Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

Rustam Jamilov and Balázs Égert

No 4131, CESifo Working Paper Series from CESifo

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 low banking sector competition. 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 size and speed of 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: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp4131.pdf (application/pdf)

Related works:
Journal Article: 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 (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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4131

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().