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

Ken Miyajima

No 2016/022, IMF Working Papers from International Monetary Fund

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: WP; price; bank; private sector; NPL ratio; Macro-financial linkages; nonperforming loans; panel vector autoregression; oil price; price growth; Brent crude; bank npls; solvency risk; equity price; Oil prices; Credit; Financial statements; Stocks; Middle East; North Africa; East Africa; Eastern Europe; Global (search for similar items in EconPapers)
Pages: 23
Date: 2016-02-12
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Citations: View citations in EconPapers (15)

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Journal Article: An Empirical Investigation of Oil-Macro-financial Linkages in Saudi Arabia (2017)
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