Monetary policy announcements and market interest rates in pakistan: An event study approach

Habib Ur Rahman, Hasan M. Mohsin

Research output: Contribution to journalArticleResearchpeer-review

Abstract

The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities.

Original languageEnglish
Pages (from-to)821-838
Number of pages18
JournalPakistan Development Review
Volume50
Issue number4
Publication statusPublished - 2011
Externally publishedYes

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