Posted on 15 February 2012. Tags: credit risks, exchange rate, financial crisis, instability, macroeconomic factors, national currency
My research paper aims at analyzing the relationship which exists between macroeconomic situation and the indicators that measure the quality of the credits in the Albanian bank system for the period 2002-2010. The results of the research work have proved the raised hypothesis that the instability of the national currency, in relation to Euro and the American Dollar, and the world financial crisis have influenced upon the systematic credit risk in Albania. First, we would like to express our evaluation about the credit portfolio characteristics and the tendency of the credit risks in our bank system, evidencing some very important moments which have affected sensibly the tendency of problematic credits. Further, we have investigated the relationship between the credit risk, which is measured by the ratio non-performing loans to total loans and some of the main macroeconomic indicators.
The Impact of National Currency Instability and the World Financial Crisis in the Credit Risk. The Case of Albania (860.1 KiB, 3,655 hits)
Posted in Economics, Volume II, Issue no. 1
Posted on 15 October 2011. Tags: Copulas, exchange rate, Linear, Malaysia The Appropriate Forecasting Model, Nonlinear, Thailand
The objectives of this study are to find the fitting model and dependence measures of both Thailand’s exchange rate and Malaysia’s exchange rate during, between, and after the World’s recent financial crises based on linear, nonlinear and empirical copula approaches.
The results of the study confirm that the nonlinear model (NNTs) is an appropriate model for Thailand’s exchange rate return in percentage during the periods of 2008-2011but not for Malaysia’s exchange rate return. Based on empirical copula approach, the dependence measures are very small between Thailand’s exchange and Malaysia’s exchange. This seems to suggest that when global economy is affected by World’s financial crisis, the nonlinear approach should be used to predict Thailand’s exchange rate return in percentage. In addition, it suggests that both the nonlinear and linear approaches should be used to predict the Malaysia’s exchange rate return in percentage. Moreover, the relationship between the exchange rate of Thailand and that of Malaysia is not strong. This is also true for the currencies of both countries.
The Appropriate Model and Dependence Measures of Thailand’s Exchange Rate and Malaysia’s Exchange Rate: Linear, Nonlinear and Copulas Approach (1.0 MiB, 2,793 hits)
Posted in Issue no. 6, Knowledge Management
Posted on 15 October 2011. Tags: business cycles, CFA, common currency, exchange rate, trade
This article examines the suitability of the currency union in the Central Franc Zone (CFA) relative to business cycles and trade. Optimum currency area (OCA) criteria have been employed to determine the suitability of currency integration. This paper also develops a procedure for application of OCA theory to CFA and examines the criteria, taking into account the endogeneity among variables. Establishment of a currency union and elimination of nominal exchange rate variability may result in large gains in active trade flows and convergence of business cycles. Adoption of the Euro is preferable to the dollar for each CFA country.
Introducing a Common Currency in Central Franc Zone: Is it Appropriate? (691.7 KiB, 3,363 hits)
Posted in Economics, Issue no. 6
