Asymmetric Procyclicality of Chinese Banking and the Countercyclical Buffer of Basel III

Table 2

Results for the marginal distributions.

		Loan growth rate		Growth rate of industrial added value
		Coefficient	Std error	Coefficient	Std error
Mean equation	C
	AR(1)
	AR(2)
	MA(1)
	MA(2)	—	—
Variance equation	C
	ARCH
	GARCH
GED parameter