Dynamic hetero-risk: the major determinant of loan rate pass-through mechanism in Taiwan

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题名:	Dynamic hetero-risk: the major determinant of loan rate pass-through mechanism in Taiwan
作者:	阮氏清萍 Kuan-Min, Wang;Thanh-Binh Nguyen Thi;Shu-Hui Wu,
贡献者:	會計系
关键词:	interest rate pass-through;hetero-risk;threshold cointegration;error correction model.
日期:	2008
上传时间:	2010-11-09 09:10:29 (UTC+8)
摘要:	This study develops a common-use proxy based on the so-called "current depth of recession" (CDR) measure of economic performance. The proposed proxy, termed MCDR, removes the limitations of the nonlinear model from the CDR. The MCDR enjoys the benefits of the CDR but also extends directly to threshold variables, becoming a useful covariate in general threshold models. Considering the correlation between annual stock returns and economic growth rates in 25 countries during the last 44 years, we employ the MCDR as a threshold variable in a threshold vector autoregressive model. The empirical results show that stock returns mostly lead economic growth rates during recessions but are unable to effectively predict growth rates during expansions. We find that the MCDR represents a useful construction, enlarging the scope of practical CDR applications.
關聯:	Banks and Bank Systems (EconLit), Vol. 3 (4)
显示于类别:	[會計系] 期刊/會議/專書論文

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