Interest rate pass-through in Hungary (1997-2004).

• Authors: Horvath Cs. , Kreko J. , Naszodi A.
• Languages of publication: HU

Abstracts

EN

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.

Keywords

EN

BANKS; INTEREST RATES; MONETARY EQUILIBRIUM

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Committee for Economic Sciences of the Hungarian Academy of Sciences
• Journal: Kozgazdasagi Szemle (Economic Review)
• Year: 2005
• Volume: 52
• Issue: 4
• Pages: 356-376
• Document type: ARTICLE

Contributors

author

Horvath Cs.

author

Kreko J.

author

Naszodi A.

• Cs. Horvath, no address given, contact the journal editor

Identifiers

CEJSH db identifier

07HUAAAA02956001