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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73912

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73912

Title:	Causality between banking and currency fragilities: A dynamic panel model
Authors:	Shen, Chung-Hua;Chen, Chien-Fu 沈中華
Contributors:	金融系
Keywords:	Twin fragility;Banking fragility;Currency fragility;Banking Financial Index;Exchange market pressure;Panel Granger causality
Date:	2008
Issue Date:	2015-03-18 14:49:39 (UTC+8)
Abstract:	A panel dynamic model both with and without a threshold is specified to reexamine the lead-lag relationship between banking and currency fragilities. We employ banking sector fragility (BSF) and exchange market pressure (EMP) as the proxies for banking and currency fragilities, respectively, where BSF is made up of real deposits, banks` real claims on the domestic private sector and the real foreign liabilities of banks, and EMP uses the weighted average of the exchange rate changes and foreign reserves. Among the banking sector fragilities, we consider three different proxies, namely, BSF1, BSF2 and BSF3, depending on the components used. Our 51 sample countries include 21 industrial and 30 developing countries. When the whole panel dynamic model is used, bilateral causality is found between the two fragilities using all sample countries. When using only industrial country data, the bilateral causation is found only between EMP and BSF2, but no relationship is found between BSF3 and EMP, or between BSF2⁎ and EMP. When developing countries are employed, stronger bilateral causality is found between banking and currency fragilities. When the panel threshold dynamic model is used, the results overwhelmingly suggest that bilateral causality exists.
Relation:	Global Finance Journal , vol. 19, no. 2, pp. 85-101
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.gfj.2007.11.003
DOI:	10.1016/j.gfj.2007.11.003
Appears in Collections:	[金融學系] 期刊論文

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