Chu V. Nguyen

Asymmetries in the Thai lending-deposit rate spread: an econometric analysis

This study examines the asymmetric behaviour of lending–deposit rate spread in the emerging Thai economy over the period 1991:1 to 2007:1. Although both the threshold autoregressive model and the Momentum Threshold Autoregressive (MTAR) model detect asymmetries, the MTAR model is a better fit for the sample data. The finding that Thai banks exhibit faster adjustment in lending rates when the spread is widening (i.e. falling deposit rates) than when the spread is narrowing (i.e. rising deposit rates) supports the consumer reaction hypothesis of Stiglitz and Weiss. This phenomenon is the result of the ‘oligopsonistic’ relationship between the banks and their powerful corporate customers, and the attendant practice of the ‘name’-based lending.

Asymmetric Adjustment in the Singaporean Consumer Loans-InterbankOvernight Rate Spread and Conditional Heterokedasticity

Asymmetries in the Singaporean consumer loans lending-interbank overnight rate spread were documented. Empirical results revealed that the spread adjusts to the threshold more slowly when the interbank overnight rates decrease relative to the consumer loans rates than when the interbank overnight rates move in the opposite direction. Additionally, the empirical findings indicate that Singaporean commercial banks exhibit predatory rate setting behaviour in consumer loans market. The results also show bidirectional Granger causality between the Singaporean consumer loans rate and the interbank overnight rate, indicating that the consumer loans rate and the interbank overnight 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 (3, 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 consumer loans rate.

Contagion of the US subprime mortgage crisis to emerging and transitional economies: experience and possible lessons

The impact of the US subprime crisis on the Chinese and Vietnamese transitional and the Colombian and Mexican emerging economies is analysed. The constant mean returns model was estimated and used to derive the ?abnormal returns? on the share prices of these economies. The cumulative and the average abnormal returns were also calculated. The results revealed that the financial crisis affected each of these economies differently. As compared to the US share price behaviour, the empirical findings indicate that the subprime mortgage crisis? impact on the Mexican and the Vietnamese economies preceded, while its impact on the Chinese and Colombian economies followed the event month. This phenomenon is attributable to the fluid nature of the remittances by expatriate Mexican and Vietnamese from the USA to their home countries. These findings should be of special interest to policymakers in developing economies in formulating their national economic policies.

Chinese renminbi, Mexican peso U.S. dollar exchange rates and their competitive positions in export markets

Since, in the NAFTA era, the Mexican economy is much more advanced in the manufacturing sector than those of other Latin American countries, Mexico competes directly with China for U.S. imports. This study empirically investigates the behavior of the Mexican peso/Chinese yuan, Mexican peso/U.S. dollar, and Chinese yuan/U.S. dollar real exchange rates to determine whether the exchange rate policies serve as contributing factors to the subpar performance of the Mexican economy. The empirical findings suggest that the Mexican, Chinese, and U.S. real exchange rates, over the sample period, prove consistent with predations of the purchasing power parity theory; therefore, exchange rate policies may not be a contributing factor to the poor performance of the Mexican economy.

The Vietnamese lending rate, policy-related rate, and monetary policy post-1997 Asian financial crisis

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.