Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland
Jes??s Crespo-Cuaresma (),
Bal??zs ??gert () and
Thomas Reininger ()
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma () and
William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan
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: E43 E50 E52 C22 G21 O52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:wdi:papers:2004-671
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