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Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland

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  • Jesús Crespo-Cuaresma

    ()

  • Balázs Égert

    ()

  • Thomas Reininger

    ()

Abstract

The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are found across market interest rates and countries concerning long-run elasticities of market interest rates to changes in the key policy rate. While the null hypothesis of complete pass-through cannot be rejected for any interest rate in Poland, deviations from complete pass-through are present for several interest rates in the Czech Republic and Hungary. Except for the case of the short-term loan rate for enterprises in Hungary, no significant deviation from symmetry in the speed of adjustment to equilibrium is found in the data.

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Bibliographic Info

Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number 2004-671.

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Length: 26 pages
Date of creation: 01 May 2004
Date of revision:
Handle: RePEc:wdi:papers:2004-671

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Keywords: Interest Rates; Pass-Through; Monetary Transmission Mechanism; ARDL Models; Transition; Accession; Acceding Countries;

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References

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Citations

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Cited by:
  1. 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, William Davidson Institute at the University of Michigan wp851, William Davidson Institute at the University of Michigan.
  2. Lucjan T. Orlowski, 2005. "Targeting Relative Inflation Forecast as Monetary Policy Framework for Adopting the Euro," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp754, William Davidson Institute at the University of Michigan.
  3. Roseline N. Misati & Esman M. Nyamongo & Anne W. Kamau, 2011. "Interest rate pass-through in Kenya," International Journal of Development Issues, Emerald Group Publishing, Emerald Group Publishing, vol. 10(2), pages 170-182, July.
  4. Rocio Betancourt & Hernando Vargas & Norberto Rodríguez, . "Interest Rate Pass-Through In Colombia: A Micro-Banking Perspective," Borradores de Economia 407, Banco de la Republica de Colombia.
  5. Hurlin, Christophe & Kierzenkowski, Rafal, 2007. "Credit market disequilibrium in Poland: Can we find what we expect?: Non-stationarity and the short-side rule," Economic Systems, Elsevier, Elsevier, vol. 31(2), pages 157-183, June.
  6. Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2006/5, Magyar Nemzeti Bank (the central bank of Hungary).
  7. Coricelli, Fabrizio & Égert, Balázs & MacDonald, Ronald, 2006. "Monetary transmission mechanism in Central and Eastern Europe: Gliding on a wind of change," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 8/2006, Bank of Finland, Institute for Economies in Transition.
  8. Sander, Harald & Kleimeier, Stefanie, 2006. "Convergence of interest rate pass-through in a wider euro zone?," Economic Systems, Elsevier, Elsevier, vol. 30(4), pages 405-423, December.
  9. Roman Horvath & Anca Maria Podpiera, 2009. "Heterogeneity in Bank Pricing Policies: The Czech Evidence," Working Papers, Czech National Bank, Research Department 2009/8, Czech National Bank, Research Department.
  10. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp850, William Davidson Institute at the University of Michigan.
  11. Jamilov, Rustam, 2012. "Channels of Monetary Transmission in the CIS," MPRA Paper 39568, University Library of Munich, Germany.

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