Brazilian Retail Banking and the 2008 Financial Crisis: Were the Government-Controlled Banks that Important?

Pereira, Claudiney; Maia-Filho, Luiz Flávio Arreguy

doi:10.2139/ssrn.2141980

Cited by 8 publications

(13 citation statements)

References 17 publications

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“…To investigate the reactions to or how the Russian commercial banks responded to changes in countercyclical monetary policy measures by the Russian Central Bank reflected in changes in the policy related rates, i.e., the Russian interest pass-through, this study follows Wickens and Breusch (1988) and Pereira and Maia-Filho (2013) Theoretically, the ARDL method proposed by Pesaran et al (1997) has been a valuable tool for testing for the presence of long-run relationships between economic time-series. The advantage of the ARDL model is its ability to estimate both the long-term and short-term model parameters without requiring a pretesting to determine the order of the cointegration of the variables, thus avoiding the problems posed by non-stationary time series.…”

Section: Model Specificationmentioning

confidence: 99%

“…However, Pereira and Maia-Filho (2013) argued that the bounds test is based on the assumption that variables are either I(0) or I(1). Therefore, it is prudent to determine the stationarity of the time series data.…”

Section: Model Specificationmentioning

confidence: 99%

“…To this end this investigation follows Pereira and Maia-Filho (2013) to use the bounds testing approach (Pesaran, Shin, and Smith, 2001) for the following error correction representation of the Autoregressive Distributed Lag model: λ are calculated and compared with the critical values tabulated by Pesaran, Shin, and Smith (2001). If the estimated F-statistic is greater than the upper bound critical value, the variables are cointegrated.…”

Section: Model Specificationmentioning

confidence: 99%

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The Transmission Mechanism of Russian Central Banks Countercyclical Monetary Policy since 2011: Evidence from the Interest Rate Pass-Through

Nguyen

Khoi

Williams

2017

JEECAR

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This study is an investigation of the nature of the Russian interest rate pass-through from February 2011 to November 11, 2016. The empirical results reveal a relatively low short-run interest pass-through of 0.662937 and an incomplete long-run interest rate pass-through of 0.826353. The bounds test results indicate no long-term relationship between countercyclical monetary policy and market rates. These empirical findings suggest that the Russian Central Bank has not been very effective in formulating and implementing its countercyclical monetary policy. In light of the formidable political and economic challenges faced by the Russian Federation over this sample period, the results are hardly surprising.

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Section: Model Specificationmentioning

confidence: 99%

Section: Model Specificationmentioning

confidence: 99%

Section: Model Specificationmentioning

confidence: 99%

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The Transmission Mechanism of Russian Central Banks Countercyclical Monetary Policy since 2011: Evidence from the Interest Rate Pass-Through

Nguyen

Khoi

Williams

2017

JEECAR

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“…To this end, this investigation follows Pereira and Maia-Filho (2013) to use the bounds testing approach (Pesaran, Shin, and Smith, 2001) for the following error correction representation of the Autoregressive Distributed Lag model: (2013) …”

Section: Model Specificationmentioning

confidence: 99%

The Cushing OK Crude Oil Futures Price Pass - Through to New York Harbor Reformulated RBOB Regular Gasoline Futures Price

Nguyen

2017

JEECAR

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This study utilizes an Autoregressive Distributed Lag model to investigate the nature of crude oil futures price pass-through since 2006. The empirical results reveal a very high but incomplete short-run passthrough rate from the crude oil futures price to the gasoline futures price of 0.849298 with a corresponding negative long-run pass-through rate of -0.2440894. These empirical findings suggest that traders in the U.S. oil and gasoline futures markets overreact to fluctuations in the crude oil futures price as evidenced by subsequent corrections made over the sample period. The result of the bounds test for a long-term relationship between these two futures prices is inconclusive. The empirical findings further suggest that U.S. futures market traders considered futures prices of gasoline three weeks earlier in determining the current trading price while taking only one week to respond completely to the shock in the crude oil futures price. The empirical findings of this investigation may address the core elements of the price dynamics of the crude oil and gasoline futures markets and advance inquiry into assessment tools that could manage a very complex market challenge, especially for policy makers in countries with transitional economies in Eastern Europe, Caucasus and Central Asia.

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“…Typically, empirical studies identify politically driven distortions by comparing banks under political influence to banks that are run fully privately (Iannotta et al, 2012;Pereira and Maia-Filho, 2013). To some extent, this approach is always infected by non-political factors which also give rise to different behavior between bank types.…”

Section: Introductionmentioning

confidence: 99%

Politicians' Promotion Incentives and Bank Risk Exposure in China

Menkhoff

Schröder

et al. 2015

SSRN Journal

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Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW. Politicians' Promotion Incentives and Bank Risk Exposure in China AbstractThis paper shows that politicians' pressure to climb the career ladder increases bank risk exposure in their region. Chinese local politicians are set growth targets in their region that are relative to each other. Growth is stimulated by debt-financed programs which are mainly financed via bank loans. The stronger the performance incentive the riskier the respective local bank exposure becomes. This effect holds primarily for local banks which are under a certain degree of control of local politicians and it has increased with the release of recent stimulus packages requiring local co-financing.JEL-Classification: G21; G23; H74

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Brazilian Retail Banking and the 2008 Financial Crisis: Were the Government-Controlled Banks that Important?

Cited by 8 publications

References 17 publications

The Transmission Mechanism of Russian Central Banks Countercyclical Monetary Policy since 2011: Evidence from the Interest Rate Pass-Through

The Transmission Mechanism of Russian Central Banks Countercyclical Monetary Policy since 2011: Evidence from the Interest Rate Pass-Through

The Cushing OK Crude Oil Futures Price Pass - Through to New York Harbor Reformulated RBOB Regular Gasoline Futures Price

Politicians' Promotion Incentives and Bank Risk Exposure in China

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