The role of credit in the monetary transmission mechanism.
Pang Po Hing. === Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. === Includes bibliographical references (leaves 67-71). === ABSTRACT --- p.i === ACKNOWLEDGMENT --- p.ii === LIST OF TABLES --- p.v === LIST OF FIGURES --- p.vi === Chapter CHAPTER 1: --- INTRODUCTION --- p.1 === Chapter...
| Other Authors: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Chinese University of Hong Kong
1996
|
| Subjects: | |
| Online Access: | http://library.cuhk.edu.hk/record=b5888801 http://repository.lib.cuhk.edu.hk/en/item/cuhk-321592 |
| Summary: | Pang Po Hing. === Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. === Includes bibliographical references (leaves 67-71). === ABSTRACT --- p.i === ACKNOWLEDGMENT --- p.ii === LIST OF TABLES --- p.v === LIST OF FIGURES --- p.vi === Chapter CHAPTER 1: --- INTRODUCTION --- p.1 === Chapter CHAPTER 2: --- LITERATURE REVIEW --- p.4 === Chapter 2.1 --- Theoretical Review --- p.4 === Chapter 2.1.1 --- Properties of a Target Variable --- p.4 === Chapter 2.1.2 --- Money View --- p.4 === Chapter 2.1.3 --- Credit View --- p.5 === Chapter 2.2 --- Empirical Review --- p.8 === Chapter 2.2.1 --- Money View --- p.8 === Chapter 2.2.2 --- Credit View --- p.10 === Chapter CHAPTER 3: --- METHODOLOGY --- p.14 === Chapter 3.1 --- Vector Autoregression (VAR) --- p.14 === Chapter 3.1.1 --- Estimation of the Reduced Form VAR Model --- p.14 === Chapter 3.1.2 --- The Parameters Restrictions --- p.17 === Chapter 3.1.3 --- The Wald Statistics --- p.23 === Chapter 3.1.4 --- Impulse Response Functions --- p.24 === Chapter 3.1.5 --- Variance Decompositions --- p.25 === Chapter 3.1.6 --- Structural Decomposition --- p.26 === Chapter 3.2 --- Data Diagnoses --- p.27 === Chapter 3.2.1 --- Stationarity of the Time Series --- p.27 === Chapter 3.2.1.1 --- Definition of Stationarity --- p.27 === Chapter 3.2.1.2 --- The Unit Root Tests --- p.27 === Chapter 3.2.1.2a --- The Augmented Dickey and Fuller Tests --- p.27 === Chapter 3.2.1.2b --- The Phillips and Perron Tests --- p.29 === Chapter 3.2.1.2c --- Lag Lengths for the Unit Root Tests --- p.30 === Chapter 3.2.2 --- Selecting the Order of the VAR Model --- p.31 === Chapter 3.2.1 --- Tests for the Model Stability --- p.31 === Chapter 3.3 --- Estimation Procedures --- p.34 === Chapter CHAPTER 4: --- EMPIRICAL RESULTS --- p.36 === Chapter 4.1 --- Results of the Data Diagnoses --- p.36 === Chapter 4.1.1 --- Results of the Unit Root Tests --- p.36 === Chapter 4.1.2 --- Lag Length of the VAR Model --- p.38 === Chapter 4.1.3 --- Results of the Likelihood Ratio Tests --- p.38 === Chapter 4.2 --- Estimation of the Reduced Form VAR Model --- p.39 === Chapter 4.2.1 --- Results of the Parameters Estimates --- p.39 === Chapter 4.2.2 --- The Wald Statistics --- p.43 === Chapter 4.2.3 --- Variance Decompositions --- p.47 === Chapter 4.2.4 --- Impulse Response Functions --- p.54 === Chapter CHAPTER 5: --- IMPLICATIONS AND CONCLUSIONS --- p.62 === REFERENCES --- p.67 === APPENDICES --- p.72 |
|---|