Deposit Rate Pass-Through in Selected Latin American Economies over the Post-2008 World

PurposeThis paper examines the sluggish adjustment of deposit interest rate categories with response to policy rate changes in a developing economy.Design/methodology/approachSymmetric and asymmetric error correction models (ECMs) are employed to test the pass-through effect and adjustment speed of deposit rates when above or below their equilibrium levels.FindingsThe findings reveal an incomplete pass-through effect in both the short run and long run while mixed results of symmetric and asymmetric adjustment speed across the different deposit rate categories are observed. Collusive pricing arrangement behavior is supported by deposit rate categories that adjust more rigidly upwards than downwards, while negative customer reaction behavior is supported by deposit rate categories that adjust more rigidly downwards than upwards.Practical implicationsEven though the findings indicate an aspect of increased responsiveness over the period, the sluggish adjustment of deposit rates imply that monetary policy is still ineffective and not uniform across the different deposit rate categories.Originality/valueTo the best of the authors' knowledge, this is the first study to empirically examine both symmetric and asymmetric adjustment behavior of deposit interest rate categories in Kenya. The findings are key to policy makers as they provide insights on how long it takes to adjust different deposit rate categories to monetary policy decisions. In addition, the behavior of deposit rates partly explains why interest rates capping was imposed in Kenya in 2016.

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Bank competition and interest rate pass-through in the BRICS

International Journal of Emerging Markets ◽

10.1108/ijoem-05-2011-0046 ◽

2014 ◽

Vol 9 (4) ◽

pp. 471-487 ◽

Cited By ~ 3

Author(s):

Gideon Fadiran

Keyword(s):

South Africa ◽

Interest Rate ◽

Interest Rates ◽

Research Output ◽

Central Banking ◽

Deposit Rate ◽

Content Type ◽

Reaction Theory ◽

Pass Through ◽

Customer Reaction

Purpose – The purpose of this paper is to examine and compare the interest rate pass-through among the Brazil, Russia, India, China and South Africa (BRICS) emerging markets. Design/methodology/approach – The paper reviews a general literature on interest rates pass-through by applying a cointegration and asymmetric mean adjustment lag (MAL) error correction methodology (ECM). Findings – A symmetric adjustment is found in Russia, China and South Africa's deposit rate, while an asymmetric adjustment is found in Brazil and India's deposit rate adjustments. The presence of a customer reaction theory is found in Brazil, India, China and South Africa's deposit rate adjustments, while a collusive pricing arrangement is found in Russia. From the lending rate adjustment, a collusive pricing arrangement was found in Brazil, China and South Africa, while a customer reaction theory was found in India and Russia. Research limitations/implications – The sample period used in the study covers a period starting from the formal recognition of BRIC (2001-2010), which limits the data length. Practical implications – The research output and implication can assist monetary policy makers, investors and consumers to monitor BRICS’ central banking, commercial banking and competition behaviour, individually and as a group. The BRICS are potentially heading towards a more financially integrated bloc as multilateral agreements among members increases. This is in the form of Letters of Credit and Memorandum of Understanding. These agreements should boost intra-BRICS financial transactions, investments and trade. Originality/value – This is, to the best of knowledge, the first analysis of BRICS interest rate pass-through using the asymmetric MAL ECM application.

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Mexico

IMF Staff Country Reports ◽

10.5089/9781475556032.002 ◽

2016 ◽

Vol 2016 (360) ◽

Author(s):

Keyword(s):

Monetary Policy ◽

Deposit Rate ◽

Percentage Point Increase ◽

Point Increase ◽

Mortgage Rates ◽

Pass Through ◽

Long Term Impact ◽

Transmission Of Monetary Policy

This Selected Issues paper analyzes transmission of monetary policy rates to lending and deposit rates in Mexico. The results show that transmission of the policy rate to market rates is statistically significant in all cases, except for mortgage rates. For sight deposits, pass-through is low, with a 1 percentage point increase in the policy rate leading to a 0.2 percentage point rise in the deposit rate. For term deposits the pass-through is stronger, but remains below unity at 0.7. The pass-through to both lending and deposit rates is very rapid. The dynamic specifications show that pass-through is significant in either the current or the following month, and the long-term impact is achieved during the second month.

