Bank and Official Interest Rates: How Do They Interact over Time?

G. C. Lim, Sarantis Tsiaplias, Chew Lian Chua

Research output: Journal PublicationArticlepeer-review

8 Citations (Scopus)

Abstract

This study implements a procedure to evaluate time-varying bank-interest rate adjustments over a sample period which includes changes in industry structure, market and credit conditions and varying episodes of monetary policy. The model draws attention to the pivotal role of official rates and provides estimates of a bank equilibrium policy rate. The changing sensitivity of official rates to banking conditions is identified. Results are also provided for the variation in intermediation margins and pass-throughs as well as the interactions between lending and borrowing behaviour over the years, including behaviour before, during and after the global financial crisis. The empirical methodology is applied to the US and the Australian banking systems.

Original languageEnglish
Pages (from-to)160-174
Number of pages15
JournalEconomic Record
Volume89
Issue number285
DOIs
Publication statusPublished - Jun 2013
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics

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