Interest Rate Pass-Through in EU Acceding Countries: The Case of the Czech Republic, Hungary and Poland

26 Pages Posted: 8 Jun 2004

See all articles by Balázs Égert

Balázs Égert

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

Thomas Reininger

Österreichische Nationalbank

Jesús Crespo Cuaresma

University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History

Date Written: May 2004

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.

Keywords: Interest Rates, Pass-Through, Monetary Transmission Mechanism, ARDL, Models, Transition, Accession, Acceding Countries

JEL Classification: E43, E50, E52, C22, G21, O52

Suggested Citation

Egert, Balazs and Reininger, Thomas and Crespo Cuaresma, Jesús, Interest Rate Pass-Through in EU Acceding Countries: The Case of the Czech Republic, Hungary and Poland (May 2004). William Davidson Institute Working Paper No. 671. Available at SSRN: https://ssrn.com/abstract=555783 or http://dx.doi.org/10.2139/ssrn.555783

Balazs Egert (Contact Author)

Organization for Economic Co-Operation and Development (OECD) ( email )

2 rue Andre Pascal
Paris Cedex 16, 75775
France

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Université Paris X Nanterre - Department of Economics

Nanterre Cedex, 92001
France

William Davidson Institute

724 E. University Ave.
Wyly Hall
Ann Arbor, MI 48109-1234
United States

Thomas Reininger

Österreichische Nationalbank ( email )

Wien 9, Otto Wagner Platz
Postfach 61
A-1011 Wien, 1090
Austria

Jesús Crespo Cuaresma

University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History ( email )

Universitaetsstrasse 15
Innsbruck, A - 6020
Austria

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