Chung-Hua Shen

Learn More
Despite increasing evidence that banking crises are brought about by changes in both micro factors and the macro environment. Few researchers have conducted empirical studies which systematically examine the concurrent contributions of these changes. This research combines micro and macro approaches, thus devising a modified early warning system it possible(More)
This paper employs a threshold vector autoregressive (TVAR) model where the data is subdivided into low and high inflation regimes. Monetary policy is endogenized in this framework and two different measures of monetary policy, viz. NBR and M1, are investigated. The interest rate is hypothesized to respond inversely to increased monetary growth in the low(More)
This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate that the three features exist in the Taiwan(More)
This paper investigates the common volatility structure of Taiwan's stock and exchange rate markets. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the(More)
Is investment cash-flow sensitivity affected by a country's capital market imper-fection? We take 42 countries as our sample and collect six imperfect capital market measures (ICAM), ie., the stock market capitalization ratio, number of publicly-listed firm, stock turnover ratio, bank loan ratio, long-term debt ratio and the interest spread. Using a(More)
In this study, we reinvestigate the question of whether government banks are inferior to private banks. We use cross country data from 1993 to 2007 to trace the different types of government banks. These types comprise banks that acquire distressed banks, normal banks, or no banks at all. Contrary to common belief, the evidence shows that unless government(More)
9 Employing data sets from 46 countries, this paper identifies a significant positive rela-10 tionship between the performance of the financial sector and the non-financial ones in the 11 presence of a growth rate in the GDP and in inflation rates. To account for this relationship, 12 we initially put forth four hypotheses. Results show that " bank(More)
This paper studies the cost efficiency of bank in a partial universal banking system (PUBS), Taiwan. Instead of assuming one common technology in the bank cost function, two technologies are assumed to be imbedded in the cost function. We use fee revenues as threshold to divide the banks into two technologies. A bank whose fee revenues exceeding the(More)
a r t i c l e i n f o a b s t r a c t This paper investigates how crosscountry variations in institutional variables affect the relationship between rating changes and firms' capital structure adjustment. Our results demonstrate first that the asymmetric effect exists, that is, firms adjust their capital structure when ratings are downgraded, but do not(More)