Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box
dc.contributor.author | Jamilov, Rustam | |
dc.contributor.author | Egert, Balazs | |
dc.date.accessioned | 2016-08-30T19:50:12Z | |
dc.date.available | 2016-08-30T19:50:12Z | |
dc.date.issued | 2013-02-01 | |
dc.identifier.other | RePEc:wdi:papers:2013-1041 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/133059 | |
dc.description.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. | |
dc.relation.ispartofseries | wp1041 | |
dc.subject | Interest Rate Pass-Through | |
dc.subject | Asymmetric Adjustment | |
dc.subject | Caucasus | |
dc.subject.other | E43 | |
dc.subject.other | E52 | |
dc.subject.other | N25 | |
dc.title | Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box | |
dc.type | Working Paper | |
dc.subject.hlbsecondlevel | Economics | |
dc.subject.hlbtoplevel | Business | |
dc.contributor.affiliationum | William Davidson Institute | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/133059/1/wp1041.pdf | |
dc.contributor.authoremail | rustam_jamilov@cbar.az | |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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