Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box

Rustam Jamilov and Balázs Égert

Journal of Asian Economics, 2014, vol. 31-32, 57-70

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 a low degree of competition in the banking sector. 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 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)
Date: 2014
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Citations: View citations in EconPapers (4)

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Related works:
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)
Working Paper: Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:31-32:y:2014:i::p:57-70

DOI: 10.1016/j.asieco.2014.03.006

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