An Empirical Study on the Relationship Between Interest Rate Levels of Banks and Unorganized Money Markets

• Main Authors: Huang, Min-Fen, 黃敏芬
• Other Authors: gfd
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/96984189123319048582

碩士 === 東吳大學 === 經濟學系 === 85 === To study the relationship between the interest rate levels of banks and unorganized money markets,most published papers focus on constructingmodels to search explaining variables for the interest rate levels ofunorganized money market.Very few papers do the empirical study betweenthese two interest rates.It is the purpose of this papers to do an empirical study on the relationship between interest rate levels of banks and unorganized money markets.By using the cointegration method,we get the long-run relationship between these two interest rates. Also,the error correction model shows the short-run adjustment processbetween these two interest rates.To analysis the impact of interest rate liberalization and avoid the problems of Lucas' critique.We do the super exogeneity test for the parameters of the error correctionmodel.Our empirical results show that the parameters of short-run error correction model do have the property of super exogeneity.The liberalization of deposit rates does not narrow down the gap betweenthe interest rate levels of banks and unorganized money markets in the short-run;but it does in the long-run.The liberalization of loan rates does not narrow down the gap between these two interest rate levels in the short-run and long-run.