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AuthorNechi S.
AuthorSmaoui H.E.
Available date2020-04-01T09:45:57Z
Publication Date2019
Publication NameQuarterly Review of Economics and Finance
ResourceScopus
ISSN10629769
URIhttp://dx.doi.org/10.1016/j.qref.2018.05.003
URIhttp://hdl.handle.net/10576/13722
AbstractMotivated by the size and the growth of the global Islamic financial services industry, 17 Islamic Banks in six Islamic countries, in conjunction with Thompson Reuters, developed an Islamic Interbank Benchmark Rate (IIBR, hereafter) to address the Sharia compliance requirements of Islamic banks in the money market. This paper examines to what extent this newly introduced monetary tool differs from the conventional interbank rates used in the countries of contributing banks to the IIBR. We use cointegration analysis, Granger causality tests and Vector Autoregressive Models to investigate the dynamics and the inter-temporal linkages between the Islamic and conventional interbank benchmarks in five countries from Gulf Cooperation Council (GCC, hereafter) region. Results show that the IIBR exhibits a long-run relationship with the conventional rates and fails to be independently determined. Our findings advocate also that market conditions such as oil prices and inflation do not contribute to the dynamics between the IIBR and the conventional interest-based interbank benchmarks. - 2018 Board of Trustees of the University of Illinois
Languageen
PublisherElsevier B.V.
SubjectCointegration
Conventional interbank rates
Granger causality
Islamic finance
Islamic interbank benchmark rate
Vector autoregression model
TitleInterbank offered rates in Islamic countries: Is the Islamic benchmark different from the conventional benchmarks?
TypeArticle
Pagination75-84
Volume Number74
dc.accessType Abstract Only


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