Interest Rate Pass-Through in Ukraine: Estimates and Determinants
In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We focus on the transmission of the overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations – both in national currency. Contr...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
National Bank of Ukraine
2023-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
| Subjects: | |
| Online Access: | https://journal.bank.gov.ua/en/article/2023/255/02 |
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| Summary: | In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We focus on the transmission of the overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations – both in national currency. Controlling for macroeconomic indicators and bank financial variables we obtain bank-level time-varying estimates of transmission and run a set of panel regressions to analyze the determinants of pass-through strength. Besides linear estimates, we report asymmetric transmissions, which differ depending on the decrease or increase in the interbank rate, and timevarying estimates for transmission. |
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| ISSN: | 2414-987X |