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Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach

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Author Info

  • Habib-ur-Rahman

    (SZABIST, Islamabad)

  • Hasan M. Mohsin

    (Pakistan Institute of Development Economics, Islamabad)

Abstract

The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities.

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Bibliographic Info

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

Volume (Year): 50 (2011)
Issue (Month): 4 ()
Pages: 821-839

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Handle: RePEc:pid:journl:v:50:y:2011:i:4:p:821-839

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Related research

Keywords: Monetary Policy; Market Interest Rates; Normal Rates; Abnormal Rates; GARCH; ARIMA;

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