The paper examines the effect of sectoral risk on bank returns that accrue from the extension of credit to the different sectors of the economy in Kenya. Based on Dynamic Panel Data regressions of quarterly sectoral data spanning from 2011Q1 to 2015Q4 the paper reports three key findings: (1)...

This paper investigates the nexus between bank-based financial inclusion and asset quality of 43 Banks in Kenya using data from 2001 and 2015. Based on a Dynamic Panel (System) GMM employed to investigate the empirical interactions between growth in outstanding bank credit, deposit growth and...

This study examined the responsiveness of commercial banks' sectoral credit supply to changes in credit demand expectations, as captured in the Central Bank of Kenya's Quarterly Credit Officers Survey. The study developed an index to measure changes in credit demand expectations and subjected...

This paper investigates the nexus between bank-based financial inclusion and asset quality of 43 Banks in Kenya using data from 2001 and 2015. Based on a Dynamic Panel (System) GMM employed to investigate the empirical interactions between growth in outstanding bank credit, deposit growth and...

This study examined the responsiveness of commercial banks' sectoral credit supply to changes in credit demand expectations, as captured in the Central Bank of Kenya's Quarterly Credit Officers Survey. The study developed an index to measure changes in credit demand expectations and subjected...

We examine the effect of differences between home and host regulations on the efficiency of foreign commercial banks in Kenya. First, efficiency scores are calculated using the Data Envelopment Analysis (DEA) approach after which Tobit regression is used to establish the regulatory variables...

The study examines how monetary policy announcements affect the level and volatility of exchange rates in Kenya for the period 2005-2014. The exchange rates under study are: the KES/USD, KES/GBP, KES/EUR and KES/UGX. The study uses the GARCH (1, 1) and EGARCH taking into account monetary policy...

We examine the dynamic interaction between macroeconomic factors and the unobserved yield curve factors in Kenya between 1 March 2011 and 31 March 2014. First we parametarise the yields only Term Structure Model using a Dynamic Nelson Siegel approach. We then characterise the dynamic interaction...

Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, we establish a case for the semi-markov models as a proxy for internal credit risk models for a portfolio of consumer loans. With ample calibration, we prove the robustness of the...