New Evidence of Interest Rate Pass-through in Taiwan: A Nonlinear Autoregressive Distributed Lag Model

Zhang, Zan; Tsai, Su-Ling; Chang, Tsangyao

doi:10.1080/1226508x.2017.1278710

Cited by 13 publications

(12 citation statements)

References 22 publications

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“…Adjustment is symmetric for all variables and it is evident that the response of variables to the real interest rate does not depend on the sign of the shock. This symmetry finding is consistent with the results by Yuksel and Ozcan (2013) and Zhang et al (2017). Moreover, adjustment parameters are nearly zero.…”

Section: Resultssupporting

confidence: 91%

“…Egorov (2018) uses the ECM model and determines an asymmetric effect of the policy rate on the deposit rate for Russia. Zhang et al (2017) use the NARDL model for Taiwan and obtain symmetric pass-through to lending rates and fail to find an asymmetric adjustment in the long-run but an adjustment in the short-run for deposit rates. Zulkhibri (2012) benefits from the NECM model and shows that the adjustment of the lending rate is slower than the deposit rate, and the interest rate adjusts faster during monetary easing.…”

Section: Literature Reviewmentioning

confidence: 98%

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Loom of Symmetric Pass-Through

Şahin

2019

Economies

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This paper analyzes the effects of the real policy interest rate on the banking sector lending rate, the deposit rate, real stock prices, and the real exchange rate using the Engle Granger cointegration method (EG), the vector error-correction model (VECM), and the nonlinear vector error-correction model (NVECM) with monthly Turkish data over the period January 2002–April 2018. (1) EG results indicate bivariate cointegration relationships between the real interest rate, lending rates, and the deposit rate. The real interest rate increases all lending rates, mainly the housing rate. However, the long-run coefficient for the real exchange rate is not statistically significant. The pass-through is higher for the deposit rate than for lending rates. Moreoever, real stock prices shrink substantially where the finance sector has been affected the most. (2) VECM results indicate a cointegration relationship between all the variables except for the real exchange rate, which has a statistically non-significant pass-through coefficient. The real interest rate has a noteworthy long-run positive effect on the housing loans lending rate compared to others. The affirmative effect on real stock prices is the highest for the technology sector. The short-run effect of the real interest rate on lending rates, real stock prices and the real exchange rate are statistically non-significant except for the overall stock price index, and the vehicle loans lending rate which has a higher coefficient than the deposit rate. (3) NVECM results allow testing of eleven hypotheses and highlight the symmetric relationship and the valid pass-through effect, and reject the strong exogeneity assumption for all variables.

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Section: Resultssupporting

confidence: 91%

Section: Literature Reviewmentioning

confidence: 98%

Loom of Symmetric Pass-Through

Şahin

2019

Economies

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“…While analyzing surprises is key for understanding the impacts of monetary policy as inChristiano et al(2005), that is beyond the questions posed by this literature. 8 See de Bondt (2002) for a discussion andBredin et al (2002),Gregor et al(2019),Gregor and Melecky (2017),Heinemann and Schüler (2006),Li and Liu (2019),Sander and Kleimeir (2004),Sahin and Çiçek (2018),Zhang et al (2017) for examples on empirical evidence. 9 See for exampleMojon(2000),Gropp et al(2007), and Heineman and Shüler (2002) for papers that confirm this view.…”

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confidence: 99%

“…See for example: seeGregor at al. (2019),Li and Liu (2019),Sahin and Çirçek (2018),Yu et al (2013) andZhang et al (2017) for emerging market studies. Results are also in line with those ofGambacorta et al (2015) for UK, Italy and Spain and in the ballpark of those ofHolmes et al (2015) for Colombian banks.24 This is consistent with Gonzalez et al(2010) who find that mortgage rates are more strongly correlated with long -term public debt bond rates than with short-term rates.25 Appendix 3 reports CUSUM tests on the stability of the estimated parameters.…”

mentioning

confidence: 99%

Asymmetric Interest Rate Transmission in an Inflation Targeting Framework: The Case of Colombia

Galindo¹,

Steiner²

2020

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After adopting an inflation targeting framework for monetary policy at the turn of the century, the Central Bank of Colombia started actively using the monetary policy interest rate as its key policy tool. In this regard, this paper examines the interest rate pass-through from the monetary policy rate to the retail rates in Colombia and explores asymmetries in the adjustment process within the framework of a non-linear version of the ARDL (NARDL) model developed by Shin et al. (2014). Our findings show that the policy rate plays a key role in determining deposit and lending retail rates but the nature of the pass-through varies across different types of lending products. In the case of lending rates, the pass-through is usually a full one, and takes around 12 months to be nearly complete. Our results capture an asymmetric positive pass-through in deposit rates and an upward rigidity in the lending rates of consumer and ordinary corporate loans, key segments of the credit market. These findings imply that most retail lending rates respond more to policy rate cuts than to hikes, indicating that financial intermediaries are more reluctant to raise interest rates than to decrease them following policy adjustments.

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“…The optimal lag length of the nonlinear ARDL (n,m) is chosen based on the Schwarz (1978) information criterion. As in Ibrahim (2015) and Zhang et al (2017), we then use the general-to-specific approach by dropping all insignificant short-run regressors. Results are presented in Table 3.…”

Section: Nonlinear Ardl Estimatesmentioning

confidence: 99%

Does Oil Price Drive World Food Prices? Evidence from Linear and Nonlinear ARDL Modeling

Zmami

Ben-Salha

2019

Economies

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The macroeconomic outcomes of oil price fluctuations have been at the forefront of the debate among economists, financial analysts and policymakers over the last decades. Among others, the oil price–food price nexus has particularly received a great deal of attention. While an abundant body of literature has focused on the linear relationship between oil price and food price, little is known regarding the nonlinear interactions between them. The aim of this paper is to conduct aggregated and disaggregated analyses of the impact of the Brent and West Texas Intermediate (WTI) oil prices on international food prices between January 1990 and October 2017. The empirical investigation is based on the estimation of linear and nonlinear autoregressive distributed lag (ARDL) models. The findings confirm the presence of asymmetries since the overall food price is only affected by positive shocks on oil price in the long-run. While the dairy price index reacts to both positive and negative changes of oil price, the impact of oil price increases is found to be greater. Finally, the asymmetry is present for some other agricultural commodity prices in the short-run, since they respond only to oil price decreases. All in all, the study concludes that studies assuming the presence of a symmetric impact of oil price on food price might be flawed. The findings are important for the undertaking of future studies and the design of international and national policies in the fight against food insecurity.

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New Evidence of Interest Rate Pass-through in Taiwan: A Nonlinear Autoregressive Distributed Lag Model

Cited by 13 publications

References 22 publications

Loom of Symmetric Pass-Through

Loom of Symmetric Pass-Through

Asymmetric Interest Rate Transmission in an Inflation Targeting Framework: The Case of Colombia

Does Oil Price Drive World Food Prices? Evidence from Linear and Nonlinear ARDL Modeling

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