Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach
This study examines the asymmetry of interest rate pass-through between wholesale (KIBOR) and retail interest rates (Deposit and Lending rate) for Pakistan, by using the asymmetric threshold co-integration proposed by Enders & Sikles (2001) and EC-EGARCH-M model proposed by Wang & Lee (2009...
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| Format: | Article |
| Language: | English |
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National University of Sciences and Technology
2021-01-01
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| Series: | NUST Journal of Social Sciences and Humanities |
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| Online Access: | https://www.njssh.nust.edu.pk/index.php/njssh/article/view/32 |
| _version_ | 1797258441999253504 |
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| author | Farrukh Mahmood |
| author_facet | Farrukh Mahmood |
| author_sort | Farrukh Mahmood |
| collection | DOAJ |
| description |
This study examines the asymmetry of interest rate pass-through between wholesale (KIBOR) and retail interest rates (Deposit and Lending rate) for Pakistan, by using the asymmetric threshold co-integration proposed by Enders & Sikles (2001) and EC-EGARCH-M model proposed by Wang & Lee (2009). Empirical results of threshold co-integration test confirm that asymmetric relation exists between wholesale and retail interest rates, and hence the rate of pass-through is incomplete. Furthermore, in the long-run, retail interest rates are rigid towards the downwards adjustment, and hence there is an upward adjustment in error correction mechanism.
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| first_indexed | 2024-03-11T11:58:40Z |
| format | Article |
| id | doaj.art-57a35d7c25214f05bd06fc6935e347b8 |
| institution | Directory Open Access Journal |
| issn | 2520-503X 2523-0026 |
| language | English |
| last_indexed | 2024-04-24T22:53:36Z |
| publishDate | 2021-01-01 |
| publisher | National University of Sciences and Technology |
| record_format | Article |
| series | NUST Journal of Social Sciences and Humanities |
| spelling | doaj.art-57a35d7c25214f05bd06fc6935e347b82024-03-18T09:13:19ZengNational University of Sciences and TechnologyNUST Journal of Social Sciences and Humanities2520-503X2523-00262021-01-014210.51732/njssh.v4i2.32Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration ApproachFarrukh Mahmood This study examines the asymmetry of interest rate pass-through between wholesale (KIBOR) and retail interest rates (Deposit and Lending rate) for Pakistan, by using the asymmetric threshold co-integration proposed by Enders & Sikles (2001) and EC-EGARCH-M model proposed by Wang & Lee (2009). Empirical results of threshold co-integration test confirm that asymmetric relation exists between wholesale and retail interest rates, and hence the rate of pass-through is incomplete. Furthermore, in the long-run, retail interest rates are rigid towards the downwards adjustment, and hence there is an upward adjustment in error correction mechanism. https://www.njssh.nust.edu.pk/index.php/njssh/article/view/32AsymmetryInterest Rate Pass-ThroughThreshold Co-IntegrationRigiditiesJEL Classification: D82, E43, C22 |
| spellingShingle | Farrukh Mahmood Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach NUST Journal of Social Sciences and Humanities Asymmetry Interest Rate Pass-Through Threshold Co-Integration Rigidities JEL Classification: D82, E43, C22 |
| title | Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach |
| title_full | Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach |
| title_fullStr | Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach |
| title_full_unstemmed | Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach |
| title_short | Interest Rate Pass-Through in Pakistan: Evidence from the Asymmetric Co-integration Approach |
| title_sort | interest rate pass through in pakistan evidence from the asymmetric co integration approach |
| topic | Asymmetry Interest Rate Pass-Through Threshold Co-Integration Rigidities JEL Classification: D82, E43, C22 |
| url | https://www.njssh.nust.edu.pk/index.php/njssh/article/view/32 |
| work_keys_str_mv | AT farrukhmahmood interestratepassthroughinpakistanevidencefromtheasymmetriccointegrationapproach |