The pass-through of the policy rates to bank lending rate is an important subject matter
because it measures the effectiveness of monetary policy to control inflation or stabilize the
economy. This study investigates the long-run interest rate pass-through of the money
market rate to the bank lending rate and asymmetric adjustment of the bank lending rate.
The study applies the momentum threshold autoregressive and asymmetric error correction
models. The asymmetric error correction results reveal that bank lending rate adjusts to a …