Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

Jamilov, Rustam; Égert, Balázs

doi:10.2139/ssrn.2302836

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Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

Journal of Asian Economics, Vol. 31-32, 2014

William Davidson Institute Working Paper No. 1041

CESifo Working Paper Series No. 4131

23 Pages Posted: 30 Jul 2013 Last revised: 21 Oct 2020

See all articles by Rustam Jamilov

Organization for Economic Co-Operation and Development (OECD); CESifo (Center for Economic Studies and Ifo Institute); Université Paris X Nanterre - Department of Economics; William Davidson Institute

There are 2 versions of this paper

Date Written: February 1, 2013

Abstract

This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an auto-regressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through 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.

Keywords: interest rate pass-through, asymmetric adjustment, Caucasus

JEL Classification: E43, E52, N25

Suggested Citation: Suggested Citation

Jamilov, Rustam and Egert, Balazs, Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box (February 1, 2013). Journal of Asian Economics, Vol. 31-32, 2014, William Davidson Institute Working Paper No. 1041, CESifo Working Paper Series No. 4131, Available at SSRN: https://ssrn.com/abstract=2302836 or http://dx.doi.org/10.2139/ssrn.2302836