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題名 Causality between banking and currency fragilities: A dynamic panel model
作者 Shen, Chung-Hua;Chen, Chien-Fu
沈中華
貢獻者 金融系
關鍵詞 Twin fragility; Banking fragility; Currency fragility; Banking Financial Index; Exchange market pressure; Panel Granger causality
日期 2008
上傳時間 18-Mar-2015 14:49:39 (UTC+8)
摘要 A panel dynamic model both with and without a threshold is specified to reexamine the lead-lag relationship between banking and currency fragilities. We employ banking sector fragility (BSF) and exchange market pressure (EMP) as the proxies for banking and currency fragilities, respectively, where BSF is made up of real deposits, banks` real claims on the domestic private sector and the real foreign liabilities of banks, and EMP uses the weighted average of the exchange rate changes and foreign reserves. Among the banking sector fragilities, we consider three different proxies, namely, BSF1, BSF2 and BSF3, depending on the components used. Our 51 sample countries include 21 industrial and 30 developing countries. When the whole panel dynamic model is used, bilateral causality is found between the two fragilities using all sample countries. When using only industrial country data, the bilateral causation is found only between EMP and BSF2, but no relationship is found between BSF3 and EMP, or between BSF2⁎ and EMP. When developing countries are employed, stronger bilateral causality is found between banking and currency fragilities. When the panel threshold dynamic model is used, the results overwhelmingly suggest that bilateral causality exists.
關聯 Global Finance Journal , vol. 19, no. 2, pp. 85-101
資料類型 article
DOI http://dx.doi.org/10.1016/j.gfj.2007.11.003
dc.contributor 金融系
dc.creator (作者) Shen, Chung-Hua;Chen, Chien-Fu
dc.creator (作者) 沈中華zh_TW
dc.date (日期) 2008
dc.date.accessioned 18-Mar-2015 14:49:39 (UTC+8)-
dc.date.available 18-Mar-2015 14:49:39 (UTC+8)-
dc.date.issued (上傳時間) 18-Mar-2015 14:49:39 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73912-
dc.description.abstract (摘要) A panel dynamic model both with and without a threshold is specified to reexamine the lead-lag relationship between banking and currency fragilities. We employ banking sector fragility (BSF) and exchange market pressure (EMP) as the proxies for banking and currency fragilities, respectively, where BSF is made up of real deposits, banks` real claims on the domestic private sector and the real foreign liabilities of banks, and EMP uses the weighted average of the exchange rate changes and foreign reserves. Among the banking sector fragilities, we consider three different proxies, namely, BSF1, BSF2 and BSF3, depending on the components used. Our 51 sample countries include 21 industrial and 30 developing countries. When the whole panel dynamic model is used, bilateral causality is found between the two fragilities using all sample countries. When using only industrial country data, the bilateral causation is found only between EMP and BSF2, but no relationship is found between BSF3 and EMP, or between BSF2⁎ and EMP. When developing countries are employed, stronger bilateral causality is found between banking and currency fragilities. When the panel threshold dynamic model is used, the results overwhelmingly suggest that bilateral causality exists.
dc.format.extent 602794 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Global Finance Journal , vol. 19, no. 2, pp. 85-101
dc.subject (關鍵詞) Twin fragility; Banking fragility; Currency fragility; Banking Financial Index; Exchange market pressure; Panel Granger causality
dc.title (題名) Causality between banking and currency fragilities: A dynamic panel model
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.gfj.2007.11.003en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.gfj.2007.11.003 en_US