate fluctuations in the high regime of the financial instability index and the short term have a different effect compared to other periods. Oil price fluctuations have a positive and significant effect in the medium and long term, regardless of the financial instability regime, which will be more substantial in the long run. Moreover, stock market fluctuations have a negative and significant effect only in the short term when the financial instability index in the regime is low. Practical implications: According to results of this article, fluctuations have different effects depending on the period and the level of financial instability. Therefore, the management of foreign exchange and stock markets in the country should be performed based on the level of financial instability and the period of fluctuations. Originality/value: This research provides a new perspective on understanding the impact and transmission or fluctuations between markets and their impact on each other in recent decades.
Purpose:The purpose of writing this study is to evaluate the efficiency of the country`s banking network about the number of changes in the asset market, including the stock market and the foreign exchange market. Design/Methodology/Approach: This paper uses the Markov rotation model for the period 2008:3-2018:3 quarterly. The Hodrick Prescott filter was used to extract exchange rate fluctuations, stock market indicators, and commercial cycles. Findings: The results indicated that commercial cycles have a negative and significant effect on all banking network efficiency regimes. Exchange rate fluctuations had a negative and significant effect on the high regime of banking network efficiency and a positive and significant effect on the low regime of banking network efficiency. Fluctuations in the stock index had no significant effect on the high regime of efficiency, but they had a positive and significant effect on the banking network efficiency in its low regime. The results showed that the probability of a banking network being in a low-efficiency regime is increasing in the coming years. Practical Implications: These findings provide a better understanding of how business cycles affect banking network performance regimes. Originality/Value: The results of this study remind the Exchange and Stock Markets Organization in the country that their management should be carried out based on the level and efficiency regime of the banking network.
Purpose:The purpose of writing this study is to evaluate the efficiency of the country`s banking network about the number of changes in the asset market, including the stock market and the foreign exchange market. Design/Methodology/Approach: This paper uses the Markov rotation model for the period 2008:3-2018:3 quarterly. The Hodrick Prescott filter was used to extract exchange rate fluctuations, stock market indicators, and commercial cycles. Findings: The results indicated that commercial cycles have a negative and significant effect on all banking network efficiency regimes. Exchange rate fluctuations had a negative and significant effect on the high regime of banking network efficiency and a positive and significant effect on the low regime of banking network efficiency. Fluctuations in the stock index had no significant effect on the high regime of efficiency, but they had a positive and significant effect on the banking network efficiency in its low regime. The results showed that the probability of a banking network being in a low-efficiency regime is increasing in the coming years. Practical Implications: These findings provide a better understanding of how business cycles affect banking network performance regimes. Originality/Value: The results of this study remind the Exchange and Stock Markets Organization in the country that their management should be carried out based on the level and efficiency regime of the banking network.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.