Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks

Apergis, Nicholas and Cooray, Arusha (2015) Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks. Journal of Macroeconomics, 45. pp. 155-172. ISSN 0164-0704

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Abstract

This paper provides new evidence on asymmetric interest rate pass-through in the U.S., the U.K. and the Australian economies by using the Nonlinear Auto-Regressive Distributed Lag model, central bank interest rates, lending and deposit interest rates from selected banks, spanning the period 2000–2013. The results provide evidence that corroborates the asymmetric pass-through market predictions. Robustness tests are also performed by splitting the sample period into that prior to and after the recent financial crisis. The new findings document that the asymmetric character of pass-through remains active only in the case of Australia.

Item Type:	Article
Uncontrolled Keywords:	asymmetries, selected bank
Subjects:	L100 Economics N300 Finance
Department:	Faculties > Business and Law > Newcastle Business School
Depositing User:	Ay Okpokam
Date Deposited:	01 Sep 2015 13:47
Last Modified:	19 Nov 2019 09:04
URI:	http://nrl.northumbria.ac.uk/id/eprint/23660

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