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Interest Rate Pass-Through in EU Acceding Countries: The Case of the Czech Republic, Hungary and PolandBalázs ÉgertOrganization 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 Thomas ReiningerÖsterreichische Nationalbank Jesús Crespo CuaresmaUniversity of Innsbruck - Department of Economic Theory, Economic Policy and Economic History May 2004 William Davidson Institute Working Paper No. 671 Abstract: 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, O52 working papers seriesDate posted: June 8, 2004Suggested CitationContact Information
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