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Impulse response of Cholesky decomposition to a one standard deviation Central Bank Rate shock in the East African Community
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Context 1
... include PVAR impulse responses, variance decomposition and VAR Granger causality, as elucidated below. In Figure 4, the following dynamic interactions were observed with one standard positive shock in the central bank rate: A one standard deviation positive shock in the central bank rate leads to an increase in commercial bank Lending interest rates. This is observed from the fourth month onwards. ...
Context 2
... In Figure 14, a one standard deviation positive shock in consumer prices index pushes up central bank rate but pushes down lending rates. A one standard deviation positive shock in consumer price index pushes down bank loans in the second period but they resurge in the third period until it becomes insignificant in the sixth period. ...
Context 3
... observed that commercial bank foreign assets and bank loans diminished with the effect of the US Fed funds rate hike, but the central bank rates surged in tandem. 4). Therefore, the implication is that monetary policy granger causes Lending interest rates, US fed funds rates, net foreign assets, Consumer price index, commercial bank foreign assets and bank loans. ...
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