Research on Interbank market of Pakistan [PhD Mohammed Omer, 6 February]
Interbank market of Pakistan has experienced a structural shift in June 2008. Muhammad Omer shows that Uncovered Interest rate Parity (UIP) holds for the LIBOR currencies over short horizon. This finding is an important addition to the existing literature on UIP.
A detailed examination of persistent liquidity in the interbank market of Pakistan shows that the interbank market has experienced a structural shift in June 2008. Before June 2008, low credit demand was driving (involuntary) excess liquidity holdings by banks. After June 2008, banks’ precautionary investments in risk free securities drive their (voluntary) liquidity holdings.
On studying the impact of this excess liquidity on monetary transmission, the results suggest that excess liquidity significantly affect the pass-through of the policy tools to the lending rate. It has no long-run impact on the pass-through of the policy tools to deposit rate and (growth of) exchange rate.
Mohammed Omer will be awarded his PhD on 6 February 2014 (12.45h). Thesis supervisors are prof. J. de Haan and prof. L.J.R. Scholtens. Thesis title: Selected topics in international monetary economics.
| Last modified: | 31 January 2023 3.33 p.m. |
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