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

Author

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  • Balázs Égert

    (EconomiX - 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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Suggested Citation

  • 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
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    Cited by:

    1. Akyurek, Cem & Kutan, Ali M. & Yilmazkuday, Hakan, 2011. "Can inflation targeting regimes be effective in developing countries? The Turkish experience," Journal of Asian Economics, Elsevier, vol. 22(5), pages 343-355, October.
    2. repec:rnp:ecopol:ep1557 is not listed on IDEAS
    3. Chileshe, Patrick Mumbi & Akanbi, Olusegun Ayodele, 2016. "Asymmetry of the Interest Rate Pass-through in Zambia," MPRA Paper 82673, University Library of Munich, Germany.
    4. Henry Penikas, 2023. "Smoothing the Key Rate Pass-Through: What to Keep in Mind When Interpreting Econometric Estimates," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 3-34, September.
    5. Bat Batjargal, 2013. "Institutional Polycentrism, Entrepreneurs??? Social Networks, And New Venture Growth," William Davidson Institute Working Papers Series wp1060, William Davidson Institute at the University of Michigan.

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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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