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Global Financial Crisis and Interest Rate Pass-Through: Australian Evidence

Posted: 10 May 2011

See all articles by Milind Sathye

Milind Sathye

University of Canberra - School of Accounting, Banking and Finance; University of Canberra - School of Business and Government

Date Written: May 8, 2011

Abstract

The study contributes to the extant literature on interest rate pass- through in two ways. First, we examine the impact of the global financial crisis on the historical relationship between policy rate and the home lending rate. Second, we provide evidence from a hitherto unexplored OECD country (Australia) using data from recent years and provide new insights for advancing the pass- through literature. Complete or near complete pass- through in the money market rates and a statistically significant temporary change in the relationship between the policy rate and home lending rate since the onset of financial crisis was found.

Keywords: pass-through, Australia, GFC

JEL Classification: E52, E43

Suggested Citation

Sathye, Milind, Global Financial Crisis and Interest Rate Pass-Through: Australian Evidence (May 8, 2011). Available at SSRN: https://ssrn.com/abstract=1835542

Milind Sathye (Contact Author)

University of Canberra - School of Accounting, Banking and Finance ( email )

Canberra, Australian Capital Territory 2601
Australia

University of Canberra - School of Business and Government

Canberra, ACT 2601
Australia

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