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Interest rate pass-through in South East Europe: An empirical analysis

机译：东南欧的利率传递：一项实证分析

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摘要

This paper investigates the effectiveness of the interest rate channel in three small open economies with rigid exchange rate regimes in South East Europe - Bulgaria, Croatia and Macedonia - during the period 2000-2010. Specifically, we examine the size and speed of adjustment of bank lending rates to the changes in money market rates by employing various cointegration methods. In addition, we assess the stability of interest rate passthrough during the transition period, including the recent economic crisis. The results reveal the existence of a cointegrating relationship among some of the interest rates. We find that the long-run pass-through is far from complete with the exception of Macedonia. The shortrun adjustment of lending rates is also low and sluggish, implying that the domestic monetary policy may have a limited impact on the interest rate channel. Finally, the econometric investigation provides mixed evidence on the stability of the interest rate pass-through. Therefore, the overall findings of the paper support the view that in small open economies with rigid exchange rates the effectiveness of domestic monetary policy through the interest rate channel is quite limited.
机译：本文研究了2000-2010年期间东南欧三个具有严格汇率制度的小型开放经济体（保加利亚，克罗地亚和马其顿）中利率渠道的有效性。具体来说，我们通过采用各种协整方法来检验银行贷款利率针对货币市场利率变化调整的规模和速度。此外，我们评估了包括最近的经济危机在内的过渡期内利率传递的稳定性。结果表明，某些利率之间存在协整关系。我们发现，除了马其顿以外，长期的传递还远远没有完成。贷款利率的短期调整幅度也很低，这表明国内货币政策对利率渠道的影响有限。最后，计量经济学调查提供了有关利率传递稳定性的混合证据。因此，本文的总体结论支持以下观点：在汇率僵化的小型开放经济体中，通过利率渠道的国内货币政策的有效性非常有限。

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