Interest Rate Pass-Through in Ukraine: Estimates and Determinants (In Press)
a National Bank of Ukraine, Kyiv, Ukraine
Abstract

In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We concentrate on the transmission of overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations both in national currency. Besides linear estimates, we report asymmetric transmissions, which differ depending on the decrease or increase of interbank rate, and time-varying estimates of transmission. Applying our methodology to the data of individual banks, we got bank-level time-varying estimates of transmission. This allowed us to analyze determinants of pass-through strength by running a set of panel regressions, including macroeconomic variables and indicators derived from banks' balance sheets.

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Cite as: Shapovalenko, N., Vdovychenko, A. (2023). Interest Rate Pass-Through in Ukraine: Estimates and Determinants (In Press). Visnyk of the National Bank of Ukraine, 255, . https://doi.org/10.26531/vnbu2023.255.02
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