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The Empirical Study of Interest Rate Pass-Through in Cambodia: An Error Correction Model

Author

Listed:
  • Kosal Song

    (CamEd - CamEd Business School)

  • Siphat Lim

    (CamEd - CamEd Business School)

Abstract

ABSTRACT The error correction model was used to explore the influence of domestic and international interest rates, proxied by the 6-Month and 1-Year SIBOR, on the borrowing interest rate of bank. The primary goal of this study was to determine the pass through from the predicted borrowing rate to the lending rate. The empirical findings of this study confirmed the existence of a long-run relationship between the borrowing rate and its explanatory variables, as evidenced by the two-step co-integration test. Domestic and foreign interest rates have a substantial long-run influence on the borrowing rate. Short-term borrowing rate changes were also impacted by changes in market interest rates and SIBOR rates. The predicted borrowing rate from co-integration equation had a positive significant impact on the lending rate claimed that there had a pass through from foreign to domestic lending rate. Keywords: ECM, Interest rate pass through, Borrowing rate, Market Rate, SIBOR.

Suggested Citation

  • Kosal Song & Siphat Lim, 2023. "The Empirical Study of Interest Rate Pass-Through in Cambodia: An Error Correction Model," Post-Print hal-04544229, HAL.
    • Handle: RePEc:hal:journl:hal-04544229
    DOI: 10.62458/jafess.160224.8(2)51-60
    as

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