Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper analyses the interest rate pass-through for five economies of the CaucasusArmenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate passthrough 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. JEL-Code: E430, E520, N250. Terms of use: Documents in EconStor may

Türki̇ye Kredi̇ Pi̇yasasinda Fai̇z Orani Asi̇metri̇k Geçi̇şi̇ni̇n Modellenmesi̇: Eşi̇k Eşbütünleşme Anali̇zi̇nden Yeni̇ Kanitlar

“…Similarly, Neumark and Sharpe (1992) showed that partial reason for asymmetry in bank deposit market is high level of concentration. These findings mean that commercial banks with monopoly power increase deposit rates slowly, but decrease the rates quickly (Jamilov and Egert, 2014).…”

“…Consumer reaction hypothesis argue that, when retail banks operate in a competitive market condition, they would refrain from the negative reactions of consumers due to lending rate increases or deposit rate decreases. In case of asymmetric adjustment conditions, lending rates would be rigid upwards and deposit rates would be rigid downwards (Jamilov and Egert 2014). However, bank's collusive price hypothesis argue that retail banks are more likely to decrease deposit rates and increase lending rates, in case of banks able to abuse monopoly power and arrange IRs based on their interests (Kargianniset.al., 2010, pp.3-5).…”

“…(2010) analyzed the IRPT in Greece, Bulgaria and found evidence supporting negative asymmetry in adjustment of RR for Bulgaria and Slovenia due to different level of competition and liberalization process in these countries. Jamilov and Egert (2014) analyzed the IRPT for Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia (Causes economies) by using ARDL and monthly data. Authors found that IRPT is systematically incomplete and sluggish due to instability in macroeconomy and uncompetitive structure of banking sector.…”

Empirical Study of Interest Rate Pass-Through Before and After Subprime Mortgage Crisis: An International Evidence

“…Jamilov & Égert analyze and evaluate the interest rate pass-through as an empirical evaluation for the Caucasus region: Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia [9]. They use the autoregressive distributed lag (ARDL) method.…”