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Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks

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  • Apergis, Nicholas
  • Cooray, Arusha

Abstract

This paper provides new evidence on asymmetric interest rate pass-through in the U.S., the U.K. and the Australian economies by using the Nonlinear Auto-Regressive Distributed Lag model, central bank interest rates, lending and deposit interest rates from selected banks, spanning the period 2000–2013. The results provide evidence that corroborates the asymmetric pass-through market predictions. Robustness tests are also performed by splitting the sample period into that prior to and after the recent financial crisis. The new findings document that the asymmetric character of pass-through remains active only in the case of Australia.

Suggested Citation

  • Apergis, Nicholas & Cooray, Arusha, 2015. "Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 155-172.
  • Handle: RePEc:eee:jmacro:v:45:y:2015:i:c:p:155-172
    DOI: 10.1016/j.jmacro.2015.04.010
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    1. repec:eee:ecmode:v:64:y:2017:i:c:p:443-448 is not listed on IDEAS
    2. repec:bla:deveco:v:54:y:2016:i:4:p:271-291 is not listed on IDEAS
    3. Wolski, Marcin, 2018. "Sovereign risk and corporate cost of borrowing: Evidence from a counterfactual study," EIB Working Papers 2018/05, European Investment Bank (EIB).

    More about this item

    Keywords

    Interest rate pass-through; Asymmetries; Selected banks; U.S.; U.K.; Australia;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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