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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

    ()

  • Balázs Égert

    ()

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 William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number wp1041.

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Length: pages
Date of creation: 02 Jan 2013
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Handle: RePEc:wdi:papers:2013-1041

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Keywords: Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus;

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