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In this study, we apply ARDL models to estimate the strength of long-run interest rate pass-through in Ukraine. We focus on the transmission of the overnight interbank interest rate to the rates on term deposits of households and loans to non-financial corporations – both in national currency. Controlling for macroeconomic indicators and bank financial variables we obtain bank-level time-varying estimates of transmission and run a set of panel regressions to analyze the determinants of pass-through strength. Besides linear estimates, we report asymmetric transmissions, which differ depending on the decrease or increase in the interbank rate, and timevarying estimates for transmission.
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Shapovalenko et al. (2023) studied this question.
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