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.
CITATION STYLE
Jamilov, R., & Égert, B. (2014). Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box. Journal of Asian Economics, 31–32, 57–70. https://doi.org/10.1016/j.asieco.2014.03.006
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