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The impact of monetary policy expectations on interbank interest rates in Malaysia

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  • Takayasu Ito

Abstract

This paper focuses on the monetary policy expectations and transmission role of the yield curve in Malaysia. Bank Negara Malaysia can control interbank interest rates in one- to nine-month maturities through the monetary policy expectations formed in the financial market because the overnight indexed swap (OIS) rate and interbank interest rates are in a one-to-one relationship in these maturities. On the other hand, the impact of monetary policy expectations on the interbank interest rate of one-year maturity is not a one-to-one but 1.390. This may be because certain noises, such as credit risks, are incorporated into the interbank interest rate of one-year maturity.

Suggested Citation

  • Takayasu Ito, 2017. "The impact of monetary policy expectations on interbank interest rates in Malaysia," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 6(1), pages 1-11.
    • Handle: RePEc:ids:ijfmkd:v:6:y:2017:i:1:p:1-11
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    Cited by:

    1. Takayasu Ito, 2017. "Do monetary policy expectations influence transmission mechanism of Danish interbank market under the negative interest rate policy?," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(3), pages 223-234.

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