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Measuring the performance of the banking system case of Vietnam (1990-2010)

Ngo, Dang-Thanh - In: Journal of applied finance & banking 2 (2012) 2, pp. 289-312

Banking is the core of the financial system which has important role in attracting deposits to provide credits to … analyze the performance changes through time of the Vietnamese banking system in the 1990-2010 periods. The research suggests … that this performance is decreasing through the time as the size of the banking sector increases; financial market is more …

Persistent link: https://www.econbiz.de/10010009114

Total factor productivity of Thai banks in 2007-2010 : an application of DEA and Malmquist index

Ngo, Dang-thanh; Linh Thi Phuong Nguyen - In: Journal of applied finance & banking 2 (2012) 5, pp. 27-42

Total Factor Productivity (TFP) changes of Thai banking system in the period of 2007-2010 using panel data of 27 major banks … and become worst performers in the system. The reason behind it may relate to the fact that Thai banking system is …-expansion. Hence, continuing to develop and restructuring the banking system is an emergence task for Thailand in the near future …

Persistent link: https://www.econbiz.de/10010058698

Assessing the credit risk of bank loans using an extended Markov chain model

Lu, Su-lien - In: Journal of applied finance & banking 2 (2012) 1, pp. 197-223

In this paper, we adopted a continuous-time non-homogeneous mover-stayer model for the measurement of the credit risk associated with bank loans. This model is an extension of a Markov chain model. Furthermore, we extracted the time varying risk premium to convert the mover-stayer model to a...

Persistent link: https://www.econbiz.de/10010009105

Using a multivariate Markov chain model for estimating credit risk : evidence from Taiwan

Lu, Su-lien - In: Advances in management & applied economics 2 (2012) 4, pp. 243-251

Dependence on credit ratings is an important issue for managing credit risk. This paper assesses credit risk using a multivariate Markov chain model that calculates dependence on credit ratings. We demonstrate the practical implementation of the proposed model using the rating data of 15...

Persistent link: https://www.econbiz.de/10010097661

Initial endowment effects in multi-unit vickrey auctions

Akaichi, Faical; Nayga, Rodolfo M.; Gil, José M. - In: Advances in management & applied economics 2 (2012) 4, pp. 41-55

We report the result of experiments designed to assess the effect of initial endowments on willingness to pay values elicited from multi-unit Vickrey auctions. Comparing bids from an “endow and upgrade” approach with the “full bidding” approach, we find that the direction of the...

Persistent link: https://www.econbiz.de/10010097673

Essay on international financial crisis and endogenous growth theory

Molochny, Boris - In: International journal of economic sciences and applied … 2 (2009) 1, pp. 7-15

This paper reviews endogenous growth theories in the light of the modern reality. It seems that economies which are similar in technologies and preferences are expected to converge to the same level of per capita income. The question "How are repetitions of financial crisis best predicted?" is...

Persistent link: https://www.econbiz.de/10009958038

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10009958060

Testing for linear and nonlinear causality between crude oil price changes and stock market returns

Anoruo, Emmanuel - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 75-92

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...

Persistent link: https://www.econbiz.de/10009958081

Behavioral biases in economic and financial knowledge : are they the same for men and women?

Kudryavtsev, Andrey; Cohen, Gil - In: Advances in management & applied economics 1 (2011) 1, pp. 15-52

Contemporary research documents various psychological aspects of economic thought and decision-making. The main goal of our study is to analyze the role of the hindsight bias (Fischhoff [20]) and the anchoring bias (Tversky and Kahneman [53]) in perceiving economic and financial information,...

Persistent link: https://www.econbiz.de/10009958463

Financial innovations and their role in the modern financial system-identification and systematization of the problem

Błach, Joanna - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 13-26

This paper discusses the role that financial innovations play in the modern financial system, aiming at identifying and systematizing the core problems and definitions related to this issue. The paper first describes the importance of the financial system and financial markets in the economy,...

Persistent link: https://www.econbiz.de/10009959723

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