Wang, Kuan-Min; Thi, Thanh-binh Nguyen - In: Applied economics 42 (2010) 4/6, pp. 659-670
This study employs the asymmetric threshold cointegration test suggested by Enders and Siklos (2001) and creates asymmetric EC-EGARCH(1, 1)- M model to investigate the pass-through of money-market rate to banking retail rates in Taiwan and Hong Kong. It further explores the impact of interest...