The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment
The interest rate channel is the primary and most important mechanism for policymakers. Knowledge of the pass-through of interest rates has allowed policymakers to draw conclusions on how fast and to what extent a shock in policy rates are transmitted to retail rates. This paper investigates the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia
2015
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/18008/ http://ir.unimas.my/id/eprint/18008/1/The%20Interest%20Rate%20Pass-Through%20in%20Malaysia%20%28abstract%29.pdf |
| _version_ | 1848838415129247744 |
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| author | Tang, Maggie May-Jean Puah, Chin Hong Liew, Venus Khim-Sen |
| author_facet | Tang, Maggie May-Jean Puah, Chin Hong Liew, Venus Khim-Sen |
| author_sort | Tang, Maggie May-Jean |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | The interest rate channel is the primary and most important mechanism
for policymakers. Knowledge of the pass-through of interest rates has
allowed policymakers to draw conclusions on how fast and to what
extent a shock in policy rates are transmitted to retail rates. This paper
investigates the pass-through effect of policy rate on retail rates in
Malaysia. Asymmetric threshold autoregressive (TAR) and
momentum threshold autoregressive (MTAR) proposed by Enders and
Siklos (2001) are employed in the study. Over the period of January
1987 to December 2014, the policy rate was found to be an incomplete
pass-through to deposit and lending rates. Based on the asymmetric
analysis, we discover the asymmetry effects in the response of retail
rates to the change of policy rate. In addition, we find downward
rigidity in both deposit and lending rates. |
| first_indexed | 2025-11-15T06:55:11Z |
| format | Article |
| id | unimas-18008 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:55:11Z |
| publishDate | 2015 |
| publisher | Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-180082017-10-06T06:50:24Z http://ir.unimas.my/id/eprint/18008/ The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment Tang, Maggie May-Jean Puah, Chin Hong Liew, Venus Khim-Sen H Social Sciences (General) The interest rate channel is the primary and most important mechanism for policymakers. Knowledge of the pass-through of interest rates has allowed policymakers to draw conclusions on how fast and to what extent a shock in policy rates are transmitted to retail rates. This paper investigates the pass-through effect of policy rate on retail rates in Malaysia. Asymmetric threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) proposed by Enders and Siklos (2001) are employed in the study. Over the period of January 1987 to December 2014, the policy rate was found to be an incomplete pass-through to deposit and lending rates. Based on the asymmetric analysis, we discover the asymmetry effects in the response of retail rates to the change of policy rate. In addition, we find downward rigidity in both deposit and lending rates. Universiti Putra Malaysia 2015 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18008/1/The%20Interest%20Rate%20Pass-Through%20in%20Malaysia%20%28abstract%29.pdf Tang, Maggie May-Jean and Puah, Chin Hong and Liew, Venus Khim-Sen (2015) The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment. International Journal of Economics and Management, 9 (2). pp. 370-381. ISSN 1823 - 836X http://www.econ.upm.edu.my/ijem |
| spellingShingle | H Social Sciences (General) Tang, Maggie May-Jean Puah, Chin Hong Liew, Venus Khim-Sen The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title | The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title_full | The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title_fullStr | The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title_full_unstemmed | The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title_short | The Interest Rate Pass-Through in Malaysia: An Analysis on Asymmetric Adjustment |
| title_sort | interest rate pass-through in malaysia: an analysis on asymmetric adjustment |
| topic | H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/18008/ http://ir.unimas.my/id/eprint/18008/ http://ir.unimas.my/id/eprint/18008/1/The%20Interest%20Rate%20Pass-Through%20in%20Malaysia%20%28abstract%29.pdf |