tailieunhanh - Empirical evidence of asymmetric interest rate pass through in Vietnam

This paper seeks evidence and explanatory factors of asymmetric relationship in interest rate pass-through in Vietnam. The results show that the capital and liquidity requirements of commercial banks are main causes of asymmetric interest rate pass-through in Vietnam. | Empirical Evidence of Asymmetric Interest Rate Pass-Through October 2013| 79 Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam NGUYỄN KHẮC QUỐC BẢO University of Economics HCMC Email: nguyenbao@ NGUYỄN HỮU HUY NHỰT University of Economics HCMC Email: nhut@ ARTICLE INFO ABSTRACT Article history: Received: May 18, 2013 Received in revised form July 17, 2013 Accepted: Sep. 25, 2013 This paper seeks evidence and explanatory factors of asymmetric relationship in interest rate pass-through in Vietnam. The results show that the capital and liquidity requirements of commercial banks are main causes of asymmetric interest rate pass-through in Vietnam. The research based on data from six commercial banks in Vietnam during the period 2009 – 2012 shows that (i) Loan rates from capital constrained banks are higher than those from unconstrained banks; (ii) Pass-through from monetary policy rate to loan rates is not clear in both constrained and unconstrained banks; and (iii) Loan rates from capital constrained banks are more sensitive to changes in aggregate demand. Keywords: interest rate pass-through, asymmetry, monetary policy 80 | Nguyễn Khắc Quốc Bảo | 79 - 93 1. INTRODUCTION Credit channel of monetary policy shows that the act of loosening monetary policy will enhance availability of bank credit through decreasing interest expense. However, it is apparent that during and after the financial crisis of 2007 – 2009, credit growth of commercial banks in Vietnam showed a downward trend while the monetary policy rate was stable at the level of 7%. This raises the question of whether or not the pass-through from interest rates set by monetary policy to loan rates in commercial banks is complete, because if it is complete, implementation of monetary policy through interest rate channel will be effective and vice versa. By observing the money market in Vietnam, we have approached a new method of researching asymmetric .

• Ngân hàng - Tín dụng
• Interest rate pass through
• Asymmetry relationship
• Monetary policy
• Asymmetric interest rate
• Discretion versus policy rules