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Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland

  • Jesús Crespo-Cuaresma


  • Balázs Égert


  • Thomas Reininger


The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are found across market interest rates and countries concerning long-run elasticities of market interest rates to changes in the key policy rate. While the null hypothesis of complete pass-through cannot be rejected for any interest rate in Poland, deviations from complete pass-through are present for several interest rates in the Czech Republic and Hungary. Except for the case of the short-term loan rate for enterprises in Hungary, no significant deviation from symmetry in the speed of adjustment to equilibrium is found in the data.

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Paper provided by William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number 2004-671.

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Length: 26 pages
Date of creation: 01 May 2004
Date of revision:
Handle: RePEc:wdi:papers:2004-671
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