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Interest Rate Pass-Through In the Common Monetary Area of the SACU Countries

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  • Sander Harald
  • Kleimeier Stefanie

    (METEOR)

Abstract

We investigate the interest rate pass-through in the four Common Monetary Area (CMA) countries of the South African Customs Union (SACU). We employ an empirical pass-through model that allows for thresholds, asymmetric adjustment, and structural changes. We show that CMA bank lending markets exhibit quite some degree of homogenization as the pass-through is often fast and complete. Deposit markets are somewhat more heterogeneous by showing differing degrees of interest rate stickiness and asymmetric adjustment. Policy makers should therefore be concerned about imperfect competition which may be at the heart of the remaining cross-country differences in monetary transmission in the CMA.

Suggested Citation

  • Sander Harald & Kleimeier Stefanie, 2006. "Interest Rate Pass-Through In the Common Monetary Area of the SACU Countries," Research Memorandum 023, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Handle: RePEc:unm:umamet:2006023
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    Cited by:

    1. Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," NBP Working Papers 114, Narodowy Bank Polski, Economic Research Department.
    2. Florentina Paraschiv, 2013. "Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-19.
    3. Pei-Fen Chen & Jhih-Hong Zeng & Chien-Chiang Lee, 2015. "Monetary Policy and the Diversification–Profitability Linkage in Banking: Evidences from Emerging Market Economies," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 576-597, December.
    4. Arto Kovanen, 2011. "Monetary Policy Transmission in Ghana; Does the Interest Rate Channel Work?," IMF Working Papers 11/275, International Monetary Fund.
    5. Nikoloz Gigineishvili, 2011. "Determinants of Interest Rate Pass-Through; Do Macroeconomic Conditions and Financial Market Structure Matter?," IMF Working Papers 11/176, International Monetary Fund.
    6. Haughton, Andre Yone & Iglesias, Emma M., 2012. "Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia," Economic Modelling, Elsevier, vol. 29(6), pages 2071-2089.
    7. Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2010. "Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 323-338, May.
    8. repec:agr:journl:v:xxiv:y:2017:i:2(611):p:303-318 is not listed on IDEAS

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