Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box

  • Jamilov R
  • Égert B
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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. © 2014 Elsevier Inc.

Author-supplied keywords

  • Asymmetric adjustment
  • Caucasus
  • Interest rate pass-through

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Authors

  • Rustam Jamilov

  • Balázs Égert

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