Dynamics of interest rate pass-through in Bangladesh: an econometric investigation for 2003–2015
Article
Article Title | Dynamics of interest rate pass-through in Bangladesh: |
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ERA Journal ID | 18720 |
Article Category | Article |
Authors | Kashem, Mohammad Abul (Author) and Rahman, Mohammad Mafizur (Author) |
Journal Title | Asian Profile |
Journal Citation | 46 (3), pp. 223-241 |
Number of Pages | 19 |
Year | 2018 |
Publisher | Asian Research Service |
Place of Publication | Canada |
ISSN | 0304-8675 |
Web Address (URL) | http://www.asianresearchservice.com/Asianprofile.htm |
Abstract | This paper examines the dynamics of the interest rate pass-through mechanism for Bangladesh by formulating and using an independent variable 'weighted average policy rate' and lending rate, deposit rate and call money rate as dependent variables. We have used quarterly data for the period of 2003,Q1 -2015,Q4. The Error correction and Engle-Granger (EG) models are used to examine the short-run and long-run pass-through respectively; a vector error correction impulse response function (IRF) was employed to measure the short-run speed of the pass-through. We find that there is a symmetric, incomplete and very sluggish pass-through in Bangladesh for lending, deposit and money market channels. The greatest impact is found on the lending rate channel in the short-run. |
Keywords | interest rate pass-though; Bangladesh |
ANZSRC Field of Research 2020 | 380107. Financial economics |
Byline Affiliations | Bangladesh Bank, Bangladesh |
School of Commerce | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q4y01/dynamics-of-interest-rate-pass-through-in-bangladesh-an-econometric-investigation-for-2003-2015
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