Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/70261 
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper No. 4131
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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 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.
Subjects: 
interest rate pass-through
asymmetric adjustment
Caucasus
JEL: 
E43
E52
N25
Document Type: 
Working Paper
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