Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market

Buthina M. A. Muhtaseb

doi:doi:10.11648/j.ijber.20170601.11

| Peer-Reviewed

Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market

Buthina M. A. Muhtaseb

Published in International Journal of Business and Economics Research (Volume 6, Issue 1)

Received: 31 December 2016 Accepted: 12 January 2017 Published: 6 February 2017

Views: Downloads:

Download PDF

Share This Article

Twitter
Linked In
Facebook

Abstract

We examine the symmetric and asymmetric interest rate pass-through under the fixed exchange rate system in Lebanon using monthly data from 1998:01 to 2016:06. Employing the Johansen cointegration approach, it is found that the pass-through in Lebanon is overshooting, which could be attributed to information asymmetries in the market. Furthermore, the asymmetric behavior of the commercial banks has been investigated by applying the methodology developed by Enders and Chumrusphonlert (2004). The results show that the interest rate on loans responds differently to monetary policy shocks.

Published in	International Journal of Business and Economics Research (Volume 6, Issue 1)
DOI	10.11648/j.ijber.20170601.11
Page(s)	1-6
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2017. Published by Science Publishing Group

Keywords

Interest Rate, Pass-Through, Information Asymmetry, Lebanon

References

[1]	Al-Mashat, R. A., 2008. Monetary policy in Egypt: A retrospective and preparedness for inflation targeting. Egyptian Center for Economic Studies.
[2]	Amarasekara, C. (2005). Interest rate pass-through in Sri Lanka. Staff Studies 35 (1/2), 1{32}.
[3]	Association Banks of Lebanon, 2013, The Lebanese banking sector: Pillar of Lebanon's stability.
[4]	Awdeh, A. (2016). The impact of variable interactions on lebanese banks fragility. International Journal of Economics and Finance 8 (8), 111.
[5]	Berger, A. N. and T. H. Hannan (1989). The price-concentration relationship in banking. The Review of Economics and Statistics, 291{299.
[6]	Bogoev, J. and G. Petrevski (2012). Interest rate pass-through in a small open economy with a fixed exchange rate-the case of macedonia. Procedia-Social and Behavioral Sciences 44, 125{133.
[7]	Borio, C. E. and W. Fritz (1995). The response of short-term bank lending rates to policy rates: a cross-country perspective.
[8]	Cobham, D. (2010). Monetary policy strategies, financial institutions and financial markets in the middle east and north Africa: an overview.
[9]	Cottarelli, C. and A. Kourelis (1994). Financial structure, bank lending rates, and the transmission mechanism of monetary policy. Sta_ Papers 41 (4), 587{623}.
[10]	Daccache, R. and C. Nawar. Pass-through of interest rate shocks to Lebanese deposit rates.
[11]	De Bondt, G. (2002). Retail bank interest rate pass-through: New evidence at the euro area level.
[12]	De Bondt, G. J. (2005). Interest rate pass-through: Empirical results for the euro area. German Economic Review 6 (1), 37{78}.
[13]	Dickey, D. A. and W. A. Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association 74 (366a), 427{431}.
[14]	Doojav, G.-O. and K. Kalirajan (2016). Interest rate pass-through in Mongolia. The Developing Economies 54 (4), 271{291.
[15]	Enders, W. and K. Chumrusphonlert (2004). Threshold cointegration and purchasing power parity in the paci_c nations. Applied Economics 36 (9), 889{896}.
[16]	Espinoza, R. A. and A. Prasad (2012). Monetary policy transmission in the GCC countries.
[17]	Hannan, T. H. and A. N. Berger (1991). The rigidity of prices: Evidence from the banking industry. The American Economic Review, 938{945}.
[18]	Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica: Journal of the Econometric Society, 1551{1580}.
[19]	Karagiannis, S., Y. Panagopoulos, and P. Vlamis (2011). Symmetric or asymmetric interest rate adjustments? evidence from greece, bulgaria and slovenia. 15 (3), 370{385}.
[20]	Kwapil, C. and J. Scharler (2010). Interest rate pass-through, monetary policy rules and macroeconomic stability. Journal of International Money and Finance 29 (2), 236{251}.
[21]	Medina Cas, S. C., A. Carri_on-Men_endez, and F. Frantischek (2011). The policy interest-rate pass-through in central america. IMF Working Papers, 1{21}.
[22]	Mishkin, F. S. (2007). The economics of money, banking, and financial markets. Pearson education.
[23]	Mojon, B. (2000). Financial structure and the interest rate channel of ECB monetary policy.
[24]	Neumark, D. and S. A. Sharpe (1992). Market structure and the nature of price rigidity: evidence from the market for consumer deposits. The Quarterly Journal of Economics, 657{680}.
[25]	Association of Lebanon, A. B. (2013). The Lebanese banking sector: Pillar of Lebanon’s stability.
[26]	Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics 1. Oxford bulletin of economics and statistics 54 (3), 461{472}.
[27]	Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 1361{1401}.
[28]	Poddar, M. T., M. M. Goswami, M. J. Sole, and V. E. Icaza (2006). Interest rate determination in Lebanon. Number 6-94. International Monetary Fund.
[29]	Saborowski, C. and M. S. Weber (2013). Assessing the determinants of interest rate transmission through conditional impulse response functions. Number 13-23. International Monetary Fund.
[30]	Sander, H. and S. Kleimeier (2004). Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration. Journal of International Money and Finance 23 (3), 461{492}.
[31]	Tai, P. N., S. K. Sek, and W. M. Har (2012). Interest rate pass-through and monetary transmission in asia. International Journal of Economics and Finance 4 (2), 163.
[32]	Toolsema, L. A., J.-E. Sturm, J. De Haan, et al. (2001). Convergence of monetary transmission in emu new evidence. Technical report, CESifo Group Munich.
[33]	Wang, K.-M. and Y.-M. Lee (2009). Market volatility and retail interest rate pass-through. Economic Modelling 26 (6), 1270{1282}.
[34]	Weth, M. A. (2002). The pass-through from market interest rates to bank lending rates in germany. Deutsche Bundesbank, Economic Research Centre Discussion Paper (11/02).

