Please use this identifier to cite or link to this item:
|Title:||The Effects of Credit Channel in a Small Open Economy with Perfect Capital Mobility|
LIU, CHUN LIN
LIU, CHUN LIN
Bank Lending Channel
|Issue Date:||2009-09-14 13:32:39 (UTC+8)|
|Abstract:||The credit channel literature has made great strides in recent years, however, much of the literature to date has focused largely on the closed economy. Even some of the literatures are in a framework of an open economy, they only concentrate on the fixed or a quasi-fixed exchange rate regime. Therefore, the aim of this paper is to complete the theoretical framework by extending the Bernanke and Blinder model to the case of an open economy under a floating exchange rate regime. We find that the exchange rates puzzle takes place in our model when the influence from credit channels is very significant. We further to compare the credit channel effects under different models. Moreover, we adopt a cointegration analysis to study the credit channel effect, and the empirical evidences show that the credit channels exist in Taiwan for the sample period during November 1991 to January 2005.|
|Reference:||Abrams, B. A. and F. R. Settle (2003), “Do Fixed Exchange Rates Fetter Monetary Policy? A Credit View,” Department of Economics Alfred Lerner College of Business & Economics University of Delaware, Working Paper, No. 2003-09, pp. 1-17.|
Bernanke, B. S. (1983), “Non-monetary Effects of the Financial Crisis in the Propagation of the Great Depression,” Journal of Political Economy, Vol. 100, pp. 1047-1077.
Bernanke, B. S. and S. A. Blinder (1988), “Is it Money or Credit, or Both, or Neither? Credit, Money, and Aggregate Demand,” American Economic Review, Papers and Proceedings, Vol.78, pp. 435-440.
Bernanke, B. S. and S. A. Blinder (1992), “The Federal Fund Rate and the Channels of Monetary Transmission,” American Economic Review, Vol. 82, pp. 901-921.
Morris, C. and Sellon, Jr. (1995), “Bank Lending and Monetary Policy: Evidence on a Credit Channel,” Economic Review, Vol. 80, pp. 60-75.
Chiades, P. and L. Gambacorta (2004), “The Bernanke and Blinder Model in an open economy: The Italian Case,” German Economic Review, Vol. 5, pp. 1-34.
Cheng, H. P., (2004), “A Study on the Credit Transmission Mechanism of the Monetary Policy in Taiwan,” Master Thesis, Graduate School of Economics National Cheng Chi University. (in Chinese)
Dickey, D.A. and Fuller, W.A. (1979), “Distribution of Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 49, pp. 427-431.
Dickey, D.A. and Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, Vol. 49, pp. 1057-1072.
Dornbusch, R (1976), “Expectations and Exchange Rate Dynamics,” The Journal of Political Economy, Vol. 84, pp. 1161-1176.
Friedman, M. and A. J. Schwartz (1963), “A Monetary History of the United States, 1867-1960,” Princeton, N.J.: Princeton University Press.
Godfrey, L. (1978), “Testing Against General Autoregressive and Moving Average Error Models when the Regressors Iinclude Lagged Dependent Variables,” Econometrica, Vol. 46, pp. 1293-1302.
Godfrey, L. (1978), “Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables,” Econometrica, Vol. 46, pp. 1303-1310.
Gonzalo, J (1994), “Five Alternative Methods of Estimating Long-run Equilibrium Relationships,” Journal of Econometrics, Vol. 60, pp. 203-233.
Huang (2003), “Evidence of A Bank Lending Channel in the UK,” Journal of Banking and Finance, Vol. 27, pp. 491-510.
Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.
Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-220.
Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models,” Econometrica, Vol. 59, pp. 1551-1580.
Johansen, S. and K. Juselius (1992), “Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK,” Journal of Econometrics, Vol. 53, pp. 211-244.
Kashyap, A. K. and J. C. Stein (1995), “The Impact of Monetary Policy on Bank Balance Sheets,” Carnegie-Rochester Conference Series on Public Policy, Vol. 42, pp. 151-159.
Kashyap, A. K., J. C. Stein and D. W. Wilcox (1993), “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance,” American Economic Review, Vol. 83, pp. 78-98.
Kishan, R. P. and T. P. Opiela (2000), “Bank Size, Bank Capital, and the Bank Lending Channel,” Journal of Money, Credit, and Banking, Vol. 32, pp. 122-141.
Krugman, P. R. and M. Obstfeld, (1997), International Economics: Theory and Policy. New York: Addison-Wesley.
Ljung, G. M. and G. E. P. Box (1978), “On a Measure of Lack of Fit in Time Series Models,” Biometrika, Vol. 67, pp. 297-303.
Mundell, R. A. (1963), “Capital Mobility and Stablization Policy under Fixed and Flexible Exchange Rates,” Canadian Journal of Economics, Vol. 15, pp. 87-103.
Pill, H. (1997), “Bank Behaviour and Monetary Policy in a Small Open Economy: the Case of Spain,” Graduate School of Business Administration Harvard University.
Wang, S. W. (1994), “The Monetary Policy And the Credit Condition-an Empirical Study on Taiwan,” Master Thesis, Graduate School of Finance Tam Kang University. (in Chinese).
|Appears in Collections:||[Department of Economics] Theses|
Files in This Item:
All items in 學術集成 are protected by copyright, with all rights reserved.