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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 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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_321592
Date January 1996
ContributorsPang, Po Hing., Chinese University of Hong Kong Graduate School. Division of Economics.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vi, 99 leaves : ill. ; 30 cm.
CoverageCanada, Great Britain, Canada, Great Britain, Canada, Great Britain
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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