Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274853 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 8 [Article No.:] 331 [Year:] 2022 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
Typically, the explanatory variables included in a regression model, in conjunction with the omitted relevant regressors implied by the usual error term, have both direct and indirect effects on the dependent variable. Attempts to obtain their separate estimates have been plagued with simultaneity issues. To circumvent these problems, this paper defines their sum as "total effects", develops a time-varying coefficients methodology for their estimation without simultaneity bias, and applies these techniques to estimate the total effects of commercial bank credit per-capita on real GDP per-capita in Mauritius. An innovation is the introduction of extraneous variables that act as "coefficient drivers" chosen on the basis of best predictive performance, as measured by the smallest value of Theil's U-statistic we were able to locate in the estimation.
Subjects: 
bank credit
coefficient drivers
direct effects
economic growth
indirect effects
real GDP
Theil&#x2019
s U statistic
threshold regression
total effects
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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