Search results

Exploiting a sample of 80 conventional banks (CBs) and 35 Islamic banks (IBs), this study aims to distinguish the IBs’ performance from their conventional peers in 7 Middel East and North Africa (MENA) economies over the period 2005–2014 covering the 2008 GFC.

To avoid misleading results, this research used panel-corrected data from outliers effects by quantile method. Then, following the use of the two-sided Student’s t-test and the discriminant function analysis (DFA), we adopt nonlinear panel models (Random Logit and Pooled Probit) to further distinguish between banks. Then, we focus on the stability side through dynamic Generalized method of moment (GMM) linear models and interaction variables to capture the 2008 global financial crisis (GFC) impact on IB performance.

Univariate tests show that IBs are, on average, less profitable, more liquid and capitalized, less stable, have higher credit risk and are more solvent than CBs. In addition, the difference between the two types of banks was significant pre- and post-GFC; IBs are more profitable pre-GFC and more solvent post-GFC. In accordance with the univariate t-test results, the nonlinear pooled probit model (random logit) confirms that banks, which have more liquidity, are better capitalized, more solvent and less stable (less stable) are more likely to be IBs. From the DFA, stability was the first financial ratio important to discriminate between the two types of banks. In line with the DFA results, from the dynamic models, once the interaction variables are integrated, the GMM estimation result suggests that stronger macroeconomic stability and higher profitability, capital adequacy ratio (CAP) and liquidity are linked to increased IBs stability in the 7 MENA economies post-2008 GFC.

The present study contributes to the ongoing debate by conducting a formal empirical analysis, taking account of a range of considerations (outliers correction, interaction variables and 2008 GFC impacts) that to the best of our knowledge have not been considered by prior studies for the MENA zone.

The purpose of this study is to see if the Fisher’s hypothesis validation is robust in year or/and countries dimensions. We investigate whether nominal or real stock market returns are hedged against inflation rate, so as to determine the appropriate time and markets to invest in (from the 32 countries) over a period covering the 2008 global finance crisis (GFC) and the Covid 19 outbreak. Hedging property is found to be homogenous within countries and stable in time. Using either nominal or real return, based on cross-sectional data results, Fisher’s hypothesis is generally validated with a few exceptions, while the time-series based results show that the hedge property is robust only in some countries. Using time series data (cross section data), in terms of homogeneity (homogeneity and stability), there is no difference between hedge property between Euro and non-Euro countries (groups of countries or between sub-periods) for both periods covering either 2008 GFC or the Covid 19 outbreak. Robust results are also the outcome of panel data investigations with or without the interest rate role as macro control variable.

In this paper, the author assesses if the effect of structural policies, macroeconomic indicators and demographic factors on employment elasticities over the period 2000–2017 can distinguish the former French colonies from the Anglophone ones.

Using a panel of 44 countries taken from Africa and Middle East Area, elasticities are estimated in the first stage by rolling regression. Then, both static and dynamic panel models are investigated.

Results suggest big difference between the former French colonies and Anglophone ones. For the French colonies, product and labor market flexibility are found to have significant and positive impact on elasticities, while for Anglophone ones, only foreign direct investment and government size are found to have significant and positive impact. Besides, all reforms and/or economic measures need to be complemented by macroeconomic policies aimed to increase economic stability.

The results presented in this study highlight some of the factors that appear to drive the relationship between employment and some structural policies, macroeconomic indicators and demographic factors for two groups of former colonies. The paper provides policy conclusions based on these results for the two groups. This analysis may indeed help to inform future policy discussions, yet much additional work is needed to identify macroeconomic “best practices” for encouraging employment in the post-2019 covid crisis period.

This study aims to investigate the effect of regulatory pressure on discretionary capital management measured with the discretionary loan loss provisions (DLLP) in public (PuBs) and Private (PrBs) banks in Tunisia. Three variables are used to proxy the regulatory capital constraints: (1) the change in capital requirements, (2) the beginning of the year capital ratio (3) and the end of year adjusted capital ratio.

