Some Evidence on the Asymmetry of Interest Rate Pass-Through in Asian Economies

초록

In this paper, we empirically investigate interest rate pass-through (IRPT) from policy rates to bank lending rates in eight Asian countries by employing nonlinear autoregressive distributed lag (NARDL) model developed by Shin, Yu, and Greenwood (2009), which allows us to capture both short-term and long-term asymmetries in transmission process. We find incomplete pass-through in Hong Kong, Indonesia, Thailand and the Philippines to varying degrees and in Japan in a limited case, which may come from a mixture of several factors such as fixed menu costs, high switching costs, imperfect competition and asymmetric information. We find over pass-through in Korea, which suggests that Korean banking sector is highly competitive. Regarding long-run asymmetry, we are able to find positive long-run asymmetric pass-through for Hong Kong and Korea and negative one for Indonesia and Thailand. Banks in Korea and Thailand also exhibit asymmetries in the speed of adjustment. We are not able to find any meaningful interest rate pass-through in Malaysia and Singapore.

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