Asymmetric Interest Rate Pass-Through from Monetary Policy: The Role of Bank Regulation

Roelands, Sebastian

doi:10.2139/ssrn.2143451

Cited by 9 publications

(10 citation statements)

References 29 publications

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“…Taking the similar approach, Cosima & Hakura (2011) examine the impact of the capital requirements based on Basel III framework on bank lending rates. Finally, Roelands (2012) expands the approach developed by Chami & Cosimano (2010) and shows the role of banks in the asymmetric interest rate pass-through under the capital and liquidity constraints. According to Roelands (2012), more banks are capital constrained during falling rate periods than rising rate periods; constrained banks adjust loan rates at a slower speed than policy rates; and increase loan rates more sharply after their capital adequacy ratios fall in comparison with unconstrained banks.…”

Section: Theoretical Framework and Literature Review A Theoretical Backgroundsupporting

confidence: 53%

“…By observing the money market in Vietnam, we have approached a new method of researching asymmetric interest rate pass-through which is completely different from traditional ones. It is an application of theoretical model developed by Roelands (2012) to explain adjustments to interest rate by commercial banks under capital and liquidity requirements imposed on banks as a result of changes in interest rates.…”

Section: Introductionmentioning

confidence: 99%

“…In this paper, the research aims to study the aforementioned adjustments by commercial banks under capital and liquidity requirements in a period when monetary policy rate increases and decreases through a dynamic model given by Roelands (2012). The research questions are: (1) is loan rate of capital constrained banks higher than that of unconstrained banks?…”

Section: Introductionmentioning

confidence: 99%

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Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Quốc¹,

Huy²

2013

JABES

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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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Section: Theoretical Framework and Literature Review A Theoretical Backgroundsupporting

confidence: 53%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Quốc¹,

Huy²

2013

JABES

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“…Several indicators in the financial system contribute to the asymmetry of interest rate pass-through. Roelands (2012) and Jamilov and Egert (2013) The study by Roelands (2012) confirms that capital constraints make banks charge higher lending interest rate with slow pass-through of the Federal Fund rate using interest rate data in the US economy. Jamilov and Egert (2013) investigated the asymmetric adjustment of interest rate for Armenia, Azerbaijan, Georgia, Kazakhastan, and Russia using monthly interest rate data in an ARDL model.…”

Section: Asymmetric Adjustment Process: a Surveymentioning

confidence: 78%

Inflation Targeting Framework and Interest Rates Transmission in Ghana: An Empirical Investigation

Sakyi

Mensah

Obeng

2017

Journal of African Business

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This paper investigates the long-and short-run rate of transmission of the prime rate to interest rates since the implementation of inflation targeting policy in Ghana. Monthly data covering the period January 2002 to March 2016 is used. The Johansen and Hansen parameter instability cointegration, the FMOLS and DOLS estimation procedures were used. The long-run results show incomplete pass-through of the prime rate to commercial banks’ lending and deposit rates but over pass-through to the 91-day Treasury bill rate. The short-run adjustment shows relatively slow transmission of the prime rate to the respective interest rates. Given the findings, relevant policy suggestions are provided

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“…According to Roelands (2012), banks tend to increase loan rates at roughly the same speed as the policy rates. However, when the policy rates fall, adjustments to loan rates are slower and incomplete.…”

Section: Literature Reviewmentioning

confidence: 99%

Interest rate pass-through estimates from error correction models ECM

Thao

Trang²

2015

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This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete but high (0.7-0.93). The adjustment speed of money market rates & retail interest rates is relatively slow. It takes from 3 to 6 months for money market rates & retail interest rates to be adjusted to long-term equilibrium, except 1 month VNIBOR. 1 month VNIBOR is sensitive to changes of discount rate & refinancing rate in short-term, contrary to 3 month VNIBOR . The degree of pass-through from market rates to retail interest rates is fairly high in the long-term but low in the short-term. The degree of pass-through is different between various retail interest rates. Specifically, the degree of pass-through of deposit rates is higher than that of lending rates both in the short-term & long-term.

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Asymmetric Interest Rate Pass-Through from Monetary Policy: The Role of Bank Regulation

Cited by 9 publications

References 29 publications

Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Inflation Targeting Framework and Interest Rates Transmission in Ghana: An Empirical Investigation

Interest rate pass-through estimates from error correction models ECM

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