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    题名: Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
    作者: 蘇志偉;Chang, Hsu-ling
    贡献者: 淡江大學國際貿易學系暨國際企業研究所
    日期: 2010-07
    上传时间: 2011-10-22 23:50:38 (UTC+8)
    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.
    關聯: Romanian Journal of Economic Forecasting (13), pp.165-175
    显示于类别:[國際企業學系暨研究所] 期刊論文

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