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Interest rate pass-through and monetary policy asymmetry: a journey into the caucasian black box

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

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Identification Number: 10.1016/j.asieco.2014.03.006

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: 20 May 2019 01:39
URI: http://eprints.lse.ac.uk/id/eprint/57048

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