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

Abstract
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
Table Of 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
Language
eng
Literary Form
non fiction
Physical Description
1 online resource (24 pages)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498331388

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