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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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 |