Interest Rate Pass-through in Mongolia

Kaliappa Kalirajan, Gan-Ochir Doojav

    Research output: Contribution to journalArticle

    Abstract

    This study empirically examines the interest rate pass-through of the money market interest rate to bank lending and bank deposit interest rates in Mongolia using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results from the empirical analysis using data from December 2002 to September 2015 suggest that interest rate pass-through is generally weaker, slower, and asymmetric in Mongolia. The new findings provide evidence that: (i) interest rate pass-through has improved over time; (ii) the bank deposit rate has a higher long-run interest rate pass-through and slower adjustment than the bank lending rate; and (iii) there is a negative long-run asymmetric pass-through with respect to the bank lending rate and a positive long-run asymmetric pass-through with respect to the bank deposit rate.
    Original languageEnglish
    Pages (from-to)271-291pp
    JournalDeveloping Economies
    Volume54
    Issue number4
    DOIs
    Publication statusPublished - 2016

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