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Interest Rate Pass‐Through In The Common Monetary Area Of The Sacu Countries

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  • Harald Sander
  • Stefanie Kleimeier

Abstract

We investigate the interest rate pass‐through in the four Common Monetary Area (CMA) countries of the South African Customs Union (SACU). We employ an empirical pass‐through model that allows for thresholds, asymmetric adjustment, and structural changes. We show that CMA bank lending markets exhibit quite some degree of homogenization as the pass‐through is often fast and complete. Deposit markets are somewhat more heterogeneous by showing differing degrees of interest rate stickiness and asymmetric adjustment. Policy makers should therefore be concerned about imperfect competition which may be at the heart of the remaining cross‐country differences in monetary transmission in the CMA.

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  • Harald Sander & Stefanie Kleimeier, 2006. "Interest Rate Pass‐Through In The Common Monetary Area Of The Sacu Countries," South African Journal of Economics, Economic Society of South Africa, vol. 74(2), pages 215-229, June.
    • Handle: RePEc:bla:sajeco:v:74:y:2006:i:2:p:215-229
    DOI: 10.1111/j.1813-6982.2006.00073.x
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    3. Moid U. Ahmad, 2015. "Does CRR and Repo Change Affect Corporate Output?," Jindal Journal of Business Research, , vol. 4(1-2), pages 115-125, June.
    4. Pei-Fen Chen & Jhih-Hong Zeng & Chien-Chiang Lee, 2015. "Monetary Policy and the Diversification–Profitability Linkage in Banking: Evidences from Emerging Market Economies," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 576-597, December.
    5. Mr. Arto Kovanen, 2011. "Monetary Policy Transmission in Ghana: Does the Interest Rate Channel Work?," IMF Working Papers 2011/275, International Monetary Fund.
    6. Sznajderska, Anna, 2013. "On the empirical evidence of asymmetric effects in the Polish interest rate pass-through," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 78-93.
    7. Shobande Olatunji Abdul, 2018. "Monetary Policy Transmission Mechanism in Nigeria: Does Interest Spread Complicate Inflationary Targeting ?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 47-52, December.
    8. Florentina Paraschiv, 2013. "Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-19.
    9. Richard P.C. Brown & Fabrizio Carmignani, 2015. "Revisiting the Effects of Remittances on Bank Credit: A Macro Perspective," Scottish Journal of Political Economy, Scottish Economic Society, vol. 62(5), pages 454-485, November.
    10. Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2010. "Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 323-338, May.
    11. Rutayisire, Musoni J., 2017. "Modelling interest rate pass-through in Rwanda: is the interest rate dynamics symmetric or asymmetric ?," MPRA Paper 90178, University Library of Munich, Germany, revised 23 Sep 2018.
    12. Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," NBP Working Papers 114, Narodowy Bank Polski.
    13. Haughton, Andre Yone & Iglesias, Emma M., 2012. "Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia," Economic Modelling, Elsevier, vol. 29(6), pages 2071-2089.
    14. Moid U. AHMAD & Shamima NASRIN, 2017. "An analysis of the effect of monetary policy changes on macroeconomic factors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(611), S), pages 303-318, Summer.

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