Template-Type: ReDIF-Article 1.0 Author-Name: Petros Arvanitis Author-Name-First: Petros Author-Name-Last: Arvanitis Author-Email: Author-Workplace-Name: Athens University of Economics and Business Author-Name: Konstantinos Drakos Author-Name-First: Konstantinos Author-Name-Last: Drakos Author-Email: kdrakos@aueb.gr Author-Workplace-Name: Athens University of Economics and Business Title: The Net Stable Funding Ratio of US Bank Holding Companies: A Retrospective Analysis Abstract: We calculate the Net Stable Funding Ratio (NSFR) for US Bank Holding Companies between 2001-2013. We find, that for the vast majority of cases the NSFR was compatible with the Basel III threshold. In addition, we document a significant deterioration of about 10% of the NSFR during the post-financial crisis period. Moreover, the NSFR exhibits significant heterogeneity across size segments, with its mean level dropping at a decreasing rate.The Net Stable Funding Ratio (NSFR hereafter) is a structural micro-prudential metric of maturity transformation risk, introduced by the Basel Committee of Bank Supervision (BCBS hereafter) in its Basel III accord (BIS, 2010; Gobat et al., 2014). Classification-JEL: G21, G28, G32 Keywords: Bank Holding Companies, Net Stable Funding Ratio, US Journal: International Journal of Economic Sciences Pages: 1-9 Volume: 4 Issue: 2 Year: 2015 Month: June File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-188 File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-188?download=1 Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:1-9 Template-Type: ReDIF-Article 1.0 Author-Name: Jakub Bartos Author-Name-First: Jakub Author-Name-Last: Bartos Author-Email: kbartos11@gmail.com Author-Workplace-Name: University of Economics, Prague Title: Does Bitcoin follow the hypothesis of efficient market? Abstract: Bitcoin has emerged as phenomenon of the financial markets as the currency without any central authority. Recent events of Bitcoin has risen question about its behavior and there is crucial question if the price of Bitcoin follows hypothesis of efficient markets. In this paper, there are introduced the main features of Bitcoin and analyzed its price behavior. We found out that price of the most famous cryptocurrency Bitcoin follows the hypothesis of efficient markets and it immediately react on publicly announce information. Furthermore, Bitcoin can be seen as standard economic good that is priced by interaction of supply and demand on the market. These factors can be driven by macro financial development or by speculative investors, but there weren?t found any significant impact of these factors on price of Bitcoin. Classification-JEL: G14, G02, C22 Keywords: Cryptocurrencie, Bitcoin, Financial market Journal: International Journal of Economic Sciences Pages: 10-23 Volume: 4 Issue: 2 Year: 2015 Month: June File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-189 File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-189?download=2 Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:10-23 Template-Type: ReDIF-Article 1.0 Author-Name: Irina Bilan Author-Name-First: Irina Author-Name-Last: Bilan Author-Email: irina.bilan@uaic.ro Author-Workplace-Name: "Al. I. Cuza" University of Iasi Author-Name: Iulian Ihnatov Author-Name-First: Iulian Author-Name-Last: Ihnatov Author-Email: iulian.ihnatov@uaic.ro Author-Workplace-Name: "Al. I. Cuza" University of Iasi Title: Public Debt and Economic Growth: A Two-Sided Story Abstract: The recent European sovereign debt crisis proved public debt issues should not be easily approached. While, prior to the crisis, public debt was of little concern in most of the developed European countries, as there had been no recent episodes of sovereign default, the crisis revived longtime forgotten memories. It once again proved that, although at different debt levels, just like the developing countries the developed ones should fear high public debts and that public debt is almost always a two-sided story: although public indebtedness can promote economic growth, especially when debt resources are used for financing public investment expenditure, when the debt is very high it can negatively affect economic growth.Against this background, in this paper we aim to study the relationship between public debt and economic growth for a panel of 33 European countries (28 European Union Member States and 5 candidate countries to European accession) over the period 1990-2011. More specifically, we investigate if there is evidence of a non-linear (quadratic) relationship, both for the entire European countries group and for the developed and developing countries subgroups. The main sources of data are World Bank?s World Development Indicators and International Monetary Fund?s World Economic Outlook and Historical Public Debt datasets.The results of our study confirm the existence of a ?U inverted? relationship, with a maximum debt threshold of about 94% of