Macro-Financial Linkages in Egypt : A Panel Analysis of Economic Shocks and Loan Portfolio Quality / Inessa Love, Rima Turk.

Format:

Book

Government document

Author/Creator:

Love, Inessa.

Contributor:

Turk Ariss, Rima.

Series:

IMF Working Papers; Working Paper ; No. 2013/271

IMF working paper ; WP/13/271

IMF Working Papers

Language:

English

Subjects (All):

Finance, Public--Egypt.

Finance, Public.

Physical Description:

1 online resource (41 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics. Using a panel of banks over 1993-2010, the authors find that a positive shock to capital inflows and growth in gross domestic product improves banks’ loan portfolio quality, and that the effect is fairly similar in magnitude using the multivariate and panel vector autoregressive frameworks. In contrast, higher lending rates may lead to adverse selection problems and hence to a drop in portfolio quality. The paper also reports that a larger market share of foreign banks in the industry improves loan quality.

Contents:

Cover; Abstract; Contents; I. Introduction; II. Literature Review; III. Data and Methodology; A. Data; Tables; 1. Market Share in Assets of Commercial, Islamic, and Specialized Banks, 1993-2010; Figures; 1. Size of the Banking Sector, 1993-2010 (Figures in Million USD); 2. Market Share in Assets of State, Domestic, and Foreign Banks, 1993-2010; 2: Market Share in Loans, State vs. Foreign Banks, 1993-2010; 3: Market Share in Treasury Bills, State vs. Foreign Banks, 1993-2010; 4: Portfolio Composition, State vs. Foreign Banks, 1993-2010

5: Return on Average Equity, State vs. Foreign Banks, 1993-20106: Return on Average Assets, State vs. Foreign Banks, 1993-2010; B. Methodology; 7: Reserves for Impaired Loans / Total Loans, State vs. Foreign Banks, 1993-2010; 3. Fisher Panel Unit Root Tests; IV. Determinants of Loan Quality; A. Multivariate Results; 4. Pairwise Correlation among Macroeconomic Variables; 5. Random Effects Estimation Results; B. Robustness; 6. One-step Generalized Method of Moments Dynamic Estimation Results; 7. Effect of Changing to a Managed Exchange Rate Regime; V. PVAR Framework; A. Discussion of Results

8. Summary Statistics for Key Variables Entering the PVAR Model9. Coefficient Estimates for the Baseline PVAR Model; 10. Impulse-Response Magnitudes; 8. Impulse Response Functions to Shocks, PVAR Baseline Model; B. Robustness; 11. Variance Decomposition; 9. Effect of Changing to a Managed Exchange Rate Regime; VI. Conclusions; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed February 17, 2014).

ISBN:

9781484338896

1484338898

9781484339077

148433907X

9781484339114

1484339118