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Interest Rate Pass-Through in Ukraine: Estimates and Determinants

Author

Listed:
  • Nadiia Shapovalenko

    (National Bank of Ukraine)

  • Artem Vdovychenko

    (National Bank of Ukraine)

Abstract

In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We focus on the transmission of the overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations - both in national currency. Controlling for macroeconomic indicators and bank financial variables we obtain bank-level time-varying estimates of transmission and run a set of panel regressions to analyze the determinants of pass-through strength. Besides linear estimates, we report asymmetric transmissions, which differ depending on the decrease or increase in the interbank rate, and timevarying estimates for transmission.

Suggested Citation

  • Nadiia Shapovalenko & Artem Vdovychenko, 2023. "Interest Rate Pass-Through in Ukraine: Estimates and Determinants," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 255, pages 22-70.
    • Handle: RePEc:ukb:journl:y:2023:i:255:p:22-70
    DOI: 10.26531/vnbu2023.255.02
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    References listed on IDEAS

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    1. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    2. Sander, Harald & Kleimeier, Stefanie, 2004. "Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 461-492, April.
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    More about this item

    Keywords

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    JEL classification:

    • 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

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