Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia

2012 ◽  
Vol 29 (6) ◽  
pp. 2071-2089 ◽  
Author(s):  
Andre Yone Haughton ◽  
Emma M. Iglesias
Keyword(s):  
Interest Rate ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism ◽  
Interest Rate Volatility ◽  
The Caribbean ◽  
Pass Through

scholarly journals ALUR TRANSMISI DAN EFEKTIFITAS KEBIJAKAN MONETER GANDA DI INDONESIA

2012 ◽  
Vol 14 (3) ◽  
pp. 283-315
Author(s):  
Ascarya Ascarya
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Negative Impact ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism ◽  
Monetary System ◽  
Data Form ◽  
Pass Through ◽  
The Interest Rate

This study aims to investigate transmission mechanism of dual monetary system from conventional and Islamic policy rates to inflation and output using Granger and VAR methods on monthly Indonesian banking data form January 2003 to December 2009. The result shows that conventional transmission mechanismsfrom conventional policy rate are all linked tooutput and inflation, while Islamic policy rate are not linked to output and inflation.In addition, the interest rate, credit and conventional interbank rate shocks give negative and permanent impacts to inflation and output, while PLS, financing and Islamic interbank PLS, as well as SBIS(Central Bank Shariah Certificate) as Islamic policy rate shocks give positive and permanent impacts to inflation and output. SBI (Central Bank Certificate) as conventional policy givespositive impact to inflation and negative impact to output.Keywords: Monetary transmission mechanism, Interest rate pass through, Conventional Banking, Islamic BankingJEL Classification: E43, E52, G21, G28

scholarly journals TRANSMISSION CHANNEL AND EFFECTIVENESS OF DUAL MONETARY POLICY IN INDONESIA

2012 ◽  
Vol 14 (3) ◽  
pp. 269-298 ◽  
Author(s):  
Ascarya Ascarya
Keyword(s):  
Interest Rate ◽  
Positive Impact ◽  
Transmission Mechanism ◽  
The Other ◽  
Monetary Transmission ◽  
Transmission Channel ◽  
Monthly Data ◽  
Monetary Transmission Mechanism ◽  
Monetary System ◽  
Pass Through

This paper investigates the transmission mechanism of dual monetary system from conventional and Islamic policy rates to inflation and output. We apply Granger Causality and VAR methods on monthly data of Indonesian banking, during the period of January 2003 to December 2009. The result shows that conventional policy rate is transmitted to output and inflation, while Islamic policy rate are not. In addition, the shock of conventional interest rate, credit and interbank rate give a negative and permanent impacts on inflation and output, except for SBI (Certificate of Bank Indonesia) with positive impact to inflation  though negatively affect the output. On the other hand, the shock of PLS, financing and Islamic interbank PLS, as well as SBIS (Central Bank Shariah Certificate) give positive and permanent impacts on inflation and output. Keywords: Monetary transmission mechanism, Interest rate pass through, Conventional Banking, Islamic BankingJEL Classification: E43, E52, G21, G28

Dynamism of Monetary Transmission Mechanism in Nigeria: Interest Rate and Market Capitalization Causality Evidence

2018 ◽  
Vol 2 (1) ◽  
pp. 81-91
Author(s):  
Prince Umor C. Agundu ◽  
Waleru Henry Akani
Keyword(s):  
Interest Rate ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Coefficient Of Determination ◽  
Series Data ◽  
Causality Test ◽  
Market Capitalization ◽  
Monetary Transmission Mechanism

The potency of monetary transmission channels anchors the process by which interest rate movements and other cardinal aggregates influence critical financial fundamentals in an economy. This study, thus, examines dynamism of the monetary transmission mechanism with focus on the causality of interest rate and market capitalization in the Nigerian economy. Time series data covering a period of 36 years (1981 - 2015) were extracted from publications of monetary authorities and related agencies, including annual reports of Deposit Money Banks (DMBs) in the country. Facilitated by E-Views software, the analytical proceedings generated the required statistical outcomes in terms of coefficient of correlation (r), coefficient of determination (R2), t-statistic, and F-statistic. Granger causality test was also conducted to clearly establish the direction of causality between the focal variables. Essentially, the null hypothesis is rejected as probability of the F-statistic is less than the specified 0.05 level of significance. The granger causality test statistics run from four interest rate components to the operational capital market fundamental (with F-statistics of 5.758, 5.540, 4.209,and5.656; as well as  probability values of 0.008, 0.009, 0.002, and 0.009 respectively). In view of the analytical outcomes, it is recommended that interest rate components be efficiently synergized to boost investors’ confidence and further drive monetary policy dynamics towards greater financial system vitality and sustainability in Nigeria.

Asymmetric Information and the Transmission Mechanism of Monetary Policy

2007 ◽  
Vol 8 (3) ◽  
pp. 428-446 ◽  
Author(s):  
Ulrike Neyer
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Asymmetric Information ◽  
Credit Markets ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Credit Channel ◽  
Absolute Value ◽  
Monetary Transmission Mechanism ◽  
External Finance

Abstract This paper analyses the consequences of asymmetric information in credit markets for the monetary transmission mechanism. It shows that asymmetric information can not only reinforce but can also weaken or overcompensate the effects of the standard interest rate channel. Crucial is that informational problems lead to an external finance premium that can be positive or negative for marginal entrepreneurs. Tight money may lead to an increase in the absolute value of this premium, implying that there is a credit channel of monetary policy, but its working direction is ambiguous.

scholarly journals Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Hans-Helmut Kotz ◽  
Willi Semmler ◽  
Ibrahim Tahri
Keyword(s):  
Euro Area ◽  
Multivariate Time Series ◽  
Transmission Mechanism ◽  
Smooth Transition ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism ◽  
Time Series Approach ◽  
Lending Rates ◽  
Pass Through ◽  
The Impact

Abstract This paper investigates the effect of financial fragmentation on the monetary transmission mechanism in different Euro area economies, categorized into two groups: countries considered as “core” economies and countries characterized as “peripheral” economies. We analyze the effects of financial fragmentation on the monetary transmission mechanism through the traditional interest rate channel. To gauge the impact of changes in policy rates on the behavior of real variables such as aggregate output and employment we use a Smooth Transition VAR (VSTAR) model. Employing a nonlinear multivariate time series approach helps us capture the regime-dependent dynamics of the variables under study. The results obtained show that money market rates targeted by the central bank do not completely pass through to banks’ lending rates to firms, particularly in a financially fragmented environment. This finding supports the hypothesis of an impairment of the monetary transmission mechanism as a result of financial fragmentation. Given this impairment in some sectors and regions an accompanying credit volume policy might have been appropriate.

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