GDP. After this threshold public debt is expected to negatively affect the economic growth rate, due to higher interest rates, fear of public debt unsustainability and severe budgetary consolidation measures. However, this threshold is found to be more than twice lower in developing European countries compared to the developed ones, as the former enjoy lower credibility, higher vulnerability to shocks and depend more on external capital transfers. Classification-JEL: H63, E60, O40 Keywords: public debt, economic growth, public policy, developed European countries, developing European countries Journal: International Journal of Economic Sciences Pages: 24-39 Volume: 4 Issue: 2 Year: 2015 Month: June File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-190 File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-190?download=3 Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:24-39 Template-Type: ReDIF-Article 1.0 Author-Name: Amira Dridi Author-Name-First: Amira Author-Name-Last: Dridi Author-Email: amiradridi10@gmail.com Author-Workplace-Name: High Institute of management Title: On Reverse Stress Testing for Worst Case Scenarios: An Application to Credit Risk Modeling of Tunisian Economic Sectors Abstract: In Tunisia substantial economic and financial vulnerability are mainly caused by the civil unrest and the subsequent regime change after the Tunisian revolution in 2011. In order to quantify this fragility, in this paper, we use reverse stress testing (RST) based on combination of relevant risk factors that lead to the worst case in which the bank becomes unviable and insolvent. Given the financial stress testing scenarios shortcomings (i.e. plausibility, subjectivity), the use of RST methodology is explained by the fact that it identify the probability of realization of such scenarios. We apply this new methodology on Tunisian banks which are the core for financial stability; more specifically, we focus on credit risk RST. We choose the upper bound for value at risk (VaR) in order to identify worst VaR at probability of realization a. Our proposed framework relies on the logistic regression to identify stress probability and the linear regression of financial stress index output gap versus macroeconomic risk factors in order to search for scenarios at 1%, 3% and 5% levels of plausibility. Empirical results show that Tunisian banks have likely to reach the WVaR in 2012 at 5% level. Besides the more extreme the scenarios which are considered the less plausible they become. Our reverse FST is a complement, and never a substitute for risk manager and what matters most is the mindset of those employing it. Classification-JEL: C19, G01, C10 Keywords: reverse stress testing, worst case scenarios, credit risk, value at risk, generalized Pareto distribution. Journal: International Journal of Economic Sciences Pages: 40-56 Volume: 4 Issue: 2 Year: 2015 Month: June File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-187 File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-187?download=4 Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:40-56 Template-Type: ReDIF-Article 1.0 Author-Name: Jana Juriová Author-Name-First: Jana Author-Name-Last: Juriová Author-Email: jana.juriova@vsb.cz Author-Workplace-Name: V?B - Technical University of Ostrava Title: The role of foreign sentiment in small open economy Abstract: The role of foreign sentiment is researched for explaining macroeconomic fluctuations in small open economy. The main goal is to find out whether the domestic variables react significantly to the shocks in the foreign sentiment. For this purpose a structural vector autoregression model is constructed for the Czech Republic and the Slovak Republic including relations between foreign environment and domestic variables. Both small open economies considered are highly dependent on foreign demand from euro area. Therefore the foreign development is represented by real GDP in euro area and alternatively is explored the possibility to replace foreign real GDP by economic sentiment indicator of euro area as sentiment indicators are available in advance. The impact of foreign shocks is examined by impulse response functions on the following domestic variables ? real gross domestic product, consumer prices and effective exchange rate against euro area trading partners. The study confirms that foreign economic sentiment can be used for explaining fluctuations of domestic variables of a small open economy. Classification-JEL: C51, E32 Keywords: economic sentiment indicator, structural vector autoregression, variance decomposition, impulse response functions Journal: International Journal of Economic Sciences Pages: 57-68 Volume: 4 Issue: 2 Year: 2015 Month: June File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-191 File-URL: https://iises.net/international-journal-of-economic-sciences/publication-detail-191?download=5 Handle: RePEc:sek:jijoes:v:4:y:2015:i:2:p:57-68