An Econometrics Analysis of the Relationship between Interest rate and Loan rate. Albanian case

Abstract

On economic analysis, must often be detected if the loan rate responds to changes in interest rates. This problem is the object of study of this paper, regarding to Albanian case, for a period from August 1995 to October 2014. In this study conducted an empirical and econometric analysis to detect the connection that exists between the two variables rate loan and deposit interest rate. The construction of a VAR model is the focus of the second part of the paper. ADF and Granger test are used to study the stationarity and discover the relationship between the variables. ADF and the Engle- Granger two-step procedure are used to discover if the relation is also in long term periods.