IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/86361.html

Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL

Author

Listed:
  • Latheef, Udhula Abdul
  • Masih, Mansur

Abstract

The study investigates the asymmetrical effects of macroeconomic performance variables (if any) on other depository corporations. Maldives is taken as a case study. The variables selected for macroeconomic presentation are Trade Balance, Exchange Rate, Consumer Price Index, Broad Money Supply (M2) and Interest Rate, while for other depository corporations the proxy used is commercial deposits. Monthly data are taken from statistical publications supplied by Maldives Monetary Authority website from January 2007 to December 2016. Understanding the deposit behaviour to macroeconomic changes is crucial for financial corporations as it serves to generate much needed loans for the required parties. The significance of this study, unlike the previous studies is, to the best of my knowledge, that this is the first attempt made to test the existence of any asymmetry through Nonlinear Auto-Regressive Distributed Lag model developed by Shin et al. (2014). Also, this research is the first such examination on commercial deposits behaviour in response to macroeconomic variables in the Maldives. In order to find any non-linearity between the variables in long run and short run, the variables are decomposed into both positive and negative components applying nonlinear ARDL approach. Findings tend to indicate that only the short run interest rates to commercial deposits signify asymmetrical relationship unlike all other macroeconomic variables including both long and short-run variables confirming that most macroeconomic variables have symmetrical (linear) relationship with commercial deposits in the Maldives.

Suggested Citation

  • Latheef, Udhula Abdul & Masih, Mansur, 2017. "Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL," MPRA Paper 86361, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:86361
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/86361/1/MPRA_paper_86361.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Raza, Naveed & Jawad Hussain Shahzad, Syed & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Resources Policy, Elsevier, vol. 49(C), pages 290-301.
    2. Granger, Clive W.J. & YOON, GAWON, 2002. "Hidden Cointegration," University of California at San Diego, Economics Working Paper Series qt9qn5f61j, Department of Economics, UC San Diego.
    3. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    4. Fadzlan SUFIAN & Muzafar Shah HABIBULLAH, 2009. "Bank specific and macroeconomic determinants of bank profitability: Empirical evidence from the China banking sector," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 4(2), pages 274-291, June.
    5. Mushtaq, Saba & Siddiqui, Danish Ahmed, 2016. "Effect of interest rate on bank deposits: evidences from Islamic and non-Islamic economies," MPRA Paper 69245, University Library of Munich, Germany.
    6. Mansur Masih & Ali Al-Elg & Haider Madani, 2009. "Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1691-1699.
    7. Valentina Flamini & Miss Liliana B Schumacher & Mr. Calvin A McDonald, 2009. "The Determinants of Commercial Bank Profitability in Sub-Saharan Africa," IMF Working Papers 2009/015, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ullah, Assad & Zhao, Xinshun & Kamal, Muhammad Abdul & Zheng, JiaJia, 2020. "Modeling the relationship between military spending and stock market development (a) symmetrically in China: An empirical analysis via the NARDL approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    2. Ampofo, Gideon Kwaku Minua & Cheng, Jinhua & Asante, Daniel Akwasi & Bosah, Philip, 2020. "Total natural resource rents, trade openness and economic growth in the top mineral-rich countries: New evidence from nonlinear and asymmetric analysis," Resources Policy, Elsevier, vol. 68(C).
    3. Naveed Raza & Syed Jawad Hussain Shahzad & Muhammad Shahbaz & Aviral kumar Tiwari, 2017. "Modeling the nexus between oil shocks, inflation and commodity prices: Do Asymmetries really matter?," Economics Bulletin, AccessEcon, vol. 37(4), pages 2374-2383.
    4. Karasoy, Alper, 2022. "Is innovative technology a solution to Japan's long-run energy insecurity? Dynamic evidence from the linear and nonlinear methods," Technology in Society, Elsevier, vol. 70(C).
    5. Sulaiman, Junaid & Masih, Mansur, 2016. "Does interest rate impact the shariah index? Malaysian evidence based on ARDL approach," MPRA Paper 106145, University Library of Munich, Germany.
    6. K.S., Sujit & Ray, Subhajyoti, 2023. "Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE," Resources Policy, Elsevier, vol. 83(C).
    7. Khan, Muhammad Imran & Teng, Jian-Zhou & Khan, Muhammad Kamran & Jadoon, Arshad Ullah & Khan, Muhammad Fayaz, 2021. "The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach," Resources Policy, Elsevier, vol. 70(C).
    8. Jagadish Prasad Bist & Nar Bahadur Bista, 2018. "Finance–Growth Nexus in Nepal: An Application of the ARDL Approach in the Presence of Structural Breaks," Vikalpa: The Journal for Decision Makers, , vol. 43(4), pages 236-249, December.
    9. P. Thich D. & П. Тхих Д., 2017. "Детерминанты доходности банков: эмпирические данные из Вьетнама // Determinants of Banks’ Profitability: Empirical Evidence from Vietnam," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(4), pages 37-45.
    10. Nazib, Nur Afiyah & Masih, Mansur, 2017. "The response of monetary policy shocks on Islamic bank deposits: evidence from Malaysia based on ARDL approach," MPRA Paper 82094, University Library of Munich, Germany.
    11. Fedoseeva, Svetlana & Zeidan, Rodrigo, 2018. "How (a)symmetric is the response of import demand to changes in its determinants? Evidence from European energy imports," Energy Economics, Elsevier, vol. 69(C), pages 379-394.
    12. Dutta, Anupam & Bouri, Elie & Roubaud, David, 2019. "Nonlinear relationships amongst the implied volatilities of crude oil and precious metals," Resources Policy, Elsevier, vol. 61(C), pages 473-478.
    13. Shazia Kousar & Iqra Khalid & Farhan Ahmed & Jose Pedro Ramos-Requena, 2022. "Asymmetric Effect of Oil Prices on Export Performance: The Role of Export Financing Schemes in Pakistan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 188-197, March.
    14. Baussola, Maurizio & Carvelli, Gianni, 2023. "Public and private investments: Long-run asymmetric effects in France and the US," Finance Research Letters, Elsevier, vol. 58(PA).
    15. Apergis, Nicholas & Gangopadhyay, Partha, 2020. "The asymmetric relationships between pollution, energy use and oil prices in Vietnam: Some behavioural implications for energy policy-making," Energy Policy, Elsevier, vol. 140(C).
    16. Brown, Leanora & McFarlane, Adian & Campbell, Kaycea & Das, Anupam, 2020. "Remittances and CO2 emissions in Jamaica: An asymmetric modified environmental kuznets curve," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    17. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    18. Adnen Ben Nasr & Mehmet Balcilar & Rangan Gupta & Seyi Saint Akadiri, 2018. "Asymmetric Effects of Inequality on Per Capita Real GDP of the United States," Working Papers 201820, University of Pretoria, Department of Economics.
    19. Fousekis, Panos & Katrakilidis, Constantinos & Trachanas, Emmanouil, 2016. "Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model," Economic Modelling, Elsevier, vol. 52(PB), pages 499-506.
    20. Syed Jawad Hussain Shahzad & Elie Bouri & Naveed Raza & David Roubaud, 2019. "Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 901-921, April.

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:86361. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.