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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
CESifo Working Paper No. 4131
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
interest rate pass-through
asymmetric adjustment
Caucasus
JEL: 
E43
E52
N25
Dokumentart: 
Working Paper
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