Asymmetric interest rate pass-through in the US, the UK and Australia: New evidence from selected individual banks

Nicholas Apergis, Arusha Cooray

    Research output: Contribution to journalArticle

    Abstract

    This paper provides new evidence on asymmetric interest rate pass-through in the U.S., the U.K. and the Australian economies by using the Nonlinear Auto-Regressive Distributed Lag model, central bank interest rates, lending and deposit interest rates from selected banks, spanning the period 2000-2013. The results provide evidence that corroborates the asymmetric pass-through market predictions. Robustness tests are also performed by splitting the sample period into that prior to and after the recent financial crisis. The new findings document that the asymmetric character of pass-through remains active only in the case of Australia.
    Original languageEnglish
    Pages (from-to)155-172
    JournalJournal of Macroeconomics
    Volume45
    DOIs
    Publication statusPublished - 2015

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