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Empirical Assessment on Financial Regulations and Banking Sector Performance

Abstract

This study examines financial regulation and banking sector performance in Nigeria. Specifically, the study determines the impact of reforms on banking sector performance and also assesses the nexus between capital adequacy and banking sector performance. Time series data for the period 1993 to 2014 was used. As an analytical tool, the study uses unit root test to determine the stationary state of the variables. We also employed the Johansson co-integration and error correction model (ECM) statistical techniques to establish both short-run and long-run dynamic relationships between the endogenous and exogenous variables. The empirical findings indicate that financial regulation significantly impacts the banking sector performance while financial regulation has both short-run and long-run dynamic relationships with the banking sector performance in Nigeria. It was found that the four-period lag of capital adequacy negatively affects banking sector performance and is not statistically significant. The paper suggests that the Central Bank of Nigeria (CBN) should continually make public the impacts that the various financial regulations and reforms have on the performance of Nigerian banks. Majority of the policies on financial regulation by the apex bank (CBN) need to be long-run which can enable confidence of stakeholders, shareholders and the general public in the Nigerian banking industry when critically evaluated.

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The Monetary Policy of the National Bank of Romania in The Inflation Targeting Era. A Taylor Rule Approach

Abstract

In this paper we analyse the monetary policy of the National Bank of Romania during 2005-2015 by estimating the Taylor rule, on a quarterly basis. We determined the potential GDP by employing the Hodrick-Prescott filter, in order to distinguish between the cyclical and the structural components of the output. Then, we estimated the traditional Taylor rule function (with a classic OLS regression), but slightly modified, as to take into account the forward-looking attitude of the NBR. The results confirm the direct correlation between the monetary policy rate and the output gap on the one hand, and the inflation differential (inflation - inflationtarget) on the other hand. Also, the results show us that NBR paid a higher attention to the dynamics of the inflation versus its target than to the output gap. Last, but not least, the central bank has been also sensitive to the financial stability, as reflected by the results of the incorporation of the ROBOR-EURIBOR spread in the classical Taylor rule.

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Impact of Quantitative Easing on Purchased Asset Yields, its Persistency and Overlap

Abstract

The main focus of this paper rests on the event study and SVAR analysis of quantitative easing that was initiated as a reaction to the financial crisis at the turn of 2008/2009 that finally ended in 2014. The Fed was virtually unable to continue with its conventional monetary policy regime in environment of zero-bound threshold, where there is no easy way to decrease main monetary policy rate any further. As a reaction to this limitation, the Fed started to practice quantitative easing and other unconventional measures. Event study examines changes in yields of purchased assets, namely US Treasuries, MBS and agency debt, and on two-day event window of the OIS and yield spreads quantifies imminent impact of QE announcements and relevant chairman speeches. Following VAR model and impulse-response functions, I examine the impact of QE and its persistency on purchased asset and on alternative asset classes in the framework of various transmission channels such as signalling, portfolio-balancing and liquidity channels. In this study I found non-negligible impact of QE on purchased assets in both models through all waves of QE and time persistency patterns in IRFs part. Furthermore, some evidence for portfolio-balancing channel and other related channels was found.

Open access