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Journal article

Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling

Authors list: Winker, P

Publication year: 1999

Pages: 267-277

Journal: Applied Economics

Volume number: 31

Issue number: 3

ISSN: 0003-6846

DOI Link: https://doi.org/10.1080/000368499324255

Publisher: Taylor and Francis Group

Abstract:
A model with credit rationing due to asymmetric information is combined with a marginal cost pricing approach to bank behaviour. The resulting model allows for explanation of the adjustment of deposit and loan rates to changes of the money market rate and is estimated in error correction form. Johansen's procedure is used to test the hypotheses. The hypothesis that deposit and loan rates do not adapt immediately to changes in the money market rate cannot be rejected based on German monthly data. The observation that loan rates react even slower than deposit rates can be rationalized by the effects of asymmetric information.

Authors/Editors

- Uni.-Prof. Dr. Peter Winker

Citation Styles

Harvard Citation style: Winker, P. (1999) Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling, Applied Economics, 31(3), pp. 267-277. https://doi.org/10.1080/000368499324255

APA Citation style: Winker, P. (1999). Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling. Applied Economics. 31(3), 267-277. https://doi.org/10.1080/000368499324255