教師資料查詢 | 類別: 期刊論文 | 教師: 蘇志偉 Su, Chih-wei (瀏覽個人網頁)

標題:Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
學年98
學期1
出版(發表)日期2010/01/01
作品名稱Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
作品名稱(其他語言)
著者Su, Chi-Wei; Chang, Hsu-Ling
單位淡江大學國際貿易學系
出版者Bucharest: Academia Romana * Institutul de Prognoza Economika
著錄名稱、卷期、頁數Romanian Journal of Economic Forecasting 13(2), pp.165-175
摘要This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the threshold models by Enders and Granger (1998) and Enders and Siklos (2001). Based upon our adoption in this study of the threshold error-correction model (TECM), we find solid evidence of an asymmetric price transmission effect between the lending and deposit rates. Thus, our results reveal that there are indeed such long-run non-linear cointegration relationships between the lending and deposit rates in these Eastern European countries. Furthermore, we go on to successfully capture the dynamic adjustment of the spread.
關鍵字Lending-Deposit Rates Spread; Threshold Model; Threshold Error-Correction Model (TECM)
語言英文
ISSN1582-6163
期刊性質
收錄於SSCI
產學合作
通訊作者
審稿制度
國別羅馬尼亞
公開徵稿
出版型式紙本
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