| Description |
1 online resource (20 pages) : illustrations |
| Series |
IMF working paper ; WP/11/176 |
|
IMF working paper ; WP/11/176.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; 1. Introduction; 2. Monetary Transmission Mechanism and Interest Rate Pass-Through; 2.1. Background; 2.2. Model of Interest Rate Pass-Through; 2.3. Sample Selection; 2.4. Pass-Through Estimates; 3. Determinants of Interest Rate Pass-Through; 3.1. Brief Summary of Literature; 3.2. Variable Selection and Methodology; 3.3. Results; 4. Conclusions and Policy Implications; References; Footnotes |
| Summary |
Numerous empirical studies have found that the strength of the interest rate pass-through varies markedly across countries and markets. The causes of such heterogeneity have attracted considerably less attention so far. Unlike other studies that mainly focus on small groups of mostly developed and emerging markets in the same region, this paper expands the cross-sectional coverage to 70 countries from all regions, including low income, emerging and developed countries. It uses a wide range of macroeconomic and financial market structure variables to uncover structural determinants of pass-through. The paper finds that per capita GDP and inflation have positive effects on pass-through, while market volatility has a negative effect. Among financial market variables exchange rate flexibility, credit quality, overhead costs, and banking competition were found to strengthen pass-through, whereas excess banking liquidity to impede it |
| Notes |
At head of title: African Department |
|
Title from PDF title page (IMF Web site, viewed September 9, 2011) |
|
"July 2011." |
| Bibliography |
Includes bibliographical references |
| Notes |
English |
| Subject |
Interest rates -- Econometric models
|
|
Capital market -- Econometric models
|
|
Capital market -- Econometric models
|
|
Interest rates -- Econometric models
|
| Form |
Electronic book
|
| Author |
International Monetary Fund. African Department, issuing body.
|
| ISBN |
1283556499 |
|
9781283556491 |
|
9781462392025 |
|
1462392024 |
|
1463901860 |
|
9781463901868 |
|
9786613868947 |
|
6613868949 |
|
1462393020 |
|
9781462393022 |
|
