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Wartime Interest Rate Pass-Through in Ukraine: The Role of Prudential Indicators

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  • Anton Grui

    (Charles University, National Bank of Ukraine)

Abstract

In this paper, I study Ukraine´s heterogeneous and time-variant pass-through from the money market interest rate to bank deposit and lending rates. I utilize a new panel dataset containing individual banks´ characteristics and prudential indicators over 2019-2023, a period comprising the full-scale Russian invasion. First, using TVPARDL models, I reveal that during the invasion, the pass-through diminished for all examined bank products. It is also weaker to deposits in times of monetary policy tightening. Second, using panel regressions, I show how banks´ characteristics and prudential indicators influence the transmission. Their impacts are asymmetric during monetary policy tightening and loosening. Overall, I track wartime interest rate pass-through for practical monetary policy purposes and contribute to the topic of interactions between monetary and prudential policies.

Suggested Citation

  • Anton Grui, 2024. "Wartime Interest Rate Pass-Through in Ukraine: The Role of Prudential Indicators," Working Papers IES 2024/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2024.
    • Handle: RePEc:fau:wpaper:wp2024_33
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    More about this item

    Keywords

    monetary policy transmission mechanism; interest rate pass-through; wartime economy;
    All these keywords.

    JEL classification:

    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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