| Summary: | 碩士 === 僑光科技大學 === 企業管理研究所 === 103 === This study investigates of asymmetric adjustment of retail interest rates in short, medium and long terms take Taiwan area as example. The samples of this paper taken from the Taiwan Economic Report database, by monthly frequency data for the analysis, were used by ADF unit root test, Johansen co-integration test, Threshold co-integration test and Error-correction model, and so on for the purpose of this study. The empirical results show that all interest rates are integrated of order one non-steady state.
Using the regression analysis and finding that retail interest rates respond from money market-call loan existence the presence of not complete pass-through of mark-up pricing mechanisms; and the longer the period of the deposit, the pass –through of degree greater. When adding the inflation rate as a threshold variable to consider the phenomenon of asymmetric interest rate in adjustment, we find that one month, three months, six months, nine months, 2 Yr. time save deposit and 3 Yr. time save deposit with money market-call loan are asymmetric (threshold) co-integration each other. And the short, medium rates will showed up, while very short-term (1 month time deposit) and long-term (3 Yr. time save deposit) will present downward.
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