Wartime Interest Rate Pass-Through in Ukraine: The Role of Prudential Indicators

Anton Grui
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Anton Grui: Charles University, National Bank of Ukraine

No 2024/33, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: In this paper, I study Ukraine´s heterogeneous and time-variant pass-through from the money market interest rate to bank deposit and lending rates. I utilize a new panel dataset containing individual banks´ characteristics and prudential indicators over 2019-2023, a period comprising the full-scale Russian invasion. First, using TVPARDL models, I reveal that during the invasion, the pass-through diminished for all examined bank products. It is also weaker to deposits in times of monetary policy tightening. Second, using panel regressions, I show how banks´ characteristics and prudential indicators influence the transmission. Their impacts are asymmetric during monetary policy tightening and loosening. Overall, I track wartime interest rate pass-through for practical monetary policy purposes and contribute to the topic of interactions between monetary and prudential policies.

Keywords: monetary policy transmission mechanism; interest rate pass-through; wartime economy (search for similar items in EconPapers)
JEL-codes: C54 E43 E52 G21 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2024-09, Revised 2024-09
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mon and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2024_33

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