Monetary Policy Impulses and Retail Interest Rate Pass-Through in Asian Banking Markets

Kuan Min Wang ()

Asian Economic Journal, 2010, vol. 24, issue 3, pages 253-287

Abstract: This paper considers the integration of financial markets and mutual influences of monetary policies in the USA and Asia based on monthly data from 1994 to 2007. We used panel-type and time-series and quantile panel-type error correction models to test the influences of expected and unexpected monetary policy impulses on the interest rate pass-through mechanism in the financial markets of 9 Asian countries and the USA. The empirics show that if interest rate integration exists in the financial markets, the following effects are observed: (i) positive impulses of unexpected monetary policy will lead to an increase in the long-run multiplier of the retail interest rate; (ii) the adjustment of retail interest rates with short-run disequilibrium will lead to an increase in the long-run markup; and (iii) the empirical results of quantile regression prove that when the interest variation is greater than the 0.5th quantile and unexpected monetary policy impulses are greater than the expected monetary policy impulses, the short-run interest rate pass-through mechanism becomes more unstable. Copyright 2010 The Author. Asian Economic Journal 2010 East Asian Economic Association and Blackwell Publishing Ltd.

Date: 2010
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2010&part=null link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:asiaec:v:24:y:2010:i:3:p:253-287

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1351-3958

Access Statistics for this article

Asian Economic Journal is edited by Sung Yun-Wing and Shigeyuki Abe

More articles in Asian Economic Journal from East Asian Economic Association
Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().