Advanced Search
MyIDEAS: Login

Interest Rate Pass-through in Pakistan: Evidence from Transfer Function Approach

Contents:

Author Info

  • Abdul Qayyum

    (Pakistan Institute of Development Economics, Islamabad.)

  • Sajawal Khan

    (Government Degree College, Ghasi (NWFP).)

  • Idrees Khawaja

    (Air University, Islamabad.)

Abstract

This paper empirically investigates the pass-through of the changes in the interest rate on Treasury bills in Pakistan to money market rate (call money rate), banks’ deposit rate, and banks’ lending rate. The motivation for the study is that the effectiveness of the monetary policy transmission mechanism hinges upon the speed and extent of the pass-through of the policy rate to the individual elements of the transmission mechanism. Call money rate, banks’ deposit rate, and banks’ lending rate, being important elements of the monetary transmission mechanism, the examination of the pass-through to these rates will shed light on the effectiveness of the monetary transmission mechanism. The results are, by and large, in conformity with the literature on the pass-through: pass-through of the changes in the treasury bill rate tocall money is completed in the impact period, i.e., one month. The pass-through to savings deposit rate starts during the first six months and continues for quite long. In the case of six-months deposit rate and the lending rate, no pass-through is noticed during the first six-months. The pass-through occurs between 1.5-3 years in both the cases.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.pide.org.pk/pdf/PDR/2005/Volume4/975-1001.pdf
Download Restriction: no

Bibliographic Info

Article provided by Pakistan Institute of Development Economics in its journal The Pakistan Development Review.

Volume (Year): 44 (2005)
Issue (Month): 4 ()
Pages: 975-1001

as in new window
Handle: RePEc:pid:journl:v:44:y:2005:i:4:p:975-1001

Contact details of provider:
Postal: P.O.Box 1091, Islamabad-44000
Phone: (92)(51)9248051
Fax: (92)(51)9248065
Email:
Web page: http://www.pide.org.pk
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Mojon, Benoît, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 0040, European Central Bank.
  2. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall.
  3. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
  4. Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002. "Retail Interest Rate Pass-Through - The Irish Experience," The Economic and Social Review, Economic and Social Studies, vol. 33(2), pages 223-246.
  5. Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-45, September.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Ali Choudhary & Amjad Ali & Shah Hussain & Vasco J Gabriel, 2012. "Bank Lending and Monetary Shocks: Evidence from a Developing Economy," Working Papers id:4771, eSocialSciences.
  2. Hasan Muhammad Mohsin, 2011. "The Impact of Monetary Policy on Lending and Deposit Rates in Pakistan: Panel Data Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(Special E), pages 199-213, September.
  3. Amjad Ali & M. Ali Choudhary & Shah Hussain & Vasco J. Gabriel, 2012. "Bank Lending and Monetary Shocks: an Empirical Investigation," School of Economics Discussion Papers 0212, School of Economics, University of Surrey.
  4. Hanif, M. Nadim & Khan, Mahmood ul Hassan, 2012. "Pass-Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation," MPRA Paper 39587, University Library of Munich, Germany.
  5. Rashid Amjad Chaudhry & Musleh ud Din & Abdul Qayyum, 2011. "Pakistan: Breaking Out of Stagflation into Sustained Growth," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(Special E), pages 13-30, September.
  6. T. Mangwengwende & Z. Chinzara & H. Nel, 2011. "Bank concentration and the interest rate pass-through in Sub-Saharan African countries," Working Papers 233, Economic Research Southern Africa.
  7. Khan, Mahmood ul Hassan & Hanif, Muhammad Nadim, 2012. "Role of Demand and Supply Shocks in Driving Inflation: A Case Study of Pakistan," MPRA Paper 48884, University Library of Munich, Germany.
  8. Sheikh Khurram Fazal & Muhammad Abdus Salam, 2013. "Interest Rate Pass-Through: Empirical Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(1), pages 39-62, Jan-June.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pid:journl:v:44:y:2005:i:4:p:975-1001. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Khurram Iqbal).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.