EconPapers    
Economics at your fingertips  
 

Interest Rate Pass-Through in the UK: Has the Transmission Mechanism Changed During the Financial Crisis?

Ahmad Hassan Ahmad, Nusrate Aziz and Shahina Rummun

Economic Issues Journal Articles, 2013, vol. 18, issue 1, 17-38

Abstract: Interest rate has been the monetary policy tool used by the modern central banks. For monetary policy to be effective, changes in the policy rate should influence the short-term money market rate and retail rates. Using an error correction methodology, this paper examines the short-run and long-run dynamics of interest rate pass through from the LIBOR to four different UK retail rates. The results indicate that interest rate pass-through in the UK is incomplete in the short run, but fairly complete in the long-run and the adjustment of retail rates depend on whether they are below or above their respective long-run values. The results also indicate a temporary, but statistically significant change in the interest rate pass-through since the beginning of the financial crisis in 2007.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.economicissues.org.uk/Files/2013/113Ahmad.pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:eis:articl:113ahmad

Access Statistics for this article

More articles in Economic Issues Journal Articles from Economic Issues Contact information at EDIRC.
Bibliographic data for series maintained by Dan Wheatley ().

 
Page updated 2022-07-19
Handle: RePEc:eis:articl:113ahmad