The Interest Rate Pass-Through in Poland 1997–2005

Grzegorz Szafrański ()
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Grzegorz Szafrański: University of Łódź, Poland

Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 4, pp 111-123 from University of Lodz

Abstract: We confirmed that the error-correction framework is a useful tool in analyzing the interest rate pass-through on the Polish market. It can explain from 60% to 70% of the monthly variance in retail interest rate changes depending on the type of the bank product and the method used. There is a strong evidence of complete pass-through for corporate credits. With linear ECM we have found that mean adjustment lag for those loans is about 3 months. The results for consumer credits are unconvincing probably due to the breaks in the time series. The money market rates were transmitted to household deposit rates only in about 80% in the period 1997–2005. The most suitable method for their analysis is non-linear ECM-TAR. The more than two-fold increase in short-term multiplier for depos-its after 2001 should be a matter of further research. We relate it theoretically to institutional changes and strong expectations for interest rate falls.

Keywords: The interest rate pass-through; Error correction model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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