Costs of Adjustment, Portfolio Separation, and the Dynamic Behavior of Bank Loans and Deposits – Revised
修订了Elyasiani等人(1995)的动态优化模型，指出在调整成本且无投资组合分离时，最优政策函数是一阶向量自回归模型，而非二阶；并纠正了其经验方法，提出应使用面板向量自回归模型进行估计。
Abstract We revise the solutions of the dynamic optimization model of Elyasiani, Kopecky, and Van Hoose (1995), and show that the optimal policy function for the case of adjustment costs and no portfolio separation is a vector autoregressive model of order 1, and not of order 2. In addition, the empirical approach of Elyasiani, Kopecky, and Van Hoose (1995) is incorrect. The optimal policy functions for the no portfolio separation case have to be estimated with a panel vector autoregression model and not with a simultaneous equation approach. We also describe how the portfolio separation hypothesis can be tested empirically based on the correct policy functions.