Cite This Article

Plain Text BibTeX RIS

APA Style

Buthina M. A. Muhtaseb. (2017). Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. International Journal of Business and Economics Research, 6(1), 1-6. https://doi.org/10.11648/j.ijber.20170601.11

Copy | Download

ACS Style

Buthina M. A. Muhtaseb. Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. Int. J. Bus. Econ. Res. 2017, 6(1), 1-6. doi: 10.11648/j.ijber.20170601.11

Copy | Download

AMA Style

Buthina M. A. Muhtaseb. Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. Int J Bus Econ Res. 2017;6(1):1-6. doi: 10.11648/j.ijber.20170601.11

Copy | Download

@article{10.11648/j.ijber.20170601.11,
  author = {Buthina M. A. Muhtaseb},
  title = {Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market},
  journal = {International Journal of Business and Economics Research},
  volume = {6},
  number = {1},
  pages = {1-6},
  doi = {10.11648/j.ijber.20170601.11},
  url = {https://doi.org/10.11648/j.ijber.20170601.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20170601.11},
  abstract = {We examine the symmetric and asymmetric interest rate pass-through under the fixed exchange rate system in Lebanon using monthly data from 1998:01 to 2016:06. Employing the Johansen cointegration approach, it is found that the pass-through in Lebanon is overshooting, which could be attributed to information asymmetries in the market. Furthermore, the asymmetric behavior of the commercial banks has been investigated by applying the methodology developed by Enders and Chumrusphonlert (2004). The results show that the interest rate on loans responds differently to monetary policy shocks.},
 year = {2017}
}

