Long run comparison analysis and Short run Stability sensitivity: Empirical Evidence from Tunisian Banks

NEIFAR, MALIKA (2020): Long run comparison analysis and Short run Stability sensitivity: Empirical Evidence from Tunisian Banks.

Abstract

This paper consider Tunisian banks case study over the period 2005–2014. The long run comparison analysis based on t-test between interest-free banks (IFB) and conventional banks (CB) of bank specific factors indicates that there are difference between Islamic and conventional banks behavior. CB are found to be more stable, while IFB have better liquidity and are riskier than CB. In long run, It is found alo that 2011 Yesameen revolution has negative effect on CB stability and 2008 GFC has positive effect on IFB stability. This paper investigates also the short run stability question based on dynamic model for Z-score ratio of tunisian banks during the same period. The paper finds that the level of Z-score can be attributed to both macroeconomic conditions and banks’ specific factors. Z-score is found to respond in short term to macroeconomic conditions. Z-scores tends to increase when Interest rate (INTER) and Foreign Direct Investment (FDI) rise. While instability increase when Unemployment rises, Exchange rate depreciates, and Inflation is high. It is found alo that in short run, 2011 Yesameen revolution and 2008 GFC have a significant positive effect on tunisian bank stability.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial stability, Z-score, 2008 Global financial crisis (GFC), 2011 Yesameen tunisian revolution, Tunisia, Islamic bank (IB), conventional bank (CB), macroeconomic factors, and banks’ specific factors.
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill; Z - Other Special Topics > Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology > Z12 - Religion

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