Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303980 
Year of Publication: 
2023
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 1 [Article No.:] 2178124 [Year:] 2023 [Pages:] 1-12
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper investigates the consistency of asymmetric interest rate past-trough (IRPT) using a nonlinear autoregressive distributed lag framework. Superior to the previous studies, this study exploits the historical profile of Indonesia to enrich the analysis. Asian Financial Crisis (AFC) which crashed the country in 1998 and several monetary policy changes implemented by the government offer different perspectives to grasp IRPT. The results of this study indicate that there is a consistent upward rigidity in the long-run pass-through in Indonesia. Particularly during the AFC, it is well proven that the asymmetric behavior is fickle whether disappear or bounce back to the downward rigidity. This finding demonstrates the importance of a rolling-window approach in understanding IRPT.
Subjects: 
asymmetries
Interest rate pass-through
rolling window estimation
structural break
JEL: 
C22
E43
E52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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