貸出市場における構造変化の検証

抄録

The purpose of this paper is to make a empirical analysis of the adjustment speed of the bank loan rate. The crucial changes occurred in recent Japanese loan market. The previous studies showed that the adjustment speed of the bank loan rate increased. They estimated the parameters of a linear regression system obeying different regimes. They have a problem in that the regressions arn likely to be contaminated with observations from the other regimes. This paper circumvents this problem by a finding the switching points in time using the simulation method.