Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries

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Title:	Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
Authors:	Su, Chi-Wei;Chang, Hsu-Ling
Contributors:	淡江大學國際貿易學系
Keywords:	Lending-Deposit Rates Spread;Threshold Model;Threshold Error-Correction Model (TECM)
Date:	2010
Issue Date:	2011-07-28 00:55:01 (UTC+8)
Publisher:	Bucharest: Academia Romana * Institutul de Prognoza Economika
Abstract:	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.
Relation:	Romanian Journal of Economic Forecasting 13(2), pp.165-175
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

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