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

24 Pages Posted: 28 Mar 2016

See all articles by Ken Miyajima

Ken Miyajima

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: February 2016

Abstract

Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 1999-2014. Lower growth of oil prices and non-oil private sector output leads to slower credit and deposit growth and higher nonperforming loan ratios, with feedback loops within bank balance sheets which in turn dampens economic activity. U.S. interest rates are not found to be a key determinant.

Keywords: Macro-financial linkages, nonperforming loans, panel vector autoregression, interest, oil prices, revenues, loans, Computational Techniques, Financial Markets and the Macroeconomy, Government Policy and Regulation,

JEL Classification: C63, E44, G21, G28

Suggested Citation

Miyajima, Ken, An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia (February 2016). IMF Working Paper No. 16/22, Available at SSRN: https://ssrn.com/abstract=2754926

Ken Miyajima (Contact Author)

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

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