THE INTEREST RATE PASS-THROUGH IN POLAND

Transcription

1 Grzegorz Szafrański THE INTEREST RATE PASS-THROUGH IN POLAND Absrac We analyze he ineres rae pass-hrough on aggregaed daa for Poland by ARDL models wih ECM. We presen a few heoreical argumens for imperfec (i.e. incomplee and sluggish) moneary ransmission on emerging financial markes. Wih TAR class of models we check for he asymmeries in he mechanism of price adjusmen o he long-erm equilibrium and for he srucural breaks. We find ha he shor-erm muliplier for deposis is a subjec o srucural break in 2 and ha he speed of adjusmen o equilibrium depends on he sign (and no on he size) of hose changes. Like in oher up-o-dae sudies for posaccession counries including Poland, and he Eurozone here is a srong heerogeneiy in ineres pass-hrough beween producs and group of cliens. Keywords: ineres rae pass-hrough, moneary ransmission, emerging financial marke. JEL Classificaions: E3, E52, G2.. Ineres rae pass-hrough in emerging marke economies The quesions abou moneary ransmission are imporan for performing disinflaionary policy in emerging marke economies. Under popular direc inflaion argeing he ineres rae pass-hrough is a very imporan impac channel, while such insrumens of moneary policy as he exchange rae inervenions or legal reserve requiremens become of a limied use. The developing money marke in emerging economies, supplied by permanen budge deficis wih risk-free securiies, should suppor moneary policy effeciveness. Alhough he shor-erm money marke ineres raes end o follow main moneary policy Dr, assisan professor (adiunk), Deparmen of Economerics, Universiy of Łódź.

2 raes quickly, 2 he cenral bankers do no expec any longer ha he money marke raes are passed hrough o he banking secor compleely and immediaely. The moneary impulses may sill be seriously modified by banks responses. Poenially imperfec mechanism of reail ineres rae adjusmen o he changing marke condiions calls for is precise quanificaion. The srucural breaks in he daa, and rapid changes in he money marke condiions inroduce serious measuremen problems. There is a vas heoreical lieraure on incomplee ineres rae pass-hrough in he conex of imperfec inernal (inside he banking indusry) and exernal (wihin he whole financial marke) marke compeiion (see he review in Chmielewski 2). The auhors agree ha under perfec compeiion and complee informaion he banks se heir reail ineres raes i for deposis according o he opporuniy cos and for loans according o he marginal cos of funds faced on he money marke and represened by marke rae r (see de Bond 22): i = δ + r, () δ where δ is a consan mark-up for a banking produc (deposi or loan) wih a given mauriy, δ is a derivaive of reail price wih respec o marginal cos of funds. Parameer δ depends on he demand elasiciy of deposis and loans. If banks are price-akers, hen he demand is fully elasic, and δ is supposed o be equal o one. Because of he oligopolisic srucure, enry barriers, and produc differeniaion price elasiciies of demand a he bank level and a he indusry level can draw ogeher. This leads o symmerical hough no perfec reacions of reail bank ineres raes o changes in money marke raes δ < (see Ko 2). 2 Esimaions for he over-liquid Polish marke sugges equivalen (i.e. one o one) and rapid changes. Possible ime leads and lags in money marke reacions depend on he fac wheher he moneary policy changes are expeced or unexpeced (see he even mehodology applied in Serwa 26 for Poland). 2

3 The circumsances, when banks overreac, and increase heir reail raes more han he increase in marginal cos of funds ( δ > ), are no relevan for loans in he long run, as he relaively high ineres raes would encourage he borrowers wih higher defaul risk (adverse selecion problem) and arac more risky projecs (moral hazard problem). Of his reasons banks may prefer seing loan raes below he marke clearing levels and allocae credis only o heir long-erm cusomers. In consequence i could raher lead o upward sickiness of ineres raes han o he overshooing effec. This kind of asymmery sems direcly from incomplee informaion on borrowers available o lenders. In he booming credi marke under oligopoly here are oher sources of asymmery in ineres rae pass-hrough. While he downward price endency (due o convergence o he European Union levels) was ruling on he Polish money marke, i was leading o less han equivalen cus in loan ineres raes. As he loans become relaively more expensive, one could expec he possible reducions in amouns of credis graned. They were however compensaed by he inflow of demand from new credi cusomers. Furhermore, when he financial marke is under-developed (i.e. he banking secor is he main exernal source of financing he economic aciviy and here are only imperfec subsiues for bank producs), he banks may possess significan marke power over heir cusomers, and are no willing o change heir prices in a less profiable direcion. The lower is he amoun of exernal refinancing he higher is he incenive for banks o pospone he reducions in credi raes (when money marke prices decrease) and o delay he increases in deposi raes (when money marke raes grow). The produc heerogeneiy in ineres rae pass-hrough is observed in Polish secor no only wih respec o loans and deposis, bu for differen group of cusomers as well. The bank ineres rae policies for corporae and privae cusomers differ because here are more opporuniies for enerprises o inves or o finance heir aciviy. 3

