Interest Rate Pass-Through in Ukraine: Estimates and Determinants

Nadiia Shapovalenko () and Artem Vdovychenko ()
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Nadiia Shapovalenko: National Bank of Ukraine
Artem Vdovychenko: National Bank of Ukraine

Visnyk of the National Bank of Ukraine, 2023, issue 255, 22-70

Abstract: In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We focus on the transmission of the overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations – both in national currency. Controlling for macroeconomic indicators and bank financial variables we obtain bank-level time-varying estimates of transmission and run a set of panel regressions to analyze the determinants of pass-through strength. Besides linear estimates, we report asymmetric transmissions, which differ depending on the decrease or increase in the interbank rate, and timevarying estimates for transmission.

Keywords: interest rate transmission; determinants of transmission; ARDL (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2023:i:255:p:22-70

DOI: 10.26531/vnbu2023.255.02

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