Interest Rate Pass-Through in Romania and Other Central European Economies, Issues 2004-2211
Interest rate pass-through from policy interest rates to market rates and inflation has been hypothesized to play a lesser role in Romania than in other Central European transition economies. This paper tests this hypothesis and concludes that it cannot be supported by the data. Hence pass-through in Romania is concluded to be in line with that in comparable economies in the region. Moreover, the interest rate pass-through has become more pronounced over time.
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Biometrika Coef Estimate t-statistic coefficient estimates Country ECM Estimation Country Long-Term Equations Country Maturity Coef Czech and Slovak Czech Republic Short D-W Czech Republic deposit rates ECM Estimation Results Econometrica Estimate t-statistic R-squared Hence Hungary Short Rate IMF Working Paper interest rate channel interest rate instrument interest rate pass-through interest rate policy International Monetary Fund Johansen Cointegration Test lending rates Long Rate c(2 long-run equilibrium relationship marginal costs market rates Maturity Coef Estimate newly issued loans opportunity cost pass-through from policy pass-through in Romania percent uncertainty level perform unit root Poland Short Rate policy interest rate policy rate coefficient rate on newly Republic Short Rate Romania is similar Romania Short Rate Romanian banking market sample Short Rate c(2 short-term rate Slovak Republic Short Slovenia Short Rate standard Johansen Cointegration t-statistic R-squared Coint t-statistic R-squared D-W Table transition economies transmission in Romania Transmission Mechanism unit root tests yes c(D yes Long Rate