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Can Islamic banks have their own benchmark?

机译：伊斯兰银行可以有自己的基准吗？

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摘要

This paper attempts to answer whether Islamic banks can have their own benchmark rate. In so doing, the paper investigates the nature of the relationship Islamic interbank benchmark rate (IIBR) and its comparable conventional counterpart, London interbank offer rate (LIBOR). The dynamics of the two series are investigated to examine the stability of the spread between IIBR and LIBOR, referred to as 'Islamic premium' or 'piety premium'. The findings suggest that there are both long-term and short-term dynamic relationships between the two rates providing significant evidence of their convergence and co-movement. Our results also show that the existence of the IIBR-LIBOR spread is a reflection of the cost of funding and profit potential of the participating IIBR rate-setters. We find that, in addition to the determinants of the credit spreads, fundamental news of the panel banks are dominant factors driving the 'piety premium'. We argue that the Islamic banking industry is operating in a global context, where it is highly improbable that its rates can decouple from the global benchmarks. Given that Islamic banking products and their risk return profile are similar to conventional products, arbitrage activities force Islamic rates to converge with the global benchmark rates. (C) 2018 Elsevier B.V. All rights reserved.
机译：本文试图回答伊斯兰银行是否可以拥有自己的基准利率。在此过程中，本文研究了伊斯兰银行同业拆借基准利率（IIBR）与可比的常规同业伦敦同业拆借利率（LIBOR）之间关系的性质。对这两个系列的动态进行了研究，以检验IIBR和LIBOR之间的价差（称为“伊斯兰溢价”或“小额溢价”）的稳定性。研究结果表明，这两个比率之间存在长期和短期动态关系，为它们的趋同和共同运动提供了重要证据。我们的结果还表明，IIBR-LIBOR利差的存在反映了参与IIBR利率决定者的资金成本和获利潜力。我们发现，除了决定信用利差的因素外，面板银行的基本新闻也是推动“小额溢价”的主要因素。我们认为，伊斯兰银行业在全球范围内运作，极不可能使其利率与全球基准脱钩。鉴于伊斯兰银行产品及其风险回报状况与传统产品相似，套利活动迫使伊斯兰利率与全球基准利率趋于一致。 （C）2018 Elsevier B.V.保留所有权利。

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  • 来源
    《Emerging markets review》 |2018年第6期|120-136|共17页
  • 作者

    Azad A. S. M. S.; Azmat Saad; Chazi Abdelaziz; Ahsan Amirul;

  • 作者单位

    Deakin Univ, Fac Business & Law, Deakin Business Sch, Dept Finance, 221 Burwood Highway, Burwood, Vic 3125, Australia;

    Lahore Univ Management Sci, Sect U, DHA, Suleman Dawood Sch Business, Lahore Cantt 54792, Pakistan;

    Amer Univ Sharjah, Sch Business Adm, Dept Finance, Sharjah, U Arab Emirates;

    Deakin Univ, Fac Business & Law, Deakin Business Sch, Dept Finance, 221 Burwood Highway, Burwood, Vic 3125, Australia;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    IIBR; LIBOR; Islamic premium; Structural model;

    机译：IIBR;LIBOR;伊斯兰溢价;结构模型;

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