Non-linearities In Interest Rate Pass Through: Evidence From Pakistan
Author: Farrukh Mahmood

This study examines the asymmetry of interest rate pass through between wholesale (KIBOR) and retail interest rates (deposit and lending rate), by using the asymmetric threshold cointegration proposed by Enders & Sikles (2001) and EC-EGARCH-M model proposed by Wong & Lee (2009) in case of Pakistan. In addition we also investigate volatility in interest rate. We find incomplete pass through among wholesale and retail interest rate. Threshold co-integration test result shows that then asymmetric co-integration relation exits in both the models i.e. deposit and lending interest rate model. There is upward adjustment in EC-EGARCH-M model and we found that there is downward rigidity in the adjustment parameters for the retail interest rate. Supervisor:- Dr. Wasim Shahid Malik

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Keywords : Interest Rate, Interest Rate-Pakistan, Non-linearity
Supervisor: Wasim Shahid Malik

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