A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries

Rossetti, Nara; Nagano, Marcelo Seido; Meirelles, Jorge Luís Faria

doi:10.1108/jefas-02-2017-0033

Cited by 10 publications

(3 citation statements)

References 45 publications

(59 reference statements)

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“…Como parte del análisis de la información, se corrieron las pruebas de raíz unitaria de Phillips-Perron (PP) y Kwiatkowski-Phillips-Schmidt-Shin (KPSS) (Kwiatkowski et al, 1992). En el primer caso la hipótesis nula (H0) es que la series tiene raíz unitaria; mientras que para la prueba KPSS, H0 es que la serie es estacionaria (Rossetti et al, 2017). Por esta razón, para rechazar H0 en la prueba PP, el valor del estadístico debe ser mayor a los valores tabulados para 90, 95 o 99% de confianza.…”

Section: Materiales Y Métodosunclassified

Contagio de volatilidad de precios internacionales de petróleo, urea y maíz

González Sánchez,

Torres Preciado

2023

Rev AIA

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Objetivo. Estimar y analizar dos modelos de volatilidad multivariada para precios internacionales de estos productos. Materiales y métodos. Los datos empleados provienen del Banco Mundial, con periodicidad mensual, de enero de 2001 a diciembre de 2022. Se emplea la causalidad de Granger y se estima un modelo de vectores autorregresivos (VAR) para rendimientos de precios; cuyos residuos son empleados para estimar dos modelos GARCH multivariados, tales como el VECH y el BEKK diagonales. Resultados. El precio internacional del maíz amarillo causa la formación de precios internacionales de la urea y del petróleo WTI. El mercado más volátil es el de la urea, seguido del maíz y en menor medida el del petróleo WTI. Los contagios de volatilidad de precios son más altos entre los mercados de maíz y la urea; seguido de la urea y el petróleo; mientras que los mercados de petróleo WTI y maíz son los menos contagiosos. Conclusión. Por su alta dependencia de estos bienes, México no sólo resulta afectado por presiones inflacionarias por las importaciones de los productos estudiados, sino también por el contagio de volatilidad o riesgo de mercados.

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Section: Materiales Y Métodosunclassified

Contagio de volatilidad de precios internacionales de petróleo, urea y maíz

González Sánchez,

Torres Preciado

2023

Rev AIA

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“…The Interest rate is dependent on the loan money, which is usually expressed by a percentage of the money lent (Rossetti et al, 2017). One the interest Rate is the interest rate shown in percent, a specified period (monthly or annually).…”

Section: The Research Variablesmentioning

confidence: 99%

The Efficiency of Local and International Banks in Indonesia

Lara¹,

Junior

2022

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This study uses two stages, first measure the technical effectiveness of banking using the data envelopment analysis (DEA), and the second stage to estimate the influence of macroeconomic variables, namely interest rate, inflation rate, and exchange rate against the efficiency of local and international banks using Tobit's regression model. Based on the results of the measurement of the effectiveness of local and international banks using the DEA method, it was found that on average the level of efficiency of local and international banks have not yet reached the level of effectiveness of optimal 100% and the level of ability of local banks has the higher efficiency level than foreign banks.

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“…The three-factor Nelson-Siegel model is widely practised by central banks and monetary policy makers due to its great performance, however, the model causes many estimation issues due to its extreme non-linear results [5] and [12]. Although, these models achieve certain effects in modelling and forecasting the interest rates or interbank rates data, many studies in recent years applied the Box-Jenkins model due to its good performance in signifying various possible models to be considered to provide adequate insights to the series [4], [6], [7] and [13]. Therefore, this study proposes a univariate model and evaluates multistep ahead forecasting performance of the Malaysian overnight IIR data using the Box-Jenkins model by employing the Maximum Likelihood Estimation (MLE) method to get more robust parameter estimates as elaborated further in next chapter.…”

Section: Literature Reviewmentioning

confidence: 99%

Forecasting Malaysian overnight islamic interbank rate using the Box-Jenkins model

Radzi

Yaziz

2021

DAAM

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Modelling the overnight Islamic interbank rate (IIR) is imperative to define the IIR performance as it would help the Islamic banks to adjust its costs of funding effectively and facilitate the policy makers to regulate a comprehensive monetary policy in Malaysia. The IIR framework which has been regulated by Bank Negara Malaysia under dual banking and financial system has always been overlooked in most previous studies in modelling the financial instruments rates. Therefore, it is vital to select the appropriate model as it resembles with the features of the IIR. The study assesses the forecasting performance of overnight IIR using the Box-Jenkins model. The suggested Box-Jenkins model has been applied to the Malaysian overnight IIR (in percentage) from 02/01/2001 to 31/12/2020. The empirical results determine that ARIMA (0,1,1) is the most appropriate model in forecasting overnight IIR as the model provides the smallest Mean Absolute Error (MAE), Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE). In multistep ahead forecasting, it can be summarised that ARIMA (0,1,1) model is able to trail the actual data trend of daily Malaysian overnight IIR up to 5-day ahead within 95% prediction intervals.

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A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries

Abstract: Purpose-This paper aims to analyse the volatility of the fixed income market from 11 countries

Cited by 10 publications

References 45 publications

Contagio de volatilidad de precios internacionales de petróleo, urea y maíz

Contagio de volatilidad de precios internacionales de petróleo, urea y maíz

The Efficiency of Local and International Banks in Indonesia

Forecasting Malaysian overnight islamic interbank rate using the Box-Jenkins model

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