Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach.

Habib-ur-Rahman Habib-ur-Rahman, Hasan M. Mohsin

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. Keywords: Monetary Policy, Market Interest
Rates, Normal Rates, Abnormal Rates, GARCH, ARIMA

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DOI: https://doi.org/10.30541/v50i4IIpp.821-839

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