On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland
Anna Sznajderska ()
No 114, NBP Working Papers from Narodowy Bank Polski, Economic Research Department
This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank rates is asymmetric in the long term as well as in the short term. We test for asymmetric cointegration using threshold autoregressive models and momentum-threshold autoregressive models. Next, if it is possible applying the threshold error correction models, we search for asymmetries associated with the direction of change in the money market rate, the level of the economic activity, the level of liquidity in the banking sector, the central bank’s credibility and the economic agents’ expectations. Finally, we test whether using the asymmetric models improves the quality of forecasts of retail bank interest rates.
Keywords: interest rate pass-through; asymmetries; threshold models; forecasting (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for, nep-mon and nep-tra
Note: Proceedings from the NBP seminar “Monetary policy transmission mechanism in Poland. What do we know in 2011?”, December 5th, 2011.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:114
Access Statistics for this paper
More papers in NBP Working Papers from Narodowy Bank Polski, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Zbigniew Polański ().