Bank and Official Interest Rates: How Do They Interact over Time?
Guay Lim,
Sarantis Tsiaplias and
Chew Chua
Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne
Abstract:
This paper implements a procedure to evaluate time-varying bank interest rate adjustments over a sample period which includes changes in industry structure, market and credit conditions and varying episodes of monetary policy. The model draws attention to the pivotal role of official rates and provides estimates of the equilibrium policy rate. The misalignment of actual official rates and their changing sensitivity to banking conditions is identified. Results are also provided for the variation in intermediation margins and pass-throughs as well as the interactions between lending and borrowing behaviour over the years, including behaviour before, during and after the global financial crisis. The case studies are the US and Australian banking systems.
Keywords: bank interest rates; time-varying asymmetric adjustments; monetary interest rate policy (search for similar items in EconPapers)
JEL-codes: C32 E43 G2 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2010-04
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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Citations: View citations in EconPapers (3)
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http://melbourneinstitute.unimelb.edu.au/downloads ... series/wp2010n04.pdf (application/pdf)
Related works:
Journal Article: Bank and Official Interest Rates: How Do They Interact over Time? (2013) 
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Persistent link: https://EconPapers.repec.org/RePEc:iae:iaewps:wp2010n04
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