Akademik Veri Yönetim Sistemi
9th EBES Conference, Rome, İtalya, 11 - 13 Ocak 2013, ss.92-93
This study investigates the interest rate pass
through from the money market rate to the lending rate by utilizing monthly
data of fifteen countries, grouped as high, upper middle and lower middle
income, over the period 1999:01-2011:09. Taking the linear cointegration test
of Engle-Granger as benchmark, we employ threshold cointegration tests of
Enders and Siklos (2001) in order to account for the possible nonlinearities in
the pass-through process besides income differences. Empirical results reveal
that the pass through process is complete in three countries; Republic of
Korea, Latvia and Malaysia and the adjustment of the lending rate is symmetric
in two countries; Armenia and Republic of Korea. Moreover, our findings uncover
that lending rates exhibit upward rigidity in six countries; Bolivia,
Philippines, Malaysia, Dominican Republic, Thailand and Croatia, and downward rigidity
in seven countries; Ukraine, Sri Lanka, Latvia, Peru, Kuwait, Hong Kong and
Czech Republic. Furthermore, heterogeneities in the pass-through mechanism
across countries appear to arise mainly from differences in income level,
inflation, market power, financial sector development and market volatility.