Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Review of Middle East Economics and Finance

Ed. by Dibeh, Ghassan / Assaf, Ata / Cobham, David / Hakimian, Hassan / Henry, Clement M.

Online
ISSN
1475-3693
See all formats and pricing
More options …

An Empirical Investigation of Oil-Macro-financial Linkages in Saudi Arabia

Ken Miyajima
Published Online: 2017-08-12 | DOI: https://doi.org/10.1515/rmeef-2017-0018

Abstract

Against the backdrop of low oil prices, oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to macro- and micro-level data for 9 banks spanning 1999–2014. Lower growth of oil prices and nonoil private sector output leads dampen credit and deposit growth and lift nonperforming loan ratios. Positive feedback loops within bank balance sheets in turn dampen economic activity. U.S. interest rates are not found to be a key determinant. The banking system remains strong at present, but policy makers should monitor its health with the important macro-financial feedback loops in mind.

Keywords: macro-financial linkages; nonperforming loans; panel vector autoregression

JEL Classification: C63; E44; G21; G28

References

  • Arellano, M., and O. Bover. 1995. “Another Look at the Instrumental Variable Estimation of Error-Components Models.” Journal of Econometrics 68 (1): 29–51.CrossrefGoogle Scholar

  • Beck, R., P. Jakubik, and A. Piloiu. (2013).Non-performing Loans what Matters in Addition to the Economic Cycle? ECB Working Paper 1515.Google Scholar

  • Blundell, R., and S. Bond. 1998. “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87: 115–143.CrossrefGoogle Scholar

  • Cho, S. 2006. “Evidence of a Stock Market Wealth Effect Using Household Level Data.” Economic Letters 90: 402–406.CrossrefGoogle Scholar

  • De Bock, R., and A. Demyanets. (2012).Bank Asset Quality in Emerging Markets: Determinants and Spillovers IMF Working Paper 12/71.Google Scholar

  • Espinoza, R., and A. Prasad. (2010).Nonperforming Loans in the GCC Banking Systems and their Macroeconomic Effects IMF Working Paper 10/224.Google Scholar

  • Funke, N. 2004. “Is There a Stock Market Wealth Effect in Emerging Markets?” Economic Letters 83: 417–421.CrossrefGoogle Scholar

  • Hesse, H. Stock Market Wealth Effects in Emerging Market Countries 2008 VOX blog: http://www.voxeu.org/article/stock-market-wealth-effects-emerging-market-countries.

  • Klein, N. (2013).Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance IMF Working Paper 13/72.Google Scholar

  • Love, I., and R.T. Ariss. 2014. “Macro-Financial Linkages in Egypt: A Panel Analysis of Economic Shocks and Loan Portfolio Quality.” Journal of International Financial Markets, Institutions and Money 28 (C): 158–181.Web of ScienceCrossrefGoogle Scholar

  • Love, I., and L. Zicchino. 2006. “Financial Development and Dynamic Investment Behavior: Evidence from Panel Vector Autoregression.” The Quarterly Review of Economics and Finance 46: 190–210.CrossrefGoogle Scholar

  • Marcucci, J., and M. Quagliariello. 2008. “Is Bank Portfolio Riskiness Procyclical? Evidence from Italy Using a Vector Autoregression.” Journal of International Financial Markets, Institutions and Money 18: 46–63.CrossrefGoogle Scholar

  • Nkusu, M. (2011).Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies IMF Working Paper 11/161.Google Scholar

  • Peltonen, T.A., R.M. Sousa, and I.S. Vensteenskiste. 2012. “Wealth Effects in Emerging Market Economies.” International Review of Economics and Finance 24: 155–166.CrossrefWeb of ScienceGoogle Scholar

  • Roodman, D 2009. “A Note on the Theme of Too Many Instruments.” Oxford Bulletin of Economics and Statistics 71 (1): 135–158.Web of ScienceCrossrefGoogle Scholar

About the article

Published Online: 2017-08-12


Citation Information: Review of Middle East Economics and Finance, Volume 13, Issue 2, 20170018, ISSN (Online) 1475-3693, DOI: https://doi.org/10.1515/rmeef-2017-0018.

Export Citation

© 2017 Walter de Gruyter GmbH, Berlin/Boston.Get Permission

Comments (0)

Please log in or register to comment.
Log in