The impact of monetary policy on bank lending rate in South Africa

Citation

Tunde, Matemilola Bolaji and Amin Noordin, Bany Ariffin and Etudaiye-Muhtar, Oyebola Fatima (2015) The impact of monetary policy on bank lending rate in South Africa. Borsa Istanbul Review, 15 (1). pp. 53-59. ISSN 2214-8450; ESSN: 2214-8469

Abstract

The pass-through of the policy rates to bank lending rate is an important subject matter because it measures the effectiveness of monetary policy to control inflation or stabilize the economy. This study investigates the long-run interest rate pass-through of the money market rate to the bank lending rate and asymmetric adjustment of the bank lending rate. The study applies the momentum threshold autoregressive and asymmetric error correction models. The asymmetric error correction results reveal that bank lending rate adjusts to a decrease in the money market rate in South Africa. The findings suggest that the South African commercial banks adjust their lending rate downward but the lending rate appears rigid upward, which supports the customer reaction hypothesis.

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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Economics and Management
DOI Number:	https://doi.org/10.1016/j.bir.2014.09.003
Publisher:	Borsa Istanbul Anonim Sirketi
Keywords:	Monetary policy; Interest rate pass-through; Asymmetric co-integration
Depositing User:	Ms. Nida Hidayati Ghazali
Date Deposited:	23 Apr 2018 08:48
Last Modified:	18 Oct 2019 00:54
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1016/j.bir.2014.09.003
URI:	http://psasir.upm.edu.my/id/eprint/46614
Statistic Details:	View Download Statistic

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