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Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

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  • Balázs Égert

    () (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Rustam Jamilov

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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  • Balázs Égert & Rustam Jamilov, 2014. "Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box," Post-Print hal-01385933, HAL.
    • Handle: RePEc:hal:journl:hal-01385933
    Note: View the original document on HAL open archive server: https://hal-univ-paris10.archives-ouvertes.fr/hal-01385933
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    Cited by:

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    2. Perevyshin, Yuri (Перевышин, Юрий) & Perevyshina, Elena (Перевышина, Елена), 2015. "The effect of the transfer of interest rates in Russia in 2010-2014 [Эффект Переноса Процентных Ставок В России В 2010—2014 Годах]," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 5, pages 38-52.

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    More about this item

    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
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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