Akademik Veri Yönetim Sistemi
Royal Economic Society 2010 Conference, London, İngiltere, 29 - 31 Mart 2010, ss.1
This paper empirically analyses the
interest rate transmission mechanism in the United Kingdom by exploring first
the pass-through of the official rate to the money market rate and then that of
the market rate to the mortgage rate. The focus is on the possibility of
asymmetric adjustment in the pass-through process arising from financial market
conditions and monetary policies. Empirical results indicate substantial
asymmetries in both steps of the process on the basis of a nonlinear threshold
error-correction model, which is motivated entirely by non-standard
bootstrap-based tests that take into account the discrete nature of changes in
the official rate. Despite the complete pass-through in the long-run, it
appears that responses of the money market rate to changes in the official rate
are driven by the previous period’s market rate change. On the other hand,
market rate changes are not completely reflected in the mortgage rate in the
long-run, with short-term mortgage rate responses depending on whether changes
in the market rate are motivated by official rate changes. Furthermore,
generalized impulse response function analysis uncovers that adjustments differ
with regard to the sign and magnitude of interest rate changes in a consistent
way with the interbank and mortgage market conditions of the study period.