/jurnalpengurusan Sat, 15 Oct 2022 10:18:54 +0000 en-US hourly 1 https://wordpress.org/?v=6.9.1 /jurnalpengurusan/article/house-prices-and-islamic-bank-stability-in-indonesia-evidence-from-autoregressive-distributed-lag-ardl-model/?utm_source=rss&utm_medium=rss&utm_campaign=house-prices-and-islamic-bank-stability-in-indonesia-evidence-from-autoregressive-distributed-lag-ardl-model Sat, 15 Oct 2022 10:18:54 +0000 /jurnalpengurusan/?post_type=article&p=6363 This study examines the effect of house prices on Islamic bank stability in the long run and their short run dynamic interactions with real output and interest rate for the case of Indonesia. As bank risks may response differently to the shock of house prices, the aggregate and disaggregate house price indices, namely, small house price indices, medium house price indices and large house price indices, are applied in the analysis. By employing autoregressive distribution lag (ARDL) test for co-integration, we find the presence of long run relationship between house prices, Islamic bank risk and macroeconomic variables. A long run relationship is also found for the medium and large-house prices’ indices. The estimated long run coefficient is found to be supportive to the deviation hypothesis. Furthermore, results from the impulse response functions (IRFs) and error correction mechanism (ECM) reflect the short run dynamic interactions between house prices and bank credit. The results from disaggregate analysis reveal that only small-house prices have the relationship with Islamic bank risk, and interestingly, the results support the deviations hypothesis. Our findings have important implications for bankers, monetary authority and investors in determining policy and business decisions especially in stabilizing house price for low income earners.

]]> /jurnalpengurusan/article/short-term-international-capital-flows-empirical-evidence-from-china/?utm_source=rss&utm_medium=rss&utm_campaign=short-term-international-capital-flows-empirical-evidence-from-china Tue, 11 Oct 2022 05:47:32 +0000 /jurnalpengurusan/?post_type=article&p=5327 The present study investigates the dynamic relationship between short-term international capital flows and macroeconomic variables in China from 1999 until 2011. Employing the bounds test, autoregressive distributed lag (ARDL) model and Granger causality tests, the results show that interest rate differentials and real estate prices are the main driving forces for short-term international capital movements. The Granger causality test indicates that interest rate differentials and exchange rates Granger cause the short-term international capital flows of China in the short run; while bidirectional causal relationships are found among short-term international capital flows and interest rate differentials; effective exchange rates; stock prices; and real estate prices in the long run.

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