- Title
- South African money market volatility, asymmetry and retail interest pass-through
- Creator
- Fadiran, Gideon Oluwatobi
- ThesisAdvisor
- Ezeoha, Abel
- Subject
- Money market -- South Africa Interest rates -- South Africa Monetary policy -- South Africa Econometric models Banks and banking -- South Africa
- Date
- 2011
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- vital:993
- Identifier
- http://hdl.handle.net/10962/d1002728
- Description
- The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM-EGARCH (1, 1), negative volatility impact and leverage effect are present and influential only in the deposit interest rate adjustment process in South Africa.
- Format
- 79 leaves, pdf
- Publisher
- Rhodes University, Faculty of Commerce, Economics
- Language
- English
- Rights
- Fadiran, Gideon Oluwatobi
- Hits: 2438
- Visitors: 2562
- Downloads: 201
Collections
RU Department of Economics and Economic History
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details | SOURCEPDF | 685 KB | Adobe Acrobat PDF | View Details |