The determinants of China's lending rates and interest rates pass-through: A cointegration analysis

Autor:	Kerry Liu
Rok vydání:	2019
Předmět:	Economics and Econometrics Money market Cointegration Liberalization media_common.quotation_subject Asset quality 05 social sciences Monetary economics Interest rate 0502 economics and business Economics 050207 economics China 050205 econometrics media_common Shadow (psychology)
Zdroj:	Research in Economics. 73:66-71
ISSN:	1090-9443
DOI:	10.1016/j.rie.2019.02.002
Popis:	Based on quarterly data between Q4, 2008–Q4, 2017, this study examines the interest rates pass-through from policy rate to lending rates, and more broadly, the determinants of lending rates in China. The results show that while there is a certain level of pass-through from money market rates to lending rates, and the interest rates pass-through has improved after the interest rate liberalization completion on October 2015, this pass-through is also negatively affected by the asset quality of commercial banks and shadow banking activities as well. This study also finds that the macroeconomic condition also affects the lending rates.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a1af766ea9a3559a2f4e230dd8e303be https://doi.org/10.1016/j.rie.2019.02.002 Zobrazit plný text záznamu Full Text from ScienceDirect