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
Description
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]
dc.contributor.author | Apergis, Nicholas | |
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dc.contributor.author | Cooray, Arusha | |
dc.date.accessioned | 2016-02-24T22:40:40Z | |
dc.identifier.issn | 0164-0704 | |
dc.identifier.uri | http://hdl.handle.net/1885/98402 | |
dc.description.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. | |
dc.publisher | Elsevier | |
dc.source | Journal of Macroeconomics | |
dc.title | Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 45 | |
dc.date.issued | 2015 | |
local.identifier.absfor | 140102 - Macroeconomic Theory | |
local.identifier.ariespublication | a383154xPUB3274 | |
local.type.status | Published Version | |
local.contributor.affiliation | Apergis, Nicholas, Curtin University | |
local.contributor.affiliation | Cooray, Arusha, College of Asia and the Pacific, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.startpage | 155 | |
local.bibliographicCitation.lastpage | 172 | |
local.identifier.doi | 10.1016/j.jmacro.2015.04.010 | |
dc.date.updated | 2016-02-24T08:07:34Z | |
local.identifier.scopusID | 2-s2.0-84939539473 | |
Collections | ANU Research Publications |
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