Interest Rate Pass-Through in EU Acceding Countries: The Case of the Czech Republic, Hungary and Poland
26 Pages Posted: 8 Jun 2004
Date Written: May 2004
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: Suggested Citation