scholarly journals Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

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.

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

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.

scholarly journals The impact of the Federal Reserve System’s interest rate channel on the components of aggregate demand

2021 ◽  
Vol 20 (3) ◽  
pp. 479-496
Author(s):  
Dominika Brózda-Wilamek
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Durable Goods ◽  
Aggregate Demand ◽  
The Past ◽  
Pass Through ◽  
Investment Spending ◽  
The Impact

Motivation: Monetary policy decisions, through the process of transmission mechanism, affect the term structure of nominal interest rates as well as other asset prices, and thus influences aggregate demand (e.g. consumer spending and business investments) and price levels through these effects. The aspect of monetary transmission to various components of aggregate demand has been relatively little studied in the literature of the subject. Aim: The main aim of the study is to empirically investigate the effect of the Fed’s monetary policy on major components of aggregate demand over the past 35 years. To this aim, the scale and timing of the interest rate pass-through to economic activity have been examined. Results: The empirical findings showed that that between 1984 and 2019, the sensitivity of consumption and investment expenditures to interest rate impulses were different. Firstly, fixed investment spending accounted for a significant part that was responsible for the response of real GDP following an interest rate shock. Secondly, in the case of personal consumption expenditures, expenses for durable goods were more sensitive to changes in the Fed’s interest rate than spending on services and nondurable goods. In this way, the study expands the existing literature by reporting the effects of the Fed’s monetary policy on major components of aggregate demand over the past 35 years

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

2013 ◽  
Vol 218 ◽  
pp. 78-93
Author(s):  
NGUYEN KHAC QUOC BAO ◽  
NGUYEN HUU HUY NHUT
Keyword(s):  
Interest Rate ◽  
Empirical Evidence ◽  
Pass Through

Symmetric and asymmetric adjustment of bank deposit interest rates: empirical evidence from Kenya

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Moses Nzuki Nyangu ◽  
Freshia Wangari Waweru ◽  
Nyankomo Marwa
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Asymmetric Adjustment ◽  
Deposit Rate ◽  
Content Type ◽  
Long Run ◽  
Adjustment Speed ◽  
Short Run ◽  
Pass Through

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.

Monetary Policy Transmission Mechanism in Romania Over the Period 2001 to 2012

2019 ◽  
pp. 131-145
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Empirical Evidence ◽  
Transmission Mechanism ◽  
Communist Country ◽  
Monetary Policy Transmission ◽  
Policy Transmission ◽  
Emerging Country ◽  
Monetary Policy Transmission Mechanism ◽  
The Interest Rate

This chapter aims to provide additional empirical evidence on monetary policy transmission mechanism in Romania over the period 2001 to 2012 based on a BVAR analysis with a KoKo Minnesota/Litterman prior. The importance of the central bank is rising in Romania considering its main attribution to control the interest rate in accordance with its objectives. The empirical evidence provides a significant contribution to literature taking into account the characteristics of the selected emerging country, i.e. Romania, a former communist country in Central and Eastern Europe.

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

2018 ◽  
Vol 54 (13) ◽  
pp. 3051-3063 ◽  
Author(s):  
Bo Liu ◽  
Chang Liu ◽  
Jiangang Peng
Keyword(s):  
Interest Rate ◽  
Commercial Banks ◽  
Pass Through
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