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Testing a Disequilibrium Model of Lending Rate Determination [electronic resource] : The Case of Malaysia, Scholnick, Barry.

Author/Creator:
Scholnick, Barry.
Publication:
Washington, D.C. : International Monetary Fund, 1991.
Format/Description:
Government document
Book
1 online resource (43 p.)
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 91/84.
IMF Working Papers; Working Paper No. 91/84
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Local subjects:
Autocorrelation. (search)
Bank behavior. (search)
Bank interest. (search)
Bank interest rates. (search)
Bank lending. (search)
Bank profits. (search)
Bank supervision. (search)
Banking. (search)
Banking firm. (search)
Banking model. (search)
Banking models. (search)
Banking system. (search)
Central banking. (search)
Cointegration. (search)
Confidence interval. (search)
Confidence intervals. (search)
Constant mean. (search)
Constant variance. (search)
Dynamic models. (search)
Econometrics. (search)
Equation. (search)
Equations. (search)
Excess demand. (search)
Functional form. (search)
Heteroscedasticity. (search)
Independent variable. (search)
Independent variables. (search)
Interbank market. (search)
Lagrange multiplier test. (search)
Marginal cost pricing. (search)
Monte carlo methods. (search)
Optimization. (search)
Probability. (search)
Reserve ratio. (search)
Reserve requirement. (search)
Sample size. (search)
Significance level. (search)
Standard errors. (search)
Statistic. (search)
Statistics. (search)
Survey. (search)
Time series. (search)
Malaysia. (search)
Summary:
This study examines whether lending rates cleared the market for loans in Malaysia after interest rate liberalization. It is based on a theoretical model in which adverse selection and marginal cost pricing are brought together by the use of a quadratic loss function in the error correction format. This allows for the use of the cointegration methodology. Long-run tests support the model proposed in the paper, while rejecting part of the financial liberalization model. From the short-run results it is concluded that there is a large lag before lending rates respond to exogenous shocks, thus confirming that they do not fully clear the market for loans.
Notes:
Description based on print version record.
Contributor:
Scholnick, Barry.
Other format:
Print Version:
ISBN:
1451954360:
9781451954364
ISSN:
1018-5941
Publisher Number:
10.5089/9781451954364.001
Access Restriction:
Restricted for use by site license.