On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland

Anna Sznajderska

No 114, NBP Working Papers from Narodowy Bank Polski

Abstract: This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank rates is asymmetric in the long term as well as in the short term. We test for asymmetric cointegration using threshold autoregressive models and momentum-threshold autoregressive models. Next, if it is possible applying the threshold error correction models, we search for asymmetries associated with the direction of change in the money market rate, the level of the economic activity, the level of liquidity in the banking sector, the central bank’s credibility and the economic agents’ expectations. Finally, we test whether using the asymmetric models improves the quality of forecasts of retail bank interest rates.

Keywords: interest rate pass-through; asymmetries; threshold models; forecasting (search for similar items in EconPapers)
Pages: 44
Date: 2012
New Economics Papers: this item is included in nep-for, nep-mon and nep-tra
Note: Proceedings from the NBP seminar “Monetary policy transmission mechanism in Poland. What do we know in 2011?”, December 5th, 2011.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:114

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