An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia / Ken Miyajima.

Format:

Book

Government document

Author/Creator:

Miyajima, Ken.

Series:

IMF Working Papers; Working Paper ; No. 2016/022

IMF Working Papers

Language:

English

Physical Description:

1 online resource (24 pages)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2016.

Summary:

Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 1999–2014. Lower growth of oil prices and non-oil private sector output leads to slower credit and deposit growth and higher nonperforming loan ratios, with feedback loops within bank balance sheets which in turn dampens economic activity. U.S. interest rates are not found to be a key determinant.

Contents:

Cover

Contents

I. Introduction

II. Data

III. Methodologies and Results

A. Solvency risk

B. Oil-Macro-Financial Linkages

IV. Robustness

A. Different Variable Ordering

B. Feedback Through Asset Prices

V. Conclusion

VI. Annex

References

Figures

1. Oil Prices and U.S. Interest Rate Expectations

2. Macroeconomic Variables

3. Bank-Level Variables

4. Distribution of Non-Performing Loan Ratio in Saudi Arabia

5. Dynamics of NPL Ratios

6. Oil-Macro-Financial Feedback Effects, Baseline Specification

Tables

1. Variable Description and Unitroot Test P-Values

2. Determinants of Bank NPLs in Saudi Arabia.

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

9781498331272

1498331270

9781498331388

1498331386

9781498331807

1498331807

OCLC:

945738874