Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 31 (1999)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:31:y:1999:i:3:p:267-277. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.