Financial Crisis and Interest Rate Pass-Through in Australia

Milind Sathye ()
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Milind Sathye: Department of Accounting, Banking and Finance, University of Canberra, University Drive, Bruce ACT, ACT 2617, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2013, vol. 16, issue 04, 1-22

Abstract: The study contributes to the extant literature on interest rate pass-through in two ways. First, we examine the impact of the global financial crisis on the historical relationship between policy rate and the home lending rate. Second, we provide evidence from a hitherto unexplored OECD country (Australia) using data from recent years and provide new insights for advancing the pass-through literature. We found complete or near-complete pass-through in the money market rates and a statistically significant temporary change in the relationship between the policy rate and home lending rate since the onset of the financial crisis.

Keywords: Interest rate; pass-through; Australia (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219091513500239

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