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Interest Rate Pass-Through in Romania and Other Central European Economies

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  • Alexander F. Tieman

Abstract

Interest rate pass-through from policy interest rates to market rates and inflation has been hypothesized to play a lesser role in Romania than in other Central European transition economies. This paper tests this hypothesis and concludes that it cannot be supported by the data. Hence pass-through in Romania is concluded to be in line with that in comparable economies in the region. Moreover, the interest rate pass-through has become more pronounced over time.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/211.

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Length: 20
Date of creation: 01 Nov 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/211

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Related research

Keywords: Transition economies; Interest rates; Economic models; monetary policy; equation; inflation; equations; statistic; time series; cointegration; monetary fund; equilibrium equation; samples; central bank; correlation; national bank; monetary policy transmission mechanisms; monetary policy regime; least squares regression; monetary policy framework; monetary regime; statistical analysis; monetary system; reserve requirements; monetary policies; aggregate demand; statistical tests; forecasting; estimation result; survey; monetary authorities; autocorrelation; hypothesis testing; monetary transmission;

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References

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  1. de Bondt, Gabe, 2002. "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series 0136, European Central Bank.
  2. Agnes Belaisch, 2003. "Exchange Rate Pass-Through in Brazil," IMF Working Papers 03/141, International Monetary Fund.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Marc Zelmer & Andrea Schaechter & Mark R. Stone & Alina Carare, 2002. "Establishing Initial Conditions in Support of Inflation Targeting," IMF Working Papers 02/102, International Monetary Fund.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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