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Interest rate pass-through in Mongolia

Пүрэв, 2016 оны Арван хоёрдугаар сарын 1 | ОУ-ын сэтгүүлд хэвлэгдсэн судалгааны ажил - Бусад | MN, EN
  • Сэтгүүлийн нэр:
    The Developing Economies
  • Зохиогч:
    Gan-Ochir Doojav and Kaliappa Kalirajan
  • JEL ангилал:
    E43, E52, E58, C51
  • Түлхүүр үг:
    Interest rate pass-through; Linear and nonlinear ARDL models; Asymmetric cointegration; Asymmetric dynamics multipliers; Mongolia
  • Хураангуй:
    This study empirically examines the interest rate pass-through of the money market interest rate to bank lending and bank deposit interest rates in Mongolia using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results from the empirical analysis using data from December 2002 to September 2015 suggest that interest rate pass-through is generally weaker, slower, and asymmetric in Mongolia. The new findings provide evidence that: (i) interest rate pass-through has improved over time; (ii) the bank deposit rate has a higher long-run interest rate pass-through and slower adjustment than the bank lending rate; and (iii) there is a negative long-run asymmetric pass-through with respect to the bank lending rate and a positive long-run asymmetric pass-through with respect to the bank deposit rate.

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