乌克兰的利率传递:来自银行所有权的证据

IF 0.7 Q4 BUSINESS, FINANCE
Anatolii Hlazunov, Pervin Dadashova, Iryna Lukianenko
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引用次数: 0

摘要

俄罗斯于2022年2月24日发动的全面战争打乱了乌克兰多年来一直执行的传统货币政策。然而,保持价格稳定仍然至关重要。2022年6月,NBU大幅提高了关键政策利率,旨在通过提高市场利率来降低通胀压力。因此,尽管发生了战争,中央银行仍然依赖于利率传导机制。本研究的重点是关键政策利率变化对商业银行利率的传导,这取决于银行业结构。我们认为,这项研究不仅对西方学术界有用,而且对政策制定者也有用,因为它有助于评估货币政策的效率。我们测试了不同期限的新贷款和存款利率以及基于银行所有权的银行集团的关键政策利率变化的传递,在乌克兰的情况下,这与银行的效率密切相关。我们采用带有误差修正形式的自回归分布滞后模型。我们的研究证实,从关键政策利率到银行利率的利率传递对银行集团来说是不同的。效率较低的银行对新存款利率的传导更强,对新贷款利率的传导更弱,因此面临利率风险。此外,根据我们的研究结果,存款和贷款的利率传递越弱,期限越长。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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 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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CiteScore
0.60
自引率
20.00%
发文量
268
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