INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP
A full-scale war started by russian federation on February 24th, 2022 disrupted the classic monetary policy Ukraine has been conducting for years. Nevertheless, it remains critical to preserve price stability. In June 2022, NBU significantly increased its key policy rate aiming to decrease inflatio...
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| Format: | Article |
| Language: | English |
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FINTECH Alliance LLC
2023-10-01
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| Series: | Фінансово-кредитна діяльність: проблеми теорії та практики |
| Subjects: | |
| Online Access: | https://fkd.net.ua/index.php/fkd/article/view/4135 |
| _version_ | 1797644499789283328 |
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| author | Anatolii Hlazunov Pervin Dadashova Iryna Lukianenko |
| author_facet | Anatolii Hlazunov Pervin Dadashova Iryna Lukianenko |
| author_sort | Anatolii Hlazunov |
| collection | DOAJ |
| description |
A full-scale war started by russian federation on February 24th, 2022 disrupted the classic monetary policy Ukraine has been conducting for years. Nevertheless, it remains critical to preserve price stability. In June 2022, NBU significantly increased its key policy rate aiming to decrease inflationary pressure through higher market interest rates. Hence, the Central bank still relies on the interest rate transmission mechanism despite the war. This research is focused on the transmission of the key policy rate changes to the commercial bank interest rates depending on the banking sector structure. We believe that this research is useful not only for the west academia but policymakers since it helps to assess monetary policy efficiency. We tested the transmission of changes in key policy rates on new loans’ and deposits’ interest rates of different maturities and groups of banks based on banks’ ownership that in the case of Ukraine closely connected to the bank's efficiency. We applied autoregressive distributed lag models with error correction forms. Our research confirms that interest rate pass-through from the key policy rate to the bank interest rates differs for banking groups. Less effective banks have more powerful transmission to their new deposits interest rates and weaker to new loans interest rates, therefore, exposed to interest risk. Moreover, according to our results, interest rate pass-through is weaker with higher maturity among both deposits and loans.
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| first_indexed | 2024-03-11T14:31:21Z |
| format | Article |
| id | doaj.art-a17244f7938f471c807cbe5bd709d687 |
| institution | Directory Open Access Journal |
| issn | 2306-4994 2310-8770 |
| language | English |
| last_indexed | 2024-03-11T14:31:21Z |
| publishDate | 2023-10-01 |
| publisher | FINTECH Alliance LLC |
| record_format | Article |
| series | Фінансово-кредитна діяльність: проблеми теорії та практики |
| spelling | doaj.art-a17244f7938f471c807cbe5bd709d6872023-10-31T08:22:17ZengFINTECH Alliance LLCФінансово-кредитна діяльність: проблеми теорії та практики2306-49942310-87702023-10-0155210.55643/fcaptp.5.52.2023.4135INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIPAnatolii Hlazunov0Pervin Dadashova1Iryna Lukianenko2PhD Student, Principal Economist, National Bank of Ukraine, Kyiv, UkrainePhD in Economics, Director of Financial Stability Department, National Bank of Ukraine, Kyiv, UkraineD.Sc. in Economics, Professor, Head of the Department of Finance, National University of "Kyiv-Mohyla Academy", Kyiv, Ukraine A full-scale war started by russian federation on February 24th, 2022 disrupted the classic monetary policy Ukraine has been conducting for years. Nevertheless, it remains critical to preserve price stability. In June 2022, NBU significantly increased its key policy rate aiming to decrease inflationary pressure through higher market interest rates. Hence, the Central bank still relies on the interest rate transmission mechanism despite the war. This research is focused on the transmission of the key policy rate changes to the commercial bank interest rates depending on the banking sector structure. We believe that this research is useful not only for the west academia but policymakers since it helps to assess monetary policy efficiency. We tested the transmission of changes in key policy rates on new loans’ and deposits’ interest rates of different maturities and groups of banks based on banks’ ownership that in the case of Ukraine closely connected to the bank's efficiency. We applied autoregressive distributed lag models with error correction forms. Our research confirms that interest rate pass-through from the key policy rate to the bank interest rates differs for banking groups. Less effective banks have more powerful transmission to their new deposits interest rates and weaker to new loans interest rates, therefore, exposed to interest risk. Moreover, according to our results, interest rate pass-through is weaker with higher maturity among both deposits and loans. https://fkd.net.ua/index.php/fkd/article/view/4135A monetary policykey policy ratetransmission mechanismautoregressive distributed lag modelsinterest rate channelcorporate and household interest rates |
| spellingShingle | Anatolii Hlazunov Pervin Dadashova Iryna Lukianenko INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP Фінансово-кредитна діяльність: проблеми теорії та практики A monetary policy key policy rate transmission mechanism autoregressive distributed lag models interest rate channel corporate and household interest rates |
| title | INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP |
| title_full | INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP |
| title_fullStr | INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP |
| title_full_unstemmed | INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP |
| title_short | INTEREST RATE PASS-THROUGH IN UKRAINE: EVIDENCE FROM THE BANK OWNERSHIP |
| title_sort | interest rate pass through in ukraine evidence from the bank ownership |
| topic | A monetary policy key policy rate transmission mechanism autoregressive distributed lag models interest rate channel corporate and household interest rates |
| url | https://fkd.net.ua/index.php/fkd/article/view/4135 |
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