Interest Rate Pass-Through in EU Acceding Countries: The Case of the Czech Republic, Hungary and Poland
Organization for Economic Co-Operation and Development (OECD); CESifo (Center for Economic Studies and Ifo Institute for Economic Research); Université Paris X Nanterre - Department of Economics; William Davidson Institute
Jesús Crespo Cuaresma
University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History
William Davidson Institute Working Paper No. 671
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.
Number of Pages in PDF File: 26
Keywords: Interest Rates, Pass-Through, Monetary Transmission Mechanism, ARDL, Models, Transition, Accession, Acceding Countries
JEL Classification: E43, E50, E52, C22, G21, O52working papers series
Date posted: June 8, 2004
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.516 seconds