Title: The impact of monetary policy expectations on interbank interest rates in Malaysia

Authors: Takayasu Ito

Addresses: School of Commerce, Meiji University, Chiyoda-ku, 101-8301 Tokyo, Japan

Abstract: This paper focuses on the monetary policy expectations and transmission role of the yield curve in Malaysia. Bank Negara Malaysia can control interbank interest rates in one- to nine-month maturities through the monetary policy expectations formed in the financial market because the overnight indexed swap (OIS) rate and interbank interest rates are in a one-to-one relationship in these maturities. On the other hand, the impact of monetary policy expectations on the interbank interest rate of one-year maturity is not a one-to-one but 1.390. This may be because certain noises, such as credit risks, are incorporated into the interbank interest rate of one-year maturity.

Keywords: interbank interest rate; Malaysia; monetary policy expectation.

DOI: 10.1504/IJFMD.2017.086742

International Journal of Financial Markets and Derivatives, 2017 Vol.6 No.1, pp.1 - 11

Received: 18 Mar 2016
Accepted: 04 Dec 2016
Published online: 24 Sep 2017 *

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