Determinants of Interest Rate Pass-through for Emerging Market Economies: The Role of Financial Market Structure

Ozdemir, Nilufer; Altinoz, Cuneyt

doi:10.1007/s11294-012-9377-9

Cited by 13 publications

(6 citation statements)

References 8 publications

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“…Therefore, the pass-through for low capitalized banks should be higher than for more capitalized banks (Kashyap & Stein, 2000). Similarly, profitability is one of the critical determinants of interest rate pass-through since the banking sector is profitability and positively associated with the degree of accepting risks (Gigineishvili, 2011;Ozdemir & Altinoz, 2012). Therefore, banks with higher profits are often risk-takers, and they are expected to witness a complete passthrough.…”

Section: Methodsmentioning

confidence: 99%

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

Nizamani

Karim

Zaidi

et al. 2021

AAMJAF

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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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Section: Methodsmentioning

confidence: 99%

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

Nizamani

Karim

Zaidi

et al. 2021

AAMJAF

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“…For example, Arora & Tanner (2013), Gupta & Goyal (2015), Ratti & Vespignani (2016) examine the relationship between oil prices and interest rates for the USA, Euro Region, China, India, and Japan. Also, Cottarelli & Kourelis (1994) consider the effects of economic openness while Mojon (2000) examine banking concentration and competition, Egert et al (2007) study financial sector development, Özdemir & Altınöz (2012) review banking sector stability, and Kartal et al (2021) investigate the effects of loan/deposit ratio on the interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Although there are a variety of macroeconomic indicators that can be treated as main indicators, interest rates are among the most important ones. That is why because interest rates are the unique indicators that reflect the value and cost of money (Özdemir & Altınöz, 2012;Lyashenko & Mercurio, 2019;Kartal, 2020;Depren et al, 2021a). Besides, there is a nexus from macroeconomic indicators to interest rates (Chirwa & Mlachila, 2004;Perera & Wickramanayake, 2016;Liu, 2019).…”

Section: Introductionmentioning

confidence: 99%

Makroekonomik Göstergelerin Borç Faiz Oranları Üzerindeki Etkileri: BRICST, MINT ve Kırılgan Beşli Ülkelerinden Kanıtlar

Korkmaz

Kartal

Ayhan

2022

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi

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This study analyzes the effects of the macroeconomic indicators on the lending interest rates in the leading emerging countries by considering the significance of the interest rates for economic growth since high-level interest rates decrease economic growth and volatile interest rates deteriorate economic stability. In this context, the lending interest rate is considered as the dependent variable; foreign exchange (FX) rates, gross domestic product (GDP), and inflation are included as the independent variables that are the main macroeconomic indicators; annual data from 1990 to 2019 are used, and the panel data analysis is applied. The empirical analysis results reveal that (i) FX rates, GDP, and inflation have a significant effect on the lending interest rates at the panel level; (ii) the significance of these macroeconomic indicators vary at the country level; (iii) GDP is the most influential factor on the lending interest rates at both panel and the country level. The analysis results underline the effects of macroeconomic factors on the lending interest rates. Therefore, countries should apply appropriate policies to lessen the adverse effects of the macroeconomic indicators on the interest rates so that economic growth can be supported by low-level lending interest rates. Hence, emerging countries can benefit from low-level lending interest rates.

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“…Thus, the inflation rate can be controlled through an interest rate policy (Fang, Sohel, & Chien-Ting, 2012;Fornari, Carlo, Marcello, & Massimo, 2002;Kim & Jeffrey, 2000;Kiptui, 2014;Tennant & Abiodun, 2009). However, in reality, Ozdemir and Cuneyt (2012) reveal that the determination of interest rates is not only influenced by inflation, but also the sharing of factors that can cause a bank to determine the size of the interest rate whether it is deposits, savings or credit. Thus, our purpose is to examine the effect of money supply, inflation rate, exchange rate, and economic growth on the interest rate volatility in Indonesia.…”

Section: Introductionmentioning

confidence: 99%

Macroeconomic Determinants of Interest Rate Volatility in Indonesia: A Structural VAR Analysis

Salim

2019

International Journal of Applied Economics, Finance and Account

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The determination of interest rates is not only influenced by inflation rate but also the sharing of factors of other macroeconomic variables. The study of the determinants interest rate has developed based on the variability and the methodological concept. Since the purpose of this study is to analyze the effect of macroeconomic variables on the interest rate volatility in Indonesia, we apply ordinary least square to estimates the empirical model of interest rate determinants statically, and the structural VAR analysis dynamically. The result of the estimation reveals that the coefficient estimates of money supply, exchange rate, and the GDP growth have negative and significant effect in the long-run. However, the risk premium shock has positive and significant effect on the interest rate and inflation rate in Indonesia.

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Determinants of Interest Rate Pass-through for Emerging Market Economies: The Role of Financial Market Structure

Cited by 13 publications

References 8 publications

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

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

Makroekonomik Göstergelerin Borç Faiz Oranları Üzerindeki Etkileri: BRICST, MINT ve Kırılgan Beşli Ülkelerinden Kanıtlar

Macroeconomic Determinants of Interest Rate Volatility in Indonesia: A Structural VAR Analysis

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