Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach

Habib ur Rahman and Hasan Mohsin
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Habib ur Rahman: SZABIST, Islamabad

The Pakistan Development Review, 2011, vol. 50, issue 4, 821-839

Abstract: The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities.

Keywords: Monetary Policy; Market Interest Rates; Normal Rates; Abnormal Rates; GARCH; ARIMA (search for similar items in EconPapers)
Date: 2011
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