The asymmetry of the monetary policy interest rate channel: Industry-specific and regional perspectives

This paper examines the hypothesis of asymmetric responses of bank interest rates to restrictive and accommodative monetary policy conducted by the Bank of Russia across different market segments, industries, and macroregions over the period 2017—2025. Using a Markov-switching error-correction model, the study estimates the effects of monetary policy shocks, households’ inflation expectations, firms’ price expectations, and a business climate indicator on loan and deposit rates with maturities ranging from 30 days to three years and longer. The results provide strong evidence of pronounced asymmetry in the interest rate channel of monetary transmission, particularly for short-term rates: for maturities of up to one year in the corporate lending segment and up to 90 days in household lending. No statistically significant asymmetry is found in the household deposit market. Retail loan rates with maturities from one to three years generally respond more strongly and more rapidly to monetary tightening than to monetary easing. By contrast, corporate lending rates exhibit reverse asymmetry and are less sensitive to monetary tightening, especially in manufacturing and agriculture, as well as in construction in the case of small and medium-sized enterprises. At the macroregional level, the Siberian and Southern macroregions display the most pronounced asymmetry in credit markets. At the same time, the effectiveness of a uniform monetary policy is not undermined: bank interest rates respond significantly and with short lags (one to three months) to monetary policy measures across all considered dimensions. To enhance the performance of the interest rate transmission channel, the paper recommends placing greater policy focus on the identified segments, industries, and regions that give rise to heterogeneity and incomplete transmission.