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Threshold cointegration and interest rate pass - through during the pre - and post - banking consolidation in Nigeria: are there asymmetries?


Citation

Aliyu, Alhaji Jibrilla and Ismail, Normaz Wana (2016) Threshold cointegration and interest rate pass - through during the pre - and post - banking consolidation in Nigeria: are there asymmetries? International Journal of Banking, Accounting and Finance, 7 (2). pp. 172-193. ISSN 1755-3830; ESSN: 1755-3849

Abstract

This paper empirically examines the interest rate pass-through in Nigeria using the cointegration and threshold adjustment suggested by Enders and Siklos. The focus is on the pass-through of the central bank policy rates to the commercial banks' lending rates during the pre- and post-bank consolidation in the country. The estimated results indicate that, changes in the policy rate are transmitted completely to loans rate in the long run during the pre-cosolidation but incomplete during the post-consolidation period. The results also show evidence for asymmetric momentum threshold autoregression models during the both the pre-and post-consolidation periods. However, while the estimated nonlinear error correction models exhibit downward rigidity in lending rates during the pre-consolidation, a contrary finding was obtained during the post-consolidation period, which indicates upward rigidity of loans rates. Finally, the study discusses the potential implication of these findings on the banking sector and offers direction for future policy.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1504/IJBAAF.2016.080479
Publisher: Inderscience Publishers
Keywords: Banking consolidation; Liberalisation; Central banks; Bank policy rates; Lending rates; Threshold autoregressive models; Nigeria; Interest rates; Banking industry
Depositing User: Ms. Nida Hidayati Ghazali
Date Deposited: 31 Oct 2017 03:56
Last Modified: 31 Oct 2017 03:56
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1504/IJBAAF.2016.080479
URI: http://psasir.upm.edu.my/id/eprint/53127
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