Global Financial Crisis and Interest Rate Pass-Through: Australian Evidence
Posted: 10 May 2011
Date Written: May 8, 2011
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: Suggested Citation