Jamilov, Rustam and Égert, Balázs (2014) Interest rate pass-through and monetary policy asymmetry: a journey into the caucasian black box. Journal of Asian Economics, 31-32. pp. 57-70. ISSN 1049-0078
Full text not available from this repository.Abstract
This paper analyses the interest rate pass-through for five economies of the Caucasus - Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive 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 a low degree of competition in the banking sector. 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 pass-through.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-asian-... |
| Additional Information: | © 2014 Elsevier B.V. |
| Divisions: | LSE |
| Subjects: | H Social Sciences > HC Economic History and Conditions |
| JEL classification: | E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies |
| Date Deposited: | 12 Jun 2014 16:28 |
| Last Modified: | 12 Dec 2024 00:39 |
| URI: | http://eprints.lse.ac.uk/id/eprint/57048 |
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