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On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland

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  • Anna Sznajderska

    (National Bank of Poland)

Abstract

This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank rates is asymmetric in the long term as well as in the short term. We test for asymmetric cointegration using threshold autoregressive models and momentum-threshold autoregressive models. Next, if it is possible applying the threshold error correction models, we search for asymmetries associated with the direction of change in the money market rate, the level of the economic activity, the level of liquidity in the banking sector, the central bank’s credibility and the economic agents’ expectations. Finally, we test whether using the asymmetric models improves the quality of forecasts of retail bank interest rates.

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Bibliographic Info

Paper provided by National Bank of Poland, Economic Institute in its series National Bank of Poland Working Papers with number 114.

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Length: 44
Date of creation: 2012
Date of revision:
Handle: RePEc:nbp:nbpmis:114

Note: Proceedings from the NBP seminar “Monetary policy transmission mechanism in Poland. What do we know in 2011?”, December 5th, 2011.
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Keywords: interest rate pass-through; asymmetries; threshold models; forecasting;

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References

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  1. Sander, Harald & Kleimeier, Stefanie, 2006. "Interest Rate Pass-Through In the Common Monetary Area of the SACU Countries," Research Memorandum 023, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  2. Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
  3. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  4. Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer, vol. 16(1), pages 5-26, September.
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Cited by:
  1. Anna Sznajderska, 2012. "On asymmetric effects in a monetary policy rule. The case of Poland," National Bank of Poland Working Papers 125, National Bank of Poland, Economic Institute.
  2. Tomasz Łyziak & Oksana Demchuk & Jan Przystupa & Anna Sznajderska & Ewa Wróbel, 2012. "Monetary policy transmission mechanism in Poland. What do we know in 2011?," National Bank of Poland Working Papers 116, National Bank of Poland, Economic Institute.

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