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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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2023-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
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| Online Access: | https://journal.bank.gov.ua/en/article/2023/255/02 |
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| _version_ | 1832584846587723776 |
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| author | Nadiia Shapovalenko Artem Vdovychenko |
| author_facet | Nadiia Shapovalenko Artem Vdovychenko |
| author_sort | Nadiia Shapovalenko |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-22f72bbc8b72418089a294e6d077133e |
| institution | Kabale University |
| issn | 2414-987X |
| language | English |
| publishDate | 2023-06-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj-art-22f72bbc8b72418089a294e6d077133e2025-01-27T10:31:56ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2023-06-01255227010.26531/vnbu2023.255.02Interest Rate Pass-Through in Ukraine: Estimates and DeterminantsNadiia Shapovalenko0Artem Vdovychenko1National Bank of UkraineNational Bank of UkraineIn 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.https://journal.bank.gov.ua/en/article/2023/255/02interest rate transmissiondeterminants of transmissionardl |
| spellingShingle | Nadiia Shapovalenko Artem Vdovychenko Interest Rate Pass-Through in Ukraine: Estimates and Determinants Visnyk of the National Bank of Ukraine interest rate transmission determinants of transmission ardl |
| title | Interest Rate Pass-Through in Ukraine: Estimates and Determinants |
| title_full | Interest Rate Pass-Through in Ukraine: Estimates and Determinants |
| title_fullStr | Interest Rate Pass-Through in Ukraine: Estimates and Determinants |
| title_full_unstemmed | Interest Rate Pass-Through in Ukraine: Estimates and Determinants |
| title_short | Interest Rate Pass-Through in Ukraine: Estimates and Determinants |
| title_sort | interest rate pass through in ukraine estimates and determinants |
| topic | interest rate transmission determinants of transmission ardl |
| url | https://journal.bank.gov.ua/en/article/2023/255/02 |
| work_keys_str_mv | AT nadiiashapovalenko interestratepassthroughinukraineestimatesanddeterminants AT artemvdovychenko interestratepassthroughinukraineestimatesanddeterminants |