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Loom of Symmetric Pass-Through

Economies ◽

10.3390/economies7010011 ◽

2019 ◽

Vol 7 (1) ◽

pp. 11

Author(s):

Afsin Sahin

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Real Exchange Rate ◽

Stock Prices ◽

Real Interest Rate ◽

Deposit Rate ◽

The Real ◽

Lending Rate ◽

Lending Rates ◽

Pass Through

This paper analyzes the effects of the real policy interest rate on the banking sector lending rate, the deposit rate, real stock prices, and the real exchange rate using the Engle Granger cointegration method (EG), the vector error-correction model (VECM), and the nonlinear vector error-correction model (NVECM) with monthly Turkish data over the period January 2002–April 2018. (1) EG results indicate bivariate cointegration relationships between the real interest rate, lending rates, and the deposit rate. The real interest rate increases all lending rates, mainly the housing rate. However, the long-run coefficient for the real exchange rate is not statistically significant. The pass-through is higher for the deposit rate than for lending rates. Moreoever, real stock prices shrink substantially where the finance sector has been affected the most. (2) VECM results indicate a cointegration relationship between all the variables except for the real exchange rate, which has a statistically non-significant pass-through coefficient. The real interest rate has a noteworthy long-run positive effect on the housing loans lending rate compared to others. The affirmative effect on real stock prices is the highest for the technology sector. The short-run effect of the real interest rate on lending rates, real stock prices and the real exchange rate are statistically non-significant except for the overall stock price index, and the vehicle loans lending rate which has a higher coefficient than the deposit rate. (3) NVECM results allow testing of eleven hypotheses and highlight the symmetric relationship and the valid pass-through effect, and reject the strong exogeneity assumption for all variables.

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The Impact of Monetary Policy on Lending and Deposit Rates in Pakistan: Panel Data Analysis

THE LAHORE JOURNAL OF ECONOMICS ◽

10.35536/lje.2011.v16.isp.a8 ◽

2011 ◽

Vol 16 (Special Edition) ◽

pp. 199-213 ◽

Cited By ~ 2

Author(s):

Hasan Muhammad Mohsin

Keyword(s):

Monetary Policy ◽

Data Analysis ◽

Discount Rate ◽

Panel Data Analysis ◽

Deposit Rate ◽

Long Run ◽

Significant Difference ◽

Pass Through ◽

The Impact ◽

Effectiveness Of Monetary Policy

This study estimates the impact of monetary policy on lending and deposit rates in Pakistan, using bank data for the period November 2001 to March 2011. We find evidence of a long-run relationship between the lending and discount rate, but the deposit rate is not co-integrated, and the pass-through is not complete. The study finds that, overall, banks pass on only 20 percent of the impact of a change in the discount rate to lenders in the first month. There is also a significant difference among various banks’ pass-through rates. A shortrun analysis reveals that the pass-through of the deposit rate is low at 0.16, which implies that the effectiveness of monetary policy is limited in Pakistan.

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Interest Rate Pass-Through: Empirical Study Towards Monetary Policy Transmission Effectiveness in Indonesia

AFEBI Economic and Finance Review ◽

10.47312/aefr.v2i02.92 ◽

2018 ◽

Vol 2 (02) ◽

pp. 14

Author(s):

Heni Hasanah

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Central Bank ◽

Monetary Policy Transmission ◽

Deposit Rate ◽

Policy Transmission ◽

Lending Rate ◽

Pass Through ◽

Effectiveness Of Monetary Policy

This research aims to measure the effectiveness of monetary policy transmission, especially through the interest rate channel. The analysis was conducted on the first stage of its transmission, namely Interest Rate Pass-through (IRPT). IRPT refers to condition in which retail interest rate (both deposit and lending rate) responds to changes in policy rate of central bank. IRPT was measured using Error Correction Model (ECM) for time series data in the period of January 2010 - December 2015. The results of this study indicated that degree of long term and short term IRPT is incomplete for deposit and lending rate. In addition, IRPT for deposit rate is higher than lending rate, but the adjustment process of lending rate faster than deposit rate. Finally, model that include other variables (macroeconomic and internal banking indicator) generate long term IRPT which is smaller than the standard model. This results implies that the Central Bank, the FSA, and government needs to pay attention to the stability of the other variables that may interfere or reduce the effectiveness of monetary policy through the interest channel. JEL Classification: E42, E43, E52Keywords: Deposit rate, ECM, IRPT, Lending Rate, Policy Rate

