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Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

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  • Rustam Jamilov
  • Balazs Egert

Abstract

This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and low banking sector competition. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the size and speed of the pass-through.

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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4131.

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Date of creation: 2013
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Handle: RePEc:ces:ceswps:_4131

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Keywords: interest rate pass-through; asymmetric adjustment; Caucasus;

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  12. Chmielewski, Tomasz, 2003. "Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances," MPRA Paper 5133, University Library of Munich, Germany, revised 31 Jan 2004.
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