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Asymmetric Interest Rate Pass-Through in Russia
[Асимметрия Процентного Канала Денежной Трансмиссии В России]

Author

Listed:
  • Egorov, Aleksei V. (Егоров, Алексей В.)

    (Russian University of Economics, Bank of Russia)

  • Borzykh, Olga A. (Борзых, Ольга А.)

    (Bank of Russia)

Abstract

In this paper, the interest rate channel of the monetary policy transmission mechanism in the Russian economy is examined using error correction models. Results suggest that there is a pronounced, statistically significant, and increasing as time passes impact of Bank of Russia interest rates on lending and deposit rates of Russian banks. This impact is heterogeneous and differently reveals itself in different segments of the bank operation market. The response of commercial banks’ interest rates to changes in Bank of Russia rates is characterized by a prominent asymmetry: interest rates on active bank operations quicker respond to an increase in monetary policy rates, while interest rates on passive bank operations quicker respond to a decrease of monetary policy rates. Heterogeneity and asymmetry of the response of commercial banks’ interest rates to the monetary policy in Russia in general correspond with the results of the monetary transmission mechanism analysis in some leading emerging and advanced countries. As far as the authors know, this paper is the first attempt where the asymmetry of the interest rate channel in Russia is studied. Our results may become one of the starting points for further analysis of the interest rate channel in the Russian economy. Moreover, they can be useful for the Bank of Russia since they explain the functioning of an interest rate channel in greater details. As a result, this new information will help the Bank of Russia conduct a more effective inflation targeting policy.

Suggested Citation

  • Egorov, Aleksei V. (Егоров, Алексей В.) & Borzykh, Olga A. (Борзых, Ольга А.), 2018. "Asymmetric Interest Rate Pass-Through in Russia
    [Асимметрия Процентного Канала Денежной Трансмиссии В России]
    ," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 92-121, February.
  • Handle: RePEc:rnp:ecopol:ep1804
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    asymmetry of monetary transmission mechanism; interest rate channel of monetary policy transmission mechanism; lending rates; deposit rates; Russian commercial banks; Bank of Russia policy.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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