TY - JOUR
T1 - Monetary policy announcements and market interest rates in pakistan
T2 - An event study approach
AU - Rahman, Habib Ur
AU - Mohsin, Hasan M.
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84891320575&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:84891320575
SN - 0030-9729
VL - 50
SP - 821
EP - 838
JO - Pakistan Development Review
JF - Pakistan Development Review
IS - 4
ER -