4 This sicky ineres rae behaviour is linked o menu coss (while changing price liss), conrac cusomer-bank relaions (while swiching beween bank producs), and swiching coss (while shifing accouns beween banks). Because of menu coss ineres rae adjusmens may be less frequen bu more subsanial. The reail raes move significanly only if money marke rae changes are big enough (e.g. more han 5 basis poins). The las moive swiching coss can become more and more imporan in emerging markes, where he long-erm bank-cusomer relaions are only jus esablishing. 3 The monopolised marke for banking services wih srong produc segmenaion is also a good explanaion for sluggish ineres rae adjusmen. The banks do no reac immediaely o he changes in marke condiions. Seing new price levels for loans and deposis in such bureaucraic insiuions as banks could las on average abou wo weeks. In realiy we observe only parial adjusmen in his period. The complee adjusmen usually akes place (if i does) in several monhs afer he money marke movemens. Neverheless, he adjusmen lags do no lead o he losses in he marke share of a paricular bank in a long run, as he price elasiciy for banking producs is lower in a shor run. 2. Tesing ineres rae pass-hrough in error correcion framework To devise an aggregaed ineres rae pass-hrough mechanism we sar wih a longerm relaion beween reail banking raes and money marke rae like (). If he hypohesis abou uni roo in boh ineres rae series canno be rejeced a usual significance level and residuals from () are found o be weakly saionary, we assume ha () is a coinegraing relaion beween i and r. Then o esimae he imperfec pass-hrough mechanism we use he error-correcion model (ECM) represenaion: i = κ + + λ r + γ ( i ( δ + δr )) ε, wih ε ~ NID(, σ ) (2) 3 However, under growing banking compeiion for new cliens he fas adjusmens can become serious markeing advanage. We check i wih usual ADF ess.

5 where NID(,σ) is a normally idenical disribued process wih zero mean and finie variance. Parameer λ denoes a shor-erm muliplier, δ + δ r represens a long run equilibrium (aracor) of he dynamic process wih a long-erm muliplier δ. The adjusmen o he longrun equilibrium is proporional o he las-period error correcion erm (ECT) which measures he disance from he long-run equilibrium ECT i δ δ r ). Parameer γ is he speed of adjusmen consan over he sample. = ( + As he adjusmen process may be more complex han (2), we le for he addiional dynamics including AR- ( i i ) and DL-erms ( r j ) if necessary: 5 i p i= i i q = κ + κ i + λ r + γect + ε. (3) j= j j The Engle-Granger wo-sep procedure ress on he OLS esimaion of he long-erm muliplier δ in a saic represenaion. Afer ha we esimae he dynamic ECM. Insead of checking for he complee pass-hrough ( δ = ) in a saic model (), we es i in Bewley regression framework ha direcly provides he esimaor of he sandard error of δ in a dynamic framework (see Hendry 995): i p q * * = + δr + κ i i i + i= j= δ λ r + ε. () * j j Boh, ECM and Bewley regression are he represenaions of an auoregressive disribued lag model, henceforh ARDL: i p+ q+ + α ii i + β jr j ε, (5) i= j= = α + Using a lag operaor L : Li = i and lag polynomials: A( L) = 2 p+ α L α 2L +... α p+ L, B( L) = 2 q+ β + βl + β 2L β q+ L we wrie ARDL model as: A( L) i = α + B( L) + ε. (6) r 5 AR and DL sands for auoregressive and disribued lag erms, respecively. 5

6 The general ARDL represenaion is convenien for calculaing a mean adjusmen lag MAL i.e. an average ime needed o adjus afer a shock o he long-run equilibrium (see Hendry 995, p. 25): B'() A'() MAL =, (7) B() A() where A '( L) and B '( L) denoe derivaives of polynomials A (L) and B (L). For example in ARDL model (3) wih p = and q = : β + 2β 2 2 MAL = + () β + β + β 2 α + 2α α α 2 Recenly, here is a renewed ineres in quanificaion of shor- and long-run effecs of ineres rae pass-hrough wihin ECM framework. Some sudies for emerging markes: Wróbel, Pawłowska (22) and Chmielewski (23) for Poland, Horvah, Kreko, Naszodi (2) for Hungary, Crespo-Cuaresma e al (2) and Ko (2) for Poland, Czech and Hungary, and Kleimeier and Sander (25) for new EU members show heerogonous responses of banking secor for differen banking producs in differen counries. The mos up-o-dae sudies for he euro area (De Bond e al 25, and Sorensen and Werner 26) repor also some mehodological improvemens and heoreical explanaions of heerogeneiy beween Member Saes. Wróbel and Pawłowska (22) on aggregaed daa have discovered equivalen (one-o-one) long-erm pass-hrough for all deposis (excep for -monh), and corporae loans of mauriy lower han 5 years (excep for consumer credis). The sudy sresses an insignifican increase in he long-run esimaes afer expanding he sample period for anoher monhs. They argue ha his feaure could reflec asymmery in banks reacions i.e. a bigger response of deposi raes when money marke raes fall han when hey go up, bu i was no formally esed. 6 The pass-hrough was found o be sluggish. The average ime for adjusmen o he equilibrium ends o go up wih he mauriy of 6 Crespo-Cuaresma (2) in his sudy has no found a significan asymmery in he adjusmen process for Poland. 6

