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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.8
- 수록면
- 207 - 233 (27page)
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In this paper, we empirically investigate interest rate pass-through (IRPT) from policy rates to bank lending rates in eight Asian countries by employing nonlinear autoregressive distributed lag (NARDL) model developed by Shin, Yu, and Greenwood (2009), which allows us to capture both short-term and long-term asymmetries in transmission process. We find incomplete pass-through in Hong Kong, Indonesia, Thailand and the Philippines to varying degrees and in Japan in a limited case, which may come from a mixture of several factors such as fixed menu costs, high switching costs, imperfect competition and asymmetric information. We find over pass-through in Korea, which suggests that Korean banking sector is highly competitive. Regarding long-run asymmetry, we are able to find positive long-run asymmetric pass-through for Hong Kong and Korea and negative one for Indonesia and Thailand. Banks in Korea and Thailand also exhibit asymmetries in the speed of adjustment. We are not able to find any meaningful interest rate pass-through in Malaysia and Singapore.
목차
1. INTRODUCTION
2. INTEREST RATE PASS-THROUGH: LITERATURE SURVEY
3. ECONOMETRIC METHODOLOGY: THE NON-LINEAR ARDL (NARDL) MODEL
4. EMPIRICAL RESULTS AND INTERPRETATION
5. CONCLUSION
REFERENCES
참고문헌 (20)
참고문헌 신청
1. [학술지(정기간행물)] - Angeloni, Ignazio / 2003 / Monetary Policy Transmission in the Euro Area: Early Evidence / Economic Policy 37 : 470 ~ 492
2. [보고서] - Cottarelli, Carlo / 1994 / Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy
3. [학술지(정기간행물)] - De Bondt / 2002 / Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level / European Central Bank Working Paper Series (136)
4. [학술지(정기간행물)] - De Bondt / 2005 / Interest Rate Pass-through: Empirical Results for the Euro Area / German Economic Review 6 (1) : 37 ~ 78
5. [학술지(정기간행물)] - Dueker, Michale J. / 2000 / Are Prime Rate Changes Asymmetric? / Review of Federal Reserve Bank of St. Louis : 33 ~ 40
2. [보고서] - Cottarelli, Carlo / 1994 / Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy
3. [학술지(정기간행물)] - De Bondt / 2002 / Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level / European Central Bank Working Paper Series (136)
4. [학술지(정기간행물)] - De Bondt / 2005 / Interest Rate Pass-through: Empirical Results for the Euro Area / German Economic Review 6 (1) : 37 ~ 78
5. [학술지(정기간행물)] - Dueker, Michale J. / 2000 / Are Prime Rate Changes Asymmetric? / Review of Federal Reserve Bank of St. Louis : 33 ~ 40
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UCI(KEPA) : I410-ECN-0101-2014-300-002821383