TY  - JOUR
AB  - Purpose The paper investigates the interest rate policy transmission mechanism and the role of market structure of the banking industry in Qatar.Design/methodology/approach Competitiveness indexes are used to measure the degree of market power in the banking industry in Qatar. The momentum threshold autoregressive model is applied over the monthly period from January 2005 to June 2018 to examine the magnitude of intermediation and adjustment to disequilibria in the deposit market. In addition, to model interest rate volatility and overcome the problem of heteroscedastic errors in the error correction standard models, an asymmetric EC-EGARCH-M model is applied.Findings The findings suggest incomplete pass-through and asymmetric response to monetary shocks. The asymmetric adjustment mechanism is found to be downward rigid which suggests a high degree of customer sophistication and an elastic supply of deposits. The results of the EC-EGARCH-M show that the impact of monetary policy shocks has a significant positive impact on deposit interest rates and that negative monetary shocks trigger more conditional interest rate volatility in the next period than positive monetary shocks for a short maturity rate.Originality/value The paper is the first to highlight the behaviour of the interest rate pass through channel and measures the degree of competitiveness of the banking industry for the case of a small, rich country. In addition, using recent data, the paper applies different econometric methodologies and overcomes the problem of heteroskedastic errors by modelling the interest rate volatility using the EC-EGARCH-M model.
VL  - 47
IS  - 5
SN  - 0144-3585
DO  - 10.1108/JES-08-2019-0371
UR  - https://doi.org/10.1108/JES-08-2019-0371
AU  - Abu Asab Noura
PY  - 2020
Y1  - 2020/01/01
TI  - Evidence of customer sophistication behaviour in deposit markets: the case of Qatar
T2  - Journal of Economic Studies
PB  - Emerald Publishing Limited
SP  - 1181
EP  - 1196
Y2  - 2024/04/24
ER  -