Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?
AbstractIn this study, we seek to better understand the interest rate pass-through in fi ve Central and Eastern European countries – the Czech Republic, Hungary, Poland, Slovakia and Slovenia, the CEE-5 – and compare it with the pass-through in selected euro area countries – Austria, Germany and Spain. We fi nd that the pass-through is not operational for long-term market rates because of the unstable yield curve. We fi nd evidence that the pass-through from policy rates even transits through short-term market rates to long-term retail rates. Although nearly complete pass-through is detected for corporate lending rates in a majority of the CEE-5, pass-through estimates for several retail rates are generally lower than those reported in the literature, given the absence of cointegration between policy rates and long- or even short-term market rates. Although the pass-through is usually higher in the CEE-5 than in Austria and Germany, it has been declining over time in particular in Hungary and (with respect to lending rates) in Poland. The adoption of the euro seems to have slightly increased the pass-through in Spain and Austria but not in Germany.
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Bibliographic InfoArticle provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Focus on European Economic Integration.
Volume (Year): (2006)
Issue (Month): 1 ()
Pages: 88 - 111
Postal: Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria
Other versions of this item:
- Egert, Balazs & Crespo-Cuaresma, Jesus & Reininger, Thomas, 2007. "Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away?," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 209-225.
- Balázs Égert & Jesus Crespo-Cuaresma & Thomas Reininger, 2006. "Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?," William Davidson Institute Working Papers Series wp851, William Davidson Institute at the University of Michigan.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- O52 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Europe
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