期刊論文
| 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 | en |
| ISSN | 1582-6163 |
| 期刊性質 | |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | ROU |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54914 ) |