The decisions of banks about the yields on their assets and liabilities have an impact on the expenditure and investment behavior of deposit holders and borrowers and hence, on the real economy. This paper analyses the interest rate pass-through in Hungary, with the help of ECM and TAR models, using both aggregated and bank level data. According to the linear ECM results, the corporate loan market, which is characterised by the strongest competition, adjusts its rates fully and quickly to the short-term money market rate. The adjustment of deposit rates and household loan rates is characterised by incompleteness and/or sluggishness. The paper also focuses on the potential non-linearities of banks' pricing by TAR models. The results suggest that the speed of adjustment of bank rates depends on the size of the changes in the money market rate and the distance of bank rates from their long-term equilibrium level. The sign of yield shocks and the volatility of the market rate also turn out to be influential to the speed of adjustment.