Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

Abstract

This paper seeks evidence and explanatory factors of asymmetric relationship in interest rate pass-through in Vietnam. The results show that the capital and liquidity requirements of commercial banks are main causes of asymmetric interest rate pass-through in Vietnam. The research based on data from six commercial banks in Vietnam during the period 2009 - 2012 shows that (i) Loan rates from capital constrained banks are higher than those from unconstrained banks; (ii) Pass-through from monetary policy rate to loan rates is not clear in both constrained and unconstrained banks; and (iii) Loan rates from capital constrained banks are more sensitive to changes in aggregate demand.http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=a2f1f837-fbba-4fff-88e8-32aa0e3cd174