To address our objective, we provide in a first step the DLLP estimation as done by Shantaram and Steven (2021). Then, in a second step based on hand-collected panel data on the 12 commercial Tunisian banks, linear dynamic model with interaction variables is conducted to discriminate between PuBs and PrBs behavior. The generelized method of moment (GMM) estimation is applied to show if the PuBs and PrBs behave differently to regulatory capital pressures. For robustness check, the discriminant analysis and the nonlinear probit and logit models are considered in a third step.

The three capital constraints affect differently the discretionary behavior of Banks. First, an increase in capital requirements makes PrBs under pressure to reduce their DLLP, which is not the case for PuBs. Second, a low capital ratio at the beginning of the year makes strong pressure on PuBs to reduce their DLLP. Third, neither PrBs nor PuBs decrease their DLLP to improve the end of year-adjusted capital ratio. The discretionary behavior of PrBs is influenced by pressures to appear well-capitalized while the behavior of PuBs is influenced by pressure to enhance their capital positions. These results are well strengthened by the discriminant analysis and the nonlinear probit and logit model investigations.?

A few studies examined incentives based on the regulatory theory in Tunisian banks and were carried out within static linear models. Contrary to Elleuch and Taktak (2015) who tested the regulatory incentives following the publication of the (IMF, 2002), this paper tests, within linear dynamic model and nonlinear model, the effect of national prudential rules on capital management between 2006 and 2016.

This study attempts to come in help for Morocco by investigating rigorously the linkage between environmental degradation, measured by ecological footprint (EF), and the gross domestic product growth (EG), the human capital (HC) index and the natural resources (NR) depletion over the period of 1980:Q1 to 2021:Q1. The paper examines the validity of environmental Kuznets curve (EKC) hypothesis in the Moroccan context.

Unlike previous studies, which are based only on the autoregressif dynamic linear (ARDL) model, this paper investigates two recent models: the novel DYNARDL simulation approach and the Kernel-based regularized least squares (KRLS) technics and uses in addition the frequency domain causality (FDC) test.

Models output say a significant and negative association between HC and the EF and a significant and positive interplay between economic growth and environmental quality in the long term. In the short term, findings reveal a significant and negative association between NR and the EF. Based on the FDC test, results conclude about a unidirectional causality from NR to the EF in short-, medium-, and long-term. Moreover, results validate the EKC hypothesis for the Moroccan environment sustainability.

In this study, the researchers use the “ecological footprint” as dependent variable to obtain more accurate and comprehensive assessment of environmental deterioration. Based on time series data investigations, this study is the first paper, which validates the EKC hypothesis and develops important policy implications for Morocco context to achieve sustainable development targets.

This paper aims to determine whether Islamic banks (IBs) and conventional banks (CBs) in Tunisia are distinguishable from one another based on financial characteristics during the 2005–2014 period covering the 2008 global financial crisis (GFC) and the 2011 Tunisian revolution.

For the comparison between IBs and CBs, 11 hypotheses are formulated to distinguish between the two types of banks. The authors use a univariate analysis based on the multi-dimension figures investigation and a multivariate one based on the robust OLS technique for panel linear regression with mixed effects.

Bank-specific factors, dummy and dummy interacting variables indicate that there are differences between Islamic and conventional bank behavior. Both methods show that IBs are more liquid, more profitable and riskier than CBs. Post-2011 Tunisian revolution, small IBs (small CBs) are more (less) solvent, large IBs are more stable and both types of banks are more liquid, which explain why Tunisian governments have relay on bank system to cover budget deficits post-2011 revolution.

In investigating the feature of IBs and CBs from the Tunisian context, the authors take into account the effect of two abnormal events (2008 GFC and 2011 Tunisian revolution) on IBs through interaction variables.

The purpose of this paper is to test the weak form of the efficient market hypothesis (EMH) using monthly data from 2004M08 to 2018M04 for two Canadian stock indices: the Islamic (DJICPI) and the conventional (CCSI). This paper investigates whether Islamic and/or conventional stock market would be efficient through the non-stationarity test of the stock indices.

The authors conduct the linearity test of Harvey et al. (2008) to identify whether the considered series has linear or nonlinear behavior. If the time series exhibits nonlinear evolution, then the authors apply nonlinear unit root tests (three KSS type tests and Sollis tests).