Copy | Download

TY  - JOUR
T1  - Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market
AU  - Buthina M. A. Muhtaseb
Y1  - 2017/02/06
PY  - 2017
N1  - https://doi.org/10.11648/j.ijber.20170601.11
DO  - 10.11648/j.ijber.20170601.11
T2  - International Journal of Business and Economics Research
JF  - International Journal of Business and Economics Research
JO  - International Journal of Business and Economics Research
SP  - 1
EP  - 6
PB  - Science Publishing Group
SN  - 2328-756X
UR  - https://doi.org/10.11648/j.ijber.20170601.11
AB  - We examine the symmetric and asymmetric interest rate pass-through under the fixed exchange rate system in Lebanon using monthly data from 1998:01 to 2016:06. Employing the Johansen cointegration approach, it is found that the pass-through in Lebanon is overshooting, which could be attributed to information asymmetries in the market. Furthermore, the asymmetric behavior of the commercial banks has been investigated by applying the methodology developed by Enders and Chumrusphonlert (2004). The results show that the interest rate on loans responds differently to monetary policy shocks.
VL  - 6
IS  - 1
ER  -

Copy | Download

Author Information

Buthina M. A. Muhtaseb

Department of Economics, Business School, University of Jordan, Amman, Jordan

Download PDF

Sections

Plain Text BibTeX RIS

APA Style

Buthina M. A. Muhtaseb. (2017). Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. International Journal of Business and Economics Research, 6(1), 1-6. https://doi.org/10.11648/j.ijber.20170601.11

Copy | Download

ACS Style

Buthina M. A. Muhtaseb. Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. Int. J. Bus. Econ. Res. 2017, 6(1), 1-6. doi: 10.11648/j.ijber.20170601.11

Copy | Download

AMA Style

Buthina M. A. Muhtaseb. Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market. Int J Bus Econ Res. 2017;6(1):1-6. doi: 10.11648/j.ijber.20170601.11

Copy | Download

@article{10.11648/j.ijber.20170601.11,
  author = {Buthina M. A. Muhtaseb},
  title = {Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market},
  journal = {International Journal of Business and Economics Research},
  volume = {6},
  number = {1},
  pages = {1-6},
  doi = {10.11648/j.ijber.20170601.11},
  url = {https://doi.org/10.11648/j.ijber.20170601.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijber.20170601.11},
  abstract = {We examine the symmetric and asymmetric interest rate pass-through under the fixed exchange rate system in Lebanon using monthly data from 1998:01 to 2016:06. Employing the Johansen cointegration approach, it is found that the pass-through in Lebanon is overshooting, which could be attributed to information asymmetries in the market. Furthermore, the asymmetric behavior of the commercial banks has been investigated by applying the methodology developed by Enders and Chumrusphonlert (2004). The results show that the interest rate on loans responds differently to monetary policy shocks.},
 year = {2017}
}

Copy | Download

TY  - JOUR
T1  - Interest Rate Pass-Through and Monetary Transmission in Lebanon Loan Market
AU  - Buthina M. A. Muhtaseb
Y1  - 2017/02/06
PY  - 2017
N1  - https://doi.org/10.11648/j.ijber.20170601.11
DO  - 10.11648/j.ijber.20170601.11
T2  - International Journal of Business and Economics Research
JF  - International Journal of Business and Economics Research
JO  - International Journal of Business and Economics Research
SP  - 1
EP  - 6
PB  - Science Publishing Group
SN  - 2328-756X
UR  - https://doi.org/10.11648/j.ijber.20170601.11
AB  - We examine the symmetric and asymmetric interest rate pass-through under the fixed exchange rate system in Lebanon using monthly data from 1998:01 to 2016:06. Employing the Johansen cointegration approach, it is found that the pass-through in Lebanon is overshooting, which could be attributed to information asymmetries in the market. Furthermore, the asymmetric behavior of the commercial banks has been investigated by applying the methodology developed by Enders and Chumrusphonlert (2004). The results show that the interest rate on loans responds differently to monetary policy shocks.
VL  - 6
IS  - 1
ER  -

Copy | Download