Interest rate pass-through estimates from error correction models ECM
This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete b...
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HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE
2015-08-01
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Online Access: | https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/906 |
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doaj-ce686e4f03fb4cd1867d819fc69a4e472021-06-09T08:08:53ZengHO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCEHo Chi Minh City Open University Journal of Science - Economics and Business Administration2734-93142734-95862015-08-015131110.46223/HCMCOUJS.econ.en.5.1.906.2015767Interest rate pass-through estimates from error correction models ECMLe Phan Thi Dieu Thao0Nguyen Thi Thu Trang1Banking University Ho Chi Minh CityOceanBankThis paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete but high (0.7-0.93). The adjustment speed of money market rates & retail interest rates is relatively slow. It takes from 3 to 6 months for money market rates & retail interest rates to be adjusted to long-term equilibrium, except 1 month VNIBOR. 1 month VNIBOR is sensitive to changes of discount rate & refinancing rate in short-term, contrary to 3 month VNIBOR . The degree of pass-through from market rates to retail interest rates is fairly high in the long-term but low in the short-term. The degree of pass-through is different between various retail interest rates. Specifically, the degree of pass-through of deposit rates is higher than that of lending rates both in the short-term & long-term.https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/906nterest rate pass-through, monetary policy, error correction model ecm |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Le Phan Thi Dieu Thao Nguyen Thi Thu Trang |
spellingShingle |
Le Phan Thi Dieu Thao Nguyen Thi Thu Trang Interest rate pass-through estimates from error correction models ECM Ho Chi Minh City Open University Journal of Science - Economics and Business Administration nterest rate pass-through, monetary policy, error correction model ecm |
author_facet |
Le Phan Thi Dieu Thao Nguyen Thi Thu Trang |
author_sort |
Le Phan Thi Dieu Thao |
title |
Interest rate pass-through estimates from error correction models ECM |
title_short |
Interest rate pass-through estimates from error correction models ECM |
title_full |
Interest rate pass-through estimates from error correction models ECM |
title_fullStr |
Interest rate pass-through estimates from error correction models ECM |
title_full_unstemmed |
Interest rate pass-through estimates from error correction models ECM |
title_sort |
interest rate pass-through estimates from error correction models ecm |
publisher |
HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE |
series |
Ho Chi Minh City Open University Journal of Science - Economics and Business Administration |
issn |
2734-9314 2734-9586 |
publishDate |
2015-08-01 |
description |
This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete but high (0.7-0.93). The adjustment speed of money market rates & retail interest rates is relatively slow. It takes from 3 to 6 months for money market rates & retail interest rates to be adjusted to long-term equilibrium, except 1 month VNIBOR. 1 month VNIBOR is sensitive to changes of discount rate & refinancing rate in short-term, contrary to 3 month VNIBOR . The degree of pass-through from market rates to retail interest rates is fairly high in the long-term but low in the short-term. The degree of pass-through is different between various retail interest rates. Specifically, the degree of pass-through of deposit rates is higher than that of lending rates both in the short-term & long-term. |
topic |
nterest rate pass-through, monetary policy, error correction model ecm |
url |
https://journalofscience.ou.edu.vn/index.php/econ-en/article/view/906 |
work_keys_str_mv |
AT lephanthidieuthao interestratepassthroughestimatesfromerrorcorrectionmodelsecm AT nguyenthithutrang interestratepassthroughestimatesfromerrorcorrectionmodelsecm |
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1721388289359872000 |