Linearity test results say that LCCSI has nonlinear behavior, while Dow Jones Islamic Canadian Price Index, LDJICPI, is a linear process. Then, the findings of this paper show that only Canadian Islamic Price Index (DJICPI) has the characteristics of random walk indicating that only conventional stock markets are inefficient. The major implication is that in Canada, fund managers and investors can (cannot) enjoy excess returns to their investment in conventional (Islamic) stock market.

Numerous empirical studies of the weak EMH are carried out within a linear framework. However, stock indices can show nonlinear behavior as a result of 2008 global financial crisis. To contribute to the existing literature on the Islamic and conventional stock market efficiency, the authors take into account both structural breaks and nonlinearity. Thus, as a testing strategy for weak EMH, the authors perform (Harvey et al., 2008) linearity test to examine the presence of nonlinear behavior and correct for outliers effect when it is needed.

In this paper, the author aims to investigate the relationship between economic growth and unemployment in six Arab countries from Middle East and North Africa (MENA) zone including Tunisia, Egypt, Morocco, Lebanon, Jordan and Oman through the implementation of Okun's law using quarterly dataset covering the time period 2000: 1–2014: 4.

In this paper, static and dynamic linear and nonlinear models are used to test the linkage between cyclical unemployment and cyclical growth rate.

The empirical results from considered models confirm an inverse linkage between unemployment rate and economic growth, as the Okun's law suggests (except for Oman). In a nonlinear autoregressive dynamic linear (NARDL) framework and gap specification, statistically significant Okun's coefficients indicate that output growth can be translated into employment gains. Absolute effect of an economic contraction is significantly larger than that of an expansion in Tunisia, Egypt, Morocco and Lebanon. The opposite is true for Jordan and Oman.

Empirical finding provides then an additional proof that Okun's law could exist in a developing countries such as Tunisia, Egypt, Morocco, Lebanon and Jordan. Hence, any attempt to increase gross domestic product (GDP) through some economic fiscal and/or monetary policies in these countries would reduce unemployment rate.

Based on asymmetric specification, the author can conclude with precision that an economic upturn of 3.37, 2.98 and 2.5%, respectively, in Tunisia, Morocco and Egypt reduces unemployment by 1%, whilst the downturn of 5.03 and 2.43% (and about 12%), respectively, in Tunisia and Morocco (and Lebanon and Jordan) achieves the opposite.

The purpose of this study to investigate the sensitivity of stability and insolvency of the Tunisian financial banking with respect to banks’ specific factors as well as to the macroeconomic conditions (including gross domestic product growth, inflation rate, foreign direct investment [FDI], EXRate, INT and unemp) during 2005–2014 period covering 2011 Tunisian revolution.

The variables of interest the financial institution stability which is measured by Z-score and solvency indicators that are determined by the capital adequacy ratio (CAP) and deposits to assets (DTA). This study seeks to assess the linkages among them (causality, magnitude and duration) that may shed some light on the micro-financial vulnerabilities that are associated with the macroeconomic environment and the monetary authority policy. To do so, this study considers two models: a panel vector autoregressif-X model for the tri-variate vector (Z-score, DTA, CAP) estimated by a system generalized method of moments after a forward mean-differencing and a dynamic seemingly unrelated regression model for the bi-variate vector (Z-score, DTA) estimated by 3LS.

Results say that there is a uni-directional contemporaneous negative relationship from stability to insolvency. Stability evolution can be attributed to both macroeconomic conditions and banks’ specific factors, whereas insolvency is attributed only to banks’ specific factors. Stability was found to increase when growth rate and FDI rise, whereas instability increases when interest rate rises, exchange rate depreciates and if inflation is high. Stability increases also when CAP increases. However, compared to conventional banks (CBs), Islamic banks (IBs) are found to be more solvent than CBs, and more stable post 2011 Tunisian revolution.

As fluctuation in inflation and exchange rate could lead to high interest rates and hence decreases the stability of the financial sectors, Tunisian monetary authority is advised to practice low interest rate policy.

This paper attends not only to compare the response of stability and insolvency to the effect of exogenous variables (macroeconomic and financial factors) in Tunisian banks but also to detect short run and long run feedback effects between dependent variables as well as to investigate whether IBs and CBs present evident heterogeneity of stability and insolvency evolution in relation to 2011 Tunisian revolution.