Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?

Balázs Égert, Jesus Crespo-Cuaresma () and Thomas Reininger ()
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma

No wp851, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: In this study, we seek to better understand the interest rate pass-through in five Central and Eastern European countries – the Czech Republic, Hungary, Poland, Slovakia and Slovenia, the CEE-5. Our pass-through estimates for several retail rates are generally lower than those reported in the literature, given the absence of cointegration between policy rates and long- or even short-term market rates. In addition, the pass-through has been declining over time in the CEE-5, and we argue that it is likely to decrease further in the future. Finally, the pass-through appears similar in the CEE-5 than in Spain and is higher than in core euro area countries. Hence, euro adoption by the CEE-5 would not further increase heterogeneity within the euro area with regard to the interest rate passthrough. However, substantially more research is needed to establish commonalities and differences between the CEE-5 and the euro area with respect to the reaction of prices and output to monetary policy action.

Keywords: interest rate pass-through; monetary transmission mechanism; transition economies; Central and Eastern Europe; Austria; Germany; Spain. (search for similar items in EconPapers)
JEL-codes: C22 E43 E50 E52 G21 O52 (search for similar items in EconPapers)
Pages: pages
Date: 2006-11-01
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away? (2007)
Journal Article: Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away? (2006)
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