A threshold cointegration analysis of interest rate pass-through to UK mortgage rates

An Empirical Analysis of Exchange Rate Pass-Through to Iran's Saffron Export Price

Exchange rate pass-through to the price of traded goods is one of the important issues in economy of developing countries such as Iran and affects the efficiency of the exchange rate policies to improve the trade balance. The main aim of this paper is to empirically analyze exchange rate pass-through to Iran's saffron export price using panel data for twenty destination markets during 2000–2011...

Interest Rate Pass-Through and Monetary Transmission: Evidence from Individual Financial Institutions’ Retail Rates

Official interest rate changes should influence short rates on money market instruments and retail products, such as deposit accounts and mortgages, but complete pass-through is often taken for granted. This paper provides a theoretical and econometric framework for assessing the evidence for this assumption using seventeen years of monthly data for rates on thirteen deposit and mortgage produc...

The Impact of Exchange Rate Pass-Through via Domestic Prices on Inflation in Iran: New Evidence from a Threshold Regression

There are various causes for inflation in macroeconomics. One of the important channels of experiencing inflation is through the international economy caused by external shocks. In this context, the impact of exchange rate volatilities on domestic prices known as Exchange Rate Pass-Through (ERPT) plays a vital role. The present paper deals with the impact of Exchange Rate Pass-Through on inflat...

Credit Spreads and Interest Rates: A Cointegration Approach

Warga, and the seminar participants at Indiana University and the Federal Reserve Bank of Kansas City. We also thank Klara Parrish for research assistance. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Kansas City or the Federal Reserve System. Abstract This paper uses cointegration to model the time-series of ...

Understanding Interest Rate Volatility through Flexible Threshold Models