Interest Rate Pass-Through in China: An Analysis of Chinese Commercial Banks

AbstractWe quantitatively analyse the interest rate-setting behaviour of German commercial banks during the period 2003–2014, using nonlinear (smooth transition) cointegration approaches. Our empirical results reveal principles applied by commercial banks in (re-)gaining margins in the aftermath of the financial crisis. We substantiate our findings using economic arguments from a bank management perspective. As our study contributes to a better understanding of the pass-through mechanism from market to commercial banks’ customer interest rates, the results will also be relevant to meaningful assessments of the effectiveness of monetary policy measures.

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Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Journal of Asian Business and Economic Studies ◽

10.24311/jabes/2013.218.04 ◽

2013 ◽

Vol 218 ◽

pp. 79-93

Author(s):

BẢO NGUYỄN KHẮC QUỐC ◽

NHỰT NGUYỄN HỮU HUY

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Empirical Evidence ◽

Commercial Banks ◽

Aggregate Demand ◽

Explanatory Factors ◽

Pass Through

This paper seeks evidence and explanatory factors of asymmetric relationship in interest rate pass-through in Vietnam. The results show that the capital and liquidity requirements of commercial banks are main causes of asymmetric interest rate pass-through in Vietnam. The research based on data from six commercial banks in Vietnam during the period 2009 ? 2012 shows that (i) Loan rates from capital constrained banks are higher than those from unconstrained banks; (ii) Pass-through from monetary policy rate to loan rates is not clear in both constrained and unconstrained banks; and (iii) Loan rates from capital constrained banks are more sensitive to changes in aggregate demand.

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China's Interest Rate Pass-through to Commercial Banks Before and After Interest Rate Liberalisation

Economic Affairs ◽

10.1111/ecaf.12233 ◽

2017 ◽

Vol 37 (2) ◽

pp. 279-287 ◽

Cited By ~ 13

Author(s):

Kerry Liu

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Before And After ◽

Pass Through

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ANALISIS INTEREST RATE PASS-THROUGH PADA MEKANISME TRANSMISI KEBIJAKAN MONETER INDONESIA

EKONOMIS Journal of Economics and Business ◽

10.33087/ekonomis.v1i1.13 ◽

2017 ◽

Vol 1 (1) ◽

pp. 125

Author(s):

Risna Amalia Hamzah ◽

Handri Handri

Keyword(s):

Monetary Policy ◽

Interest Rate ◽

Interest Rates ◽

Commercial Banks ◽

Money Market ◽

Bank Loans ◽

Short Term ◽

Consumer Loans ◽

Pass Through ◽

The Interest Rate

This reseach aimed to evaluate the performance of monetary policy, toexamine and test the magnitude of the response rates on deposits and bank loans to the money market interest rate, and how fast adjustment of the interest rate of deposits and loans in response to changes in money market interest rates. The performance evaluation of the level of adjustment of interest rate pass-through is done by testing the coefficient of adjustment of the interest rate deposits and loans in response to changes in money market interest rates. The object of this reseach is reported in interest rates interbank money market (rPUAB) and bank interest rates (loans and deposits) of all commercial banks in Indonesia, the data used in the form of a row of monthly time (monthly time series) of the annual report of Bank Indonesia and SEKI ( Economic and Financial statistics Indonesia), in the period 2005-2016. The method used in this research is the Autoregressive Distributed Lag (ARDL) for calculating the amount of long-term coefficients and Error Correction Model (ECM) -ARDL for calculating the amount of short-term coefficients. We find of the analysis indicate a change of monetary policy in the short term through the interest rate channel with its operational targets interest rates interbank money market (interbank) did not respond in full by the rates on deposits and loans in commercial banks in Indonesia, represented by the value of the degree of pass- through which less than 1 and there is a tendency that the longterm interest rates on loans and deposits experienced incomplete pass-through, then interest rates on consumer loans and deposits of 24 months has the speed of the slowest, which means consumer loans and deposits of 24 months in Indonesia unresponsive to changes in interbank rates. keywords: ARDL, ECM, Interest Rate pass-through, PUAB.

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Asymmetric Interest Rate Pass-Through in Vietnam: Role of Commercial Banks

SSRN Electronic Journal ◽

10.2139/ssrn.2338594 ◽

2013 ◽

Author(s):

Nguyen Khac Quoc Bao ◽

Nguyen Huu Huy Nhut

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Pass Through

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Bank heterogeneity in interest rate pass-through: A panel evidence of Pakistan

Asian Academy of Management Journal of Accounting and Finance ◽

10.21315/aamjaf2021.17.2.5 ◽

2021 ◽

Vol 17 (2) ◽

pp. 107-132

Author(s):

Abdul Rahman Nizamani ◽

Zulkefly Abdul Karim ◽

Mohd Azlan Shah Zaidi ◽

Norlin Khalid

Keyword(s):

Interest Rate ◽

Commercial Banks ◽

Banking Sector ◽

Pooled Mean Group ◽

Competition Level ◽

Excess Liquidity ◽

Dynamic Heterogeneous Panel ◽

Pass Through ◽

The Interest Rate ◽

Heterogeneous Panel

This article examines the role of bank-level characteristics in determining the nature of interest rate pass-through from monetary policy rates to commercial banks’ lending rates in Pakistan. Several bank-level factors, namely market size, liquidity, capitalisation, profitability, and competition level, were used in analysing the pass-through mechanism. This study utilised a dynamic heterogeneous panel technique, namely the Pooled Mean Group (PMG) estimation for the sample of 12 private commercial banks, over the time span 2003:Q2 to 2015:Q4. Banks of smaller size, large capital, and higher liquidity were significantly affecting the interest rate pass-through procedure. Thus, to improve monetary policy’s transmission mechanism, Pakistan’s central bank should limit bank capitalisation and draw out excess liquidity from the banking sector.

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