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Title: Interest rate pass-through in the UK: has the transmission mechanism changed during the financial crisis?
Authors: Ahmad, A.H.
Aziz, Nusrate
Rummun, Shahina
Issue Date: 2013
Publisher: © Economic Issues
Citation: AHMAD, A.H., AZIZ, N. and RUMMUN, S., 2013. Interest rate pass-through in the UK: has the transmission mechanism changed during the financial crisis? Economic Issues, 18 (1), pp. 17 - 38.
Abstract: Interest rate has been the monetary policy tool used by the modern central banks. For monetary policy to be effective, changes in the policy rate should influence the short-term money market rate and retail rates. Using an error correction methodology, this paper examines the short-run and long-run dynamics of interest rate pass through from the LIBOR to four different UK retail rates. The results indicate that interest rate pass-through in the UK is incomplete in the short run, but fairly complete in the long-run and the adjustment of retail rates depend on whether they are below or above their respective long-run values. The results also indicate a temporary, but statistically significant change in the interest rate pass-through since the beginning of the financial crisis in 2007.
Description: This article was published in the journal Economic Issues [© Economic Issues]. It is also available at: http://www.economicissues.org.uk/Files/2013/113Ahmad.pdf
Version: Published
URI: https://dspace.lboro.ac.uk/2134/14018
Publisher Link: http://www.economicissues.org.uk/index.html
ISSN: 1363-7029
Appears in Collections:Published Articles (Economics)

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