Kashem, Mohammad Abul and Rahman, Mohammad Mafizur 
ORCID: https://orcid.org/0000-0002-7950-1961
(2018)
Dynamics of interest rate pass-through in Bangladesh:
an econometric investigation for 2003–2015.
Asian Profile, 46 (3).
pp. 223-241.
ISSN 0304-8675
Abstract
This paper examines the dynamics of the interest rate pass-through mechanism for Bangladesh by formulating and using an independent variable 'weighted average policy rate' and lending rate, deposit rate and call money rate as dependent variables. We have used quarterly data for the period of 2003,Q1 -2015,Q4. The Error correction and Engle-Granger (EG) models are used to examine the short-run and long-run pass-through respectively; a vector error correction impulse response function (IRF) was employed to measure the short-run speed of the pass-through. We find that there is a symmetric, incomplete and very sluggish pass-through in Bangladesh for lending, deposit and money market channels. The greatest impact is found on the lending rate channel in the short-run.
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| Item Type: | Article (Commonwealth Reporting Category C) |
|---|---|
| Refereed: | Yes |
| Item Status: | Live Archive |
| Faculty/School / Institute/Centre: | Historic - Faculty of Business, Education, Law and Arts - School of Commerce (1 Jul 2013 - 17 Jan 2021) |
| Faculty/School / Institute/Centre: | Historic - Faculty of Business, Education, Law and Arts - School of Commerce (1 Jul 2013 - 17 Jan 2021) |
| Date Deposited: | 15 Oct 2018 02:06 |
| Last Modified: | 26 Oct 2018 05:14 |
| Uncontrolled Keywords: | interest rate pass-though; Bangladesh |
| Fields of Research (2008): | 14 Economics > 1402 Applied Economics > 140207 Financial Economics |
| Fields of Research (2020): | 38 ECONOMICS > 3801 Applied economics > 380107 Financial economics |
| Socio-Economic Objectives (2008): | B Economic Development > 91 Economic Framework > 9199 Other Economic Framework > 919999 Economic Framework not elsewhere classified |
| URI: | http://eprints.usq.edu.au/id/eprint/34913 |
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