Monetary policy transparency and pass-through of retail interest rates

Liu, Minghua; Margaritis, Dimitris; Tourani‐Rad, Alireza

doi:10.1016/j.jbankfin.2007.06.012

Cited by 89 publications

(54 citation statements)

References 22 publications

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“…Apa yang terjadi pada sektor keuangan, perbankan, dan kondisi sektor riil sangat menentukan proses transmisi kebijakan moneter dapat berjalan secara cepat dan efektif. Liu et al (2008) menganalisis intensitas passthrough dan kecepatan penyesuaian tingkat suku bunga retail ketika terjadi perubahan tingkat suku bunga pasar acuan dalam periode tahun 1994-2004 di New Zealand. New Zealand merupakan negara anggota OECD pertama yang mengadopsi rezim full fledged inflation targeting dengan akuntabillitas yang spesifik dan relatif transparan.…”

Section: Tinjauan Literaturunclassified

“…Persamaan ini sekaligus merepresentasikan kondisi kesetimbangan jangka panjang (long run equilibrium) antara tingkat suku bunga acuan dan tingkat suku bunga perbankan. α 1 pada Persamaan (1) adalah tingkat long run pass-through, dengan pass-through dikatakan sempurna apabila α 1 tidak berbeda dari 1 (Liu et al, 2008). Beberapa hal yang mungkin menyebabkan adalah ketika demand akan produk perbankan tidak elastis sempurna atau bank memiliki market power yang cukup kuat (Gigineishvili, 2011).…”

Section: Tinjauan Literaturunclassified

“…Untuk menangkap efek dari lag yang lebih panjang, Liu et al (2008) menggunakan error-correction process dengan model Auto Regressive Distributed Lag -ARDL(p,q) sebagai berikut:…”

Section: Tinjauan Literaturunclassified

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Uji Empiris Mekanisme Transmisi Kebijakan Moneter: Interest Rate Pass-through Sektor Perbankan Indonesia

Wibowo

Lazuardi

2016

JEPI

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Robust measurement of interest rates speed of adjustment to monetary policy changes is very important to obtain a comprehensive understanding on the monetary transmission process and the effectiveness of monetary policy. The speed of adjustment are determined by number of frictions that interfere with the transmission of monetary policy. We measure Indonesia interest rate pass-through which have distinct characteristics in terms of banking competition, segmented banking market and concentrated structure. Interest rate pass-through is measured by using Vector Error Correction Model (VECM) and Mean Adjusted Lags (MAL). This paper shows the interest rate adjustment did take a relatively long time. Keywords: Interest Rate Pass-through; Bank; Monetary; VECM; MAL AbstrakPengukuran kecepatan penyesuaian suku bunga perbankan terhadap perubahan kebijakan moneter sangat penting sehingga diperoleh pemahaman komprehensif atas proses transmisi moneter dan efektivitas kebijakan. Kecepatan perubahan suku bunga deposito dan kredit perbankan ditentukan oleh adanya friksi-friksi transmisi kebijakan moneter ke sektor perbankan dan sektor riil. Penelitian ini mengukur interest rate pass-through perbankan Indonesia yang memiliki karakteristik khas dalam hal tingkat kompetisi perbankan, segmentasi pasar, dan struktur industri perbankan yang tinggi. Interest rate pass-through diukur dengan menggunakan Vector Error Correction Model (VECM) dan Mean Adjusted Lags (MAL). Hasil uji menunjukkan penyesuaian suku bunga membutuhkan waktu yang lama.

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Uji Empiris Mekanisme Transmisi Kebijakan Moneter: Interest Rate Pass-through Sektor Perbankan Indonesia

Wibowo

Lazuardi

2016

JEPI

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“…The reason we have used the interest rate spread rather the interest rates seems more suitable for the country sample we use, since it exemplifies the interest rate channel, which is increasingly relevant in many developing and emerging market countries, as these countries implement a monetary policy through the targeting of the quantity of reserve money (Ennis and Keister, 2008;Liu et al, 2008). Moreover, in developing countries, because of the underdevelopment and shallowness of financial markets and the transmission process dominated by the bank lending channel, interest rate spreads play an important role in the transmission process (Mishra et al, 2010).…”

Section: The Model and Econometric Methodologymentioning

confidence: 99%

Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks

Apergis

2015

Applied Economics

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Conventionally, the money demand function is estimated using a linear regression of the logarithm of money demand on a number of variables. In this article, we aim to estimate the long-run properties of money demand specification for a number of East Asian economies and within a panel framework with the presence of structural breaks. Various country-specific coefficients are allowed to capture inter-country heterogeneities. Consistent with theoretical postulates, it is found that (a) the demand for money in the long-run positively responds to real income and inversely to the interest rate spread, inflation, the real effective exchange rate and the US real interest rate; (b) the long-run income elasticity is greater than unity; and (c) both the currency substitution and capital mobility hypotheses hold. The empirical findings in this article can provide useful policy guidelines to the East Asian countries' central banks in their quest for price stability. If one of the primary objectives of these countries is to minimize price instability, they should avoid creating unnecessary disequilibrium in the money market, while the employment of cointegration with the presence of structural breaks clearly recommends to central banks to use the supply of money to attain price and macroeconomic stability.

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“…The communication of monetary policy actions and projections about important macroeconomic and financial variables to the public is crucial for the effectiveness of monetary policy. There is an important strand of the literature highlighting the beneficial effects of increased transparency on the transmission mechanism of monetary policy to the real economy [2] [3]. Additionally, the benefit of Central Bank transparency on macroeconomic and financial outcomes is also highlighted by the existing literature [4]- [11].…”

Section: Introductionmentioning

confidence: 99%

Trends in Central Bank Transparency

Oikonomou¹,

Spyromitros²

2017

TEL

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In this paper we have updated Central Bank Transparency Index from 2011 to 2016, following the methodology of Eijffinger and Geraats (2006) [1]. Then, we break down the index's aspects and we analyze which are more likely to be changed through time. This, in respect to the annual data we have collected, makes clearer how the recent financial crisis has affected the Central Banks' transparency trend and offers interesting insights for monetary policy transmission. Also, we divided the countries into developed, emerging and frontiers, as there is difference in their indexes changes, probably related to their economic and financial development.

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Monetary policy transparency and pass-through of retail interest rates

Abstract: ABSTRACT

Cited by 89 publications

References 22 publications

Uji Empiris Mekanisme Transmisi Kebijakan Moneter: Interest Rate Pass-through Sektor Perbankan Indonesia

Uji Empiris Mekanisme Transmisi Kebijakan Moneter: Interest Rate Pass-through Sektor Perbankan Indonesia

Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks

Trends in Central Bank Transparency

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