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

Apergis, Nicholas; Cooray, Arusha


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...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Journal of Macroeconomics
DOI: 10.1016/j.jmacro.2015.04.010


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