Monetary policy transmission and bank interest rate pass-through in emerging market countries:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2009
|
| Series: | Schriftenreihe volkswirtschaftliche Forschungsergebnisse
Bd. 148 |
| Subjects: | |
| Online Access: | Inhaltstext Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | XV, 220 S. graph. Darst. 21 cm, 304 gr. |
| ISBN: | 9783830046592 |
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| 245 | 1 | 0 | |a Monetary policy transmission and bank interest rate pass-through in emerging market countries |c Nadine Kalwey |
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| adam_text |
Titel: Monetary policy transmission and bank interest rate pass-through in emerging market countries
Autor: Kalwey, Nadine
Jahr: 2009
Contents
Acknowledgements V
List of Tables XI
List of Figures XIII
List of Abbreviations XV
1. Introduction 1
1.1. The Problem. 1
1.2. The Structure of this Study. 3
2. The Monetary Transmission Mechanism-Theory and Evidence 5
2.1. Channels of Monetary Policy Transmission. 6
2.1.1. TheInterestRateChannel . 6
2.1.2. The Asset Price Channel. 8
2.1.3. The Exchange Rate Channel. 10
2.1.4. The Credit Channel. 12
2.1.4.1. The Bank Lending Channel. 13
2.1.4.2. The Balance Sheet Channel. 17
2.1.5. The Expectations Channel. 19
2.2. Effectiveness of Monetary Policy. 20
2.2.1. Monetary and Maeroeconomic Environment. 21
2.2.2. Structure of the Financial System. 24
2.2.2.1. Financial Liberalization. 24
2.2.2.2. Changes in the Financial Market Structure. 26
2.3. Are Emerging Markets Different?. 31
2.3.1. The Interest Rate Channel . 32
2.3.2. The Asset Price Channel. 34
2.3.3. The Exchange Rate Channel. 35
2.3.4. The Credit Channel. 37
2.4. Interest Rate Pass-Through as the Central Element. 41
2.4.1. Modeling the Interest Rate Setting Behavior of Banks. 43
2.4.1.1. Financial Sector Competition. 45
2.4.1.2. Market Imperfections. 47
2.4.13. InterestRate Risk. 50
2.4.2. The Pass-Through to Bank Interest Rates: Empirical Evidence . 54
vn
Yin Contents
2.4.2.1. Evidence for Industrialized Countries. 54
2.4.2.2. The Pass-Through Process in Emerging Market Coun-
ts . f
2.5. Summary.
3. Empirical Analysis I: The Speed and Degree of Bank Interest Rate Pass-
Through 65
3.1. Data and Stylized Facts. 66
3.1.1. Interest Rates in the Selected Countries. 66
3.1.2. The Spread Between Bank Interest and Money Market Rate . 71
3.2. Evidence From Impulse Response Functions. 83
3.3. An Error Correction Framework. 91
3.3.1. TheModel. 91
3.3.2. Estimation Results. 94
3.3.2.1. Lending Rate Pass-Through . 94
3.3.2.2. Deposit Rate Pass-Through. 101
3.3.3. Results from Rolling Window Regression. 1"6
3.4. Summary.¦ 109
4. Empirical Analysis II: The Determinants of the Interest Rate Pass-Through
Process 111
4.1. Factors Influencing the Interest Rate Setting Behavior of Banks. HI
4.2. The Structure of Financial Markets in the Selected Countries. 119
4.3. Testing for the Determinants of the Pass-Through Process: A Panel Ap-
proach . 141
4.3.1. The Econometric Framework. 141
4.3.2. TheData. 143
4.3.3. Estimation Results. 144
43.3.1. Lending Rate Pass-Through . 145
4.3.3.2. Deposit Rate Pass-Through. 151
4.4. Summary. 156
5. Final Remarks 159
Appendix 163
A. Appendix to Chapter 2 165
B, Appendix to Chapter 3 169
B.I, Data Description., 169
B.2. Model Specifications and Cointegratton Tests ._,_,. 173
B3. RolltagWindowRegressions. 178
Contents IX
B.3.1. Lending Rates. 178
B.3.2. DepositRates. 187
C. Appendix to Chapter 4 197
C.I. Data Description . 197
C.2. Econometric Tests . 205
Bibliography 207 |
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| isbn | 9783830046592 |
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| spelling | Kalwey, Nadine Verfasser aut Monetary policy transmission and bank interest rate pass-through in emerging market countries Nadine Kalwey Hamburg Kovač 2009 XV, 220 S. graph. Darst. 21 cm, 304 gr. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe volkswirtschaftliche Forschungsergebnisse Bd. 148 Zugl.: Köln, Univ., Diss., 2009 Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Transmission (DE-588)4275769-1 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Geldpolitik (DE-588)4019902-2 s Transmission (DE-588)4275769-1 s Kreditmarkt (DE-588)4073788-3 s DE-604 Schriftenreihe volkswirtschaftliche Forschungsergebnisse Bd. 148 (DE-604)BV011622667 148 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3338043&prov=M&dok_var=1&dok_ext=htm Inhaltstext text/html http://www.verlagdrkovac.de/978-3-8300-4659-2.htm Ausführliche Beschreibung HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020222104&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kalwey, Nadine Monetary policy transmission and bank interest rate pass-through in emerging market countries Schriftenreihe volkswirtschaftliche Forschungsergebnisse Kreditmarkt (DE-588)4073788-3 gnd Transmission (DE-588)4275769-1 gnd Geldpolitik (DE-588)4019902-2 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4275769-1 (DE-588)4019902-2 (DE-588)4113937-9 |
| title | Monetary policy transmission and bank interest rate pass-through in emerging market countries |
| title_auth | Monetary policy transmission and bank interest rate pass-through in emerging market countries |
| title_exact_search | Monetary policy transmission and bank interest rate pass-through in emerging market countries |
| title_full | Monetary policy transmission and bank interest rate pass-through in emerging market countries Nadine Kalwey |
| title_fullStr | Monetary policy transmission and bank interest rate pass-through in emerging market countries Nadine Kalwey |
| title_full_unstemmed | Monetary policy transmission and bank interest rate pass-through in emerging market countries Nadine Kalwey |
| title_short | Monetary policy transmission and bank interest rate pass-through in emerging market countries |
| title_sort | monetary policy transmission and bank interest rate pass through in emerging market countries |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Transmission (DE-588)4275769-1 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Kreditmarkt Transmission Geldpolitik Hochschulschrift |
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