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Portofolio behaviour of scheduled banks of Pakistan

Muhammad, Zahid (2010)
Ph.D. thesis, University of Birmingham.

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Abstract

This study has attempted to explain the portfolio behavior of the Pakistani Schedule banks and to provide the Pakistan monetary authorities with the best possible model through which they can influence the economy. First of all, we have investigated the links between monetary policy, the Banking Sector and the (aggregate) real economy in Pakistan over a forty year period, which commences in 1964. We have focused here to study how banks play a vital role in the monetary transmission mechanism through the banking credit channel. This study in chapter three provides the background for the two portfolio chapters where particular emphasis has given to the mean-variance form of expected utility and safety first Principle. Both static and dynamic versions of these models are examined. It is observed that these types of models, generally, perform well in terms of the traditional “goodness of fit” measures. Theoretical restriction on the properties of the demand/supply equations such as symmetry, homogeneity and joint homogeneity and symmetry were tested within each and every alternative model specification. For the estimation of the models, we used semi-annual balance sheet data of the State Bank of Pakistan for the period 1964:2-2005:1. Our main finding is that dynamic model performs better than static model in both expected utility model and safety first model and safety first dynamic model marginally perform better than expected utility dynamic model in terms of coefficients’ significance of interest rates and general stock adjustments.

Type of Work:Ph.D. thesis.
Supervisor(s):Dickinson, David G. and Ford, J. L.
School/Faculty:Colleges (2008 onwards) > College of Social Sciences
Department:Department of Economics
Subjects:HG Finance
HJ Public Finance
Institution:University of Birmingham
Library Catalogue:Check for printed version of this thesis
ID Code:1378
This unpublished thesis/dissertation is copyright of the author and/or third parties. The intellectual property rights of the author or third parties in respect of this work are as defined by The Copyright Designs and Patents Act 1988 or as modified by any successor legislation. Any use made of information contained in this thesis/dissertation must be in accordance with that legislation and must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the permission of the copyright holder.
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