Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland

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

William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are found across market interest rates and countries concerning long-run elasticities of market interest rates to changes in the key policy rate. While the null hypothesis of complete pass-through cannot be rejected for any interest rate in Poland, deviations from complete pass-through are present for several interest rates in the Czech Republic and Hungary. Except for the case of the short-term loan rate for enterprises in Hungary, no significant deviation from symmetry in the speed of adjustment to equilibrium is found in the data.

Keywords: Interest Rates; Pass-Through; Monetary Transmission Mechanism; ARDL Models; Transition; Accession; Acceding Countries (search for similar items in EconPapers)
JEL-codes: C22 E43 E50 E52 G21 O52 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2004-05-01
New Economics Papers: this item is included in nep-eec and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2004-671

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