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

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  • Rustam Jamilov
  • Balázs Egert

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

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.

Suggested Citation

  • Rustam Jamilov & Balázs Egert, 2013. "Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box," Working Papers hal-04141210, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141210
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141210
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    References listed on IDEAS

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