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Interest Rate Pass-through in Pakistan: Evidence from Transfer Function Approach

The Pakistan Development Review ◽

10.30541/v44i4iipp.975-1001 ◽

2005 ◽

Vol 44 (4II) ◽

pp. 975-1001

Author(s):

Abdul Qayyum ◽

Sajawal Khan ◽

Idrees Khawaja

Keyword(s):

Interest Rate ◽

Central Bank ◽

Cost Of Capital ◽

Real Income ◽

Treasury Bills ◽

Deposit Rate ◽

Market Rate ◽

Lending Rate ◽

Pass Through ◽

The Cost

The transmission of monetary policy through the interest rate mechanism has been thoroughly discussed in economic literature for quite some time. The traditional view is that, the change in real interest rate influences the cost of capital. The change in cost of capital affects the magnitude of investment and consumption and therefore the level of, real income and prices [Mishkin (1995)].1 Operationally the State bank of Pakistan, influences the yield on treasury bills (T-bills). This is done on the assumption that the yield on treasury bills influences other interest rates like the Money Market rate (Call money rate), banks’ deposit and banks’ Lending rates. The change in these rates influences the cost of capital and thus level of investment and consumption in the economy. Given this, the central bank can influence the yield on T-bills to influence the level of real income and the level of prices. The foregoing explanation of the monetary transmission mechanism makes it clear that if the changes in yield on the T-Bill rate are not passed on to the Call money rate and the bank deposit and the Lending rate then it becomes difficult for the central bank to use the channels that involve interest rate, for influencing the level of output and prices. Hence it is important to test whether the changes in the treasury bill rate are passed on to money market rate, bank deposit rate and the bank lending rate and if yes at what speed and to what extent. Therefore this study examines the pass-through of the changes in Treasury bill rate to Call Money rate, Banks’ deposit rate and Banks’ Lending rate.

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Instrumentation for detecting channelling radiation in the high-voltage electron microscope

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100075385 ◽

1983 ◽

Vol 41 ◽

pp. 318-319

Author(s):

J. H. Butler ◽

C. J. Humphreys

Keyword(s):

Monochromatic Light ◽

Incident Beam ◽

Laboratory Frame ◽

Relativistic Electrons ◽

Voltage Electron ◽

Dipole Emission ◽

Sinusoidal Oscillations ◽

Pass Through ◽

Incident Beam Energy ◽

Increasing Function

Electromagnetic radiation is emitted when fast (relativistic) electrons pass through crystal targets which are oriented in a preferential (channelling) direction with respect to the incident beam. In the classical sense, the electrons perform sinusoidal oscillations as they propagate through the crystal (as illustrated in Fig. 1 for the case of planar channelling). When viewed in the electron rest frame, this motion, a result of successive Bragg reflections, gives rise to familiar dipole emission. In the laboratory frame, the radiation is seen to be of a higher energy (because of the Doppler shift) and is also compressed into a narrower cone of emission (due to the relativistic “searchlight” effect). The energy and yield of this monochromatic light is a continuously increasing function of the incident beam energy and, for beam energies of 1 MeV and higher, it occurs in the x-ray and γ-ray regions of the spectrum. Consequently, much interest has been expressed in regard to the use of this phenomenon as the basis for fabricating a coherent, tunable radiation source.

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Radiation Damage, Contrast and Statistics in High Resolution Biological Electron Microscopy

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100068291 ◽

1970 ◽

Vol 28 ◽

pp. 260-261

Author(s):

Robert M. Glaeser

Keyword(s):

High Resolution ◽

Particle Flux ◽

Unit Area ◽

Signal To Noise ◽

Resolution Image ◽

High Resolution Image ◽

Pass Through ◽

Counting Statistics ◽

The Relationship ◽

Picture Element

It is well known that a large flux of electrons must pass through a specimen in order to obtain a high resolution image while a smaller particle flux is satisfactory for a low resolution image. The minimum particle flux that is required depends upon the contrast in the image and the signal-to-noise (S/N) ratio at which the data are considered acceptable. For a given S/N associated with statistical fluxtuations, the relationship between contrast and “counting statistics” is s131_eqn1, where C = contrast; r2 is the area of a picture element corresponding to the resolution, r; N is the number of electrons incident per unit area of the specimen; f is the fraction of electrons that contribute to formation of the image, relative to the total number of electrons incident upon the object.

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