|
|
Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China |
Jingya Li1, Ming-Hua Liu2() |
1. Faculty of Business Administration, University of Macau, Macau, China 2. Faculty of Business Administration, University of Macau, Macau, China |
|
|
Abstract We examine whether the effectiveness of the monetary policy rate transmission differs before and after interest rate liberalization in China using the autoregressive distributed lag (ARDL) bound test and an error correction model (ECM). The results show that after liberalization the mark-up is lower, and both the long-run and shortrun interest rate pass-through has become faster and more complete. We attribute our findings to the ongoing reforms of China’s banking system, which has improved the competitiveness of Chinese commercial banks.
|
Keywords
Interest rate pass-through
Interest rate liberalization
China
Autoregressive distributed lag (ARDL) bound test
Error correction model (ECM)
|
Issue Date: 15 July 2019
|
|
|
Viewed |
|
|
|
Full text
|
|
|
|
|
Abstract
|
|
|
|
|
Cited |
|
|
|
|
|
Shared |
|
|
|
|
|
Discussed |
|
|
|
|