7 deposis (from 2.5 monhs for one-monh deposis o monhs for 2-monhs). Conrary, he complee or almos complee pass-hrough akes more ime for credis of shorer mauriy (up o 3. monhs for consumer credi). The repored ECM specificaions do no include AR- and DL-erms. They are also poorly fied and poenially miss-specified. Horvah e al (2) for Hungary obain more precise resuls using more general specificaions. This sudy confirms he significan difference in he shor-erm muliplier beween aggregaed household and corporae secor. Chmielewski (2), and Horvah e al (2) esimae also panel regression for individual bank daa. Chmielewski (2) looking for bank-specific disurbances in longrun pass-hrough connecs hem wih cyclical financial sanding of banks. Horvah e al (2) es for asymmeries and srucural breaks in shor-erm muliplier and in equilibrium adjusmen dynamics. I is done wih TAR model using ineracion dummies; I for shorerm muliplier, J for equilibrium adjusmen, and indicaor variables x, y wih respecive hresholds x, y. Here we presen his concep for simpliciy in ARDL(2,2) represenaion: i UP AD + λ r + λ I r + γect + γ J ECT + κ i + λ r ε, (9) = κ + where if x > x I =, oherwise if y > y J =. oherwise Wih differen indicaors and hresholds we can check non-linear ECM specificaions: for sign asymmeries; for size asymmeries; x x = r wih x =, and y = ECT wih y =, = r wih x =. 5, and y = ECT wih y =. 5, for srucural breaks; x = wih a given x, and y = wih a given y. We can freely combine hresholds and indicaors from differen non-linear specificaions (e.g. srucural break in shor-erm muliplier wih asymmerical adjusmen o equilibrium). 7

8 3. Polish banking indusry: aggregaed daa and srucural changes We analyze he ineres rae pass-hrough in he Polish banking indusry for reail banking producs of differen mauriy. The monhly (end-of-monh) daa repored by Naional Bank of Poland (NBP) are based on he averages of nominal ineres raes offered by he major Polish banks. 7 For he deposis flexible ineres raes (if available) were favoured a he bank level over fixed raes, and for loans he ineres raes offered o he cusomers wih he bes financial sanding. Individual banking ineres raes were aggregaed o he secor averages by he weighs conneced wih he conribuion of he bank porfolio o he overall balance shee posiion for each ype of produc. We deal wih he following ypes of banking producs; privae deposi of mauriy from o 2 monhs (noaion in ables; d for one monh, d3 for 3 monhs, and d6, d2, d2 analogically), shor-erm (below year) consumer credis (cred), and corporae credis from o 5 years (c, c3, c5), all in local currency. Figure presens he predominan downward endency in he reail ineres raes for he sample period The daa on reail ineres raes are subjec o he mehodological changes in he definiion of economic agens afer March 22. Because of ha we resigned of examining daa on household morgage credi, and long-erm consumer credis. Corporae deposis were also ou of he ineres due o heir lower relevance in a balance shee in relaion o household deposis. Shor-erm consumer credis (cash credis before March 22) were he subjec of he mos severe srucural changes, because of he inroducion of he consumer credi ac. 7 The number of he reporing banks was changing during he period (from 5 in 999 o in 26). Their conribuion in he deposi and credi porfolio of he secor usually exceeded 7%. The changes in banking saisics were implied by new classificaion of economic agens according o ESA 95 sandards. They affeced boh moneary aggregaes and informaion on average bank ineres rae. Privae deposis before he mehodological change sand for he producs offered o privae individuals only, and afer ha change o households (including small enrepreneurs and individual farmers). Respecively, small enrepreneurs and individual farmers were excluded from he corporae secor afer March 22.

9 Figure. Banking deposi raes for households d d3 d d2 d2 KR K3R K5R WIBORM Source: GUS daa. Following oher sudies for Poland (see Wróbel, Pawłowska 22, Ko 2, and Chmielewski 2) we apply Warsaw Inerbank Offered Rae for one-monh deposis (WIBORM) as he benchmark for money marke ineres rae because is mauriy is close o he moneary policy inervenion rae (open marke insrumen). Alhough some auhors recommend i (see Sorensen and Werner 26), we do no use ineres rae of he mauriy equivalen o he banking produc under invesigaion. Firsly, he marke for inerbank deposis of longer han 3-monhs mauriy do no provide reliable informaion on he cos of funds, because of is low liquidiy. Secondly, long-erm reasury bills or bonds depend more on governmen deficis han on moneary policy insrumens. Thirdly, popular overnigh inerbank deposis are exposed o he end-of-monh price effecs because of legal reserve requiremens and here are no many reail producs of very shor mauriy offered by Polish 9

10 banks. 9 Finally, he correlaions of WIBORM wih he policy insrumens are he highes in he group of poenial money marke ineres raes. The money marke monhly averages are calculaed on he basis of he working-days quoaions (so called fixings a he inerbank marke). Thus reail raes (end-of-monh daa) follow WIBORM changes wih wo-weeks lag needed o make a price decision in he banking insiuions. Excep for he above menioned change in he sandards of banking sysem saisics in March 22, here were insiuional changes ha made he pricing of he bank producs more compeiive and ransparen. Many of hem were conneced wih he incorporaion of he European banking sandards. The firs one was he inroducion of new banking law ha srenghened he auonomy of supervision insiuion and creaed he Moneary Policy Council (MPC). Soon in March 99 MPC has implemened a direc inflaion argeing policy ha could poenially affec he moneary ransmission mechanism. The oher changes ha could play a role were new recommendaions for managing bank risks (including ineres rae risk), subsanial changes in he legal reserve requiremens, and he inroducion of free-floaing exchange rae regime. Some imporan changes commenced in 2. The decision of abandoning he resricive sance in moneary policy by MPC was followed by he longes series of ineres rae cus and srong marke expecaions for furher reducions. The prevailing speculaion on fixed ineres rae reasury securiies could also affec he inerbank pass-hrough. In 2 WIBOR sared o be quoed according o he new inerbank agreemen (more raes of differen mauriy wih sronger conrac-seing warranies). Nex wo years saw he implemenaion of New Capial Accord of Basel Commiee regulaions wih ransparen ineres rae regulaions and more effecive policy insrumens (end-of-day deposi, inra-day credi). 9 We have excluded curren and personal accouns from he analysis as oher services provided wih hose accouns and he fees are more imporan han ineres income. The legal reserve o local currency ime deposis raio in Sepember 999 fell down from % o 5%. In April 2 afer many years of crawling peg (from Oc.99) and crawling band (from May 995) arrangemens free-floaing exchange rae was inroduced as a consequence of widening he band.

11 . Resuls of linear ECM and non-linear ECM-TAR From 99 nominal ineres raes in Poland follow downward disinflaionary rend wih few periods of reversals conneced wih fighing he inflaion pressures by MPC acions. All reail ineres raes and inerbank rae under consideraion are found o be non-saionary. For mos of hem deerminisic derending mehods are no sufficien o obain saionariy and aking firs difference is necessary o avoid spurious regression problems. To find long-erm relaions beween inerbank rae and reail ineres raes we use boh, saic () and Bewley () equaions. The resuls for long-erm pass-hrough are almos invarian o he mehod used (see Table and Table 2). 2 We have no rejeced he complee pass-hrough hypohesis for corporae credis only. From % o 5% of iniial change in inerbank rae was ransmied o he deposi raes. The similar esimaes were repored by Horvah e al (2) on Hungarian aggregaed daa. The long-erm mulipliers end o increase wih he mauriy of deposis, bu no as much as i was found in some previous sudies for Poland (see Wróbel, Pawłowska 22, Crespo-Cuaresma e al 2). Low p-values in uni roo es (ADF) for residuals from () and negaive esimaes of γ (all saisically significan) confirm he appropriaeness of ECM approach. The opimal lag srucure was derived by minimizing Schwarz Bayesian Crierion (BIC) and eliminaing he insignifican AR-erms ( i i + ) and DL-erms ( r j ). Maximal seleced lags p and q in equaion (3) were zero or one. The ECM specificaions (wih one or wo dummies for ouliers) are relaively well-fied (R-squared more han 6%) excep for consumer credis. 3 The explained par of he variance for changes in deposi raes is decreasing wih heir mauriy from 7% o 6% (see Table and Table 2). 2 The long-erm mulipliers are increasing while expanding he sample. To improve he reliabiliy of relaions we aemped o incorporae he raio of legal reserve for deposis as he facor explaining