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

Rustam Jamilov () and Balázs Égert

No wp1041, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

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.

Keywords: Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus (search for similar items in EconPapers)
JEL-codes: E43 E52 N25 (search for similar items in EconPapers)
Pages: pages
Date: 2013-02-01
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac, nep-mon and nep-tra
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Related works:
Journal Article: Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box (2014)
Working Paper: Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (2014)
Working Paper: Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (2013)
Working Paper: Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (2013)
Working Paper: Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (2013)
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