Gábor Hajnal, Bálint Dancsik, Zsuzsanna Hosszú, Ákos Attila Ozoróczy
{"title":"Deposit interest rate pass-through in Central and Eastern European countries before and after 2021","authors":"Gábor Hajnal, Bálint Dancsik, Zsuzsanna Hosszú, Ákos Attila Ozoróczy","doi":"10.1016/j.cbrev.2025.100204","DOIUrl":null,"url":null,"abstract":"<div><div>The study analyzes interest rate pass-through for household and corporate deposits in specific markets in the Central and Eastern European (CEE) region, with a focus on the tightening cycle that began in mid-2021. This period is of particular interest to monetary policy, as sharp rate hikes by central banks, in response to a high inflationary environment, followed a period characterized by an abundance of liquidity. We examine the relationship between interbank and deposit interest rates using two methods: wavelet transform and error-correction model. Based on the wavelet analysis, we found a weakening of pass-through and a slowdown in the repricing of deposit interest rates during the tightening cycle across the countries of the CEE region, particularly in the household segment. Using error-correction models, we observe a consistent weakening in both the degree and speed of interest rate pass-through in the Hungarian and Polish deposit markets during the tightening cycle. The extent of pass-through declined most in the Hungarian household deposit market among all CEE countries.</div></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":"25 3","pages":"Article 100204"},"PeriodicalIF":2.0000,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Central Bank Review","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1303070125000150","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The study analyzes interest rate pass-through for household and corporate deposits in specific markets in the Central and Eastern European (CEE) region, with a focus on the tightening cycle that began in mid-2021. This period is of particular interest to monetary policy, as sharp rate hikes by central banks, in response to a high inflationary environment, followed a period characterized by an abundance of liquidity. We examine the relationship between interbank and deposit interest rates using two methods: wavelet transform and error-correction model. Based on the wavelet analysis, we found a weakening of pass-through and a slowdown in the repricing of deposit interest rates during the tightening cycle across the countries of the CEE region, particularly in the household segment. Using error-correction models, we observe a consistent weakening in both the degree and speed of interest rate pass-through in the Hungarian and Polish deposit markets during the tightening cycle. The extent of pass-through declined most in the Hungarian household deposit market among all CEE countries.