Nadine KalweyMonetary Policy Transmission and Bank Interest Rate Pass- Through in Emerging Market Countries
Schriftenreihe volkswirtschaftliche Forschungsergebnisse, volume 148
Hamburg 2009, 240 pages
ISBN 978-3-8300-4659-2 (print) |ISBN 978-3-339-04659-8 (eBook)
About this book deutschenglish
The present study analyzes the process of monetary policy transmission in a wide range of emerging market and industrialized economies. On the basis of several empirical studies it is shown that the transmission process is different across countries regarding the transmission channels as well as the speed and degree with which monetary impulses are transmitted to the real sector. Quantifying these time lags of monetary policy is of particular importance to policymakers. Therefore this study focuses on the first stage of the monetary transmission process, and analyzes the reaction of bank interest rates to a change in monetary policy interest rates.
Existing empirical studies on the process of bank interest rate pass-through have mainly focused on major industrialized countries, thereby largely disregarded emerging market economies. However, with the latter becoming more relevant for the coordination of international monetary policy, quantifying the effects of monetary policy actions on the real economy in these countries is vitally important. Furthermore, the comparison between emerging market and industrialized countries gives valuable insights regarding the structural differences between these country groups.
Besides the speed and degree of the monetary process in the single countries, the factors influencing this process are explored. Including sixteen emerging market and six industrialized countries in the empirical analysis, a panel approach is applied to analyze the determinants of the pass-through process across countries and over time. Since the financial sector plays an important role for the transmission of monetary impulses the financial market structure is regarded as an important determinant. Besides, monetary policy stability as well as the macroeconomic environment are taken into account. By doing so, it is shown that size, competitiveness and efficiency of the financial sector have a significant impact on the bank interest rate pass-through process. Furthermore, the present study provides evidence for the fact that the crucial factors of the pass-through process are similar in the industrialized and the emerging countries.
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