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    題名: The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration
    作者: Chang, Hsu-ling;Su, Chi-wei
    貢獻者: 淡江大學國際貿易學系暨國際企業研究所
    關鍵詞: lending-deposit rates;rank test;non-linearity
    日期: 2010
    上傳時間: 2011-07-28 00:51:54 (UTC+8)
    出版者: Czech National Bank
    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 non-parametric rank tests proposed by Breitung (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, in both the short term and the long term, between 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.
    關聯: Czech Journal of Economics and Finance 60(6), pp.534-540
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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