Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147741
Authors: 
Nguyen, Chu V.
Year of Publication: 
2015
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 3 [Year:] 2015 [Issue:] 1 [Pages:] 1-13
Abstract: 
Asymmetries in the Vietnamese lending central bank's policy-related rate spread were documented. Empirical results revealed that the spread adjusts to the threshold faster when the central bank's policy-related rates decrease relative to the lending rates than when the central bank's policy-related rates move in the opposite direction. Additionally, the empirical findings indicate that Vietnamese commercial banks exhibit competitive rate setting behavior which may be attributable to graft maximization by bank's management. The results also show bidirectional Granger causality between the Vietnamese lending rate and the central bank's policy-related rate, indicating that the lending rate and the central bank's policy-related rate affect each other's movements. These results suggest that monetary authority can use its countercyclical monetary policy instruments to achieve its macroeconomics objectives. However, the estimation results of the GARCH (2, 3)-in-Mean model suggest that they should intervene more frequently and by small policy measures to minimize the conditional variance of the spread to minimize the magnitude of the cycle of the lending rate.
Subjects: 
asymmetry
lending rate
central bank's policy-related rate
intermediation premium
Vietnam
predatory pricing behavior
Granger causality
countercyclical monetary policy
JEL: 
C22
E44
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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