Monetary policy stabilisation, changes in the banking system and interest rate pass-through: the Czech Republic 1999–2006

Brůna, Karel

doi:10.1080/14631370802444575

Cited by 6 publications

(4 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The degree of pass-through is stronger on the deposit rate compared to the lending rate. This finding is consistent with the observation of Bruna (2008) who pointed out that deposit rate reacts quicker than the lending rate to the change of the money market rate. The work of Tai et al (2012) and Tang et al (2015) also reported that the deposit rate has a higher degree of pass-through than the lending rate.…”

Section: Resultssupporting

confidence: 82%

See 1 more Smart Citation

The pass-through effect of interest rate and asymmetric adjustment in Indonesia

Puah¹,

Liew²,

Tang³

2017

EA-XXI

View full text Add to dashboard Cite

Abstract. Using the data set for the sample period of January 1999 to December 2016, this paper aims to analyse the interest rate pass-through effect and the asymmetric behaviour of retail rates in Indonesia's economy. By employing asymmetric threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models, the deposit and lending rates were found to have an incomplete pass-through effect in response to the changes in the money market rates. Based on the empirical results, an asymmetric behaviour was discovered in the adjustment of the deposit and lending rates. The asymmetric error correction models further reflected that the deposit rate has a faster speed in the downward direction while the lending rate adjusts more rapidly in the upward direction.

show abstract

Section: Resultssupporting

confidence: 82%

“…Bruna (2008) claimed that changes in the market interest rate tended to have a different impact on the adjustment of lending and deposit rates regardless of the term. In tandem with this, Tai et al (2012) illustrated that the deposit rate was found to have a slightly higher pass-through effect compared to the lending rate in Asia.…”

Section: Literature Reviewmentioning

confidence: 99%

The pass-through effect of interest rate and asymmetric adjustment in Indonesia

Puah¹,

Liew²,

Tang³

2017

EA-XXI

View full text Add to dashboard Cite

show abstract

“…However, the cointegration and error correction analysis revealed that there are still higher passthrough between policy rate and some corporate lending rates. Bruna (2008) investigated the effect of market interest rates on lending and deposit interest rate in Czech Republic alone during inflation stabilization period 1999-2006. The results of cointegration analysis suggested that lending and deposit rates react differently to changes in market interest rates both in long run and in short run.…”

Section: Literature Reviewmentioning

confidence: 99%

Interest Rate Pass-Through in Turkey and Impact of Global Financial Crisis: Asymmetric Threshold Cointegration Analysis

Yüksel

Metin-Özcan

2012

Journal of Business Economics and Management

View full text Add to dashboard Cite

This paper aims to investigate the interest rate pass-through of monetary policy rate to banking retail rates in Turkey by employing the asymmetric threshold autoregressive (TAR) and momentum threshold autoegressive (MTAR) procedures introduced by Enders and Siklos (2001). Over the period December 2001 to April 2011, the empirical results of asymmetric threshold cointegration analysis suggest that there exist significant and complete pass-through between policy rate and loan rates. Positive and negative departures from the equilibrium converge to long run path almost at the same speed. Pace of convergence is about two to three months for all loan rates. Policy rate has significant short run impact on loan rates. Our analysis revealed that there is no significant relationship between policy rate and bank deposit rates due to sluggish adjustment of deposit rates. Lastly, the speed and behavior of interest rate pass-through between policy rate and loan rates did not change when we encounter the effect of 2008 financial crisis. Having a banking sector dominated financial system in Turkey, the results suggest that banks adjust loan rates faster than deposit rates. This indicates that Central Bank can affect the consumption behavior of people, in other words aggregate demand through loan rates.

show abstract

“…Important influence of banking competition on the economy has been emphasized in both theoretical and economic policy literature. Banking competition impacts the interest rate pass-through as in more competitive markets bank interest rates respond more strongly to the changes in market rates (see Bikker et al 2011, Bruna, 2008. The issues also widely discussed in the literature are whether the banking competition improves or reduces stability of financial system (see e.g.…”

Section: Introductionmentioning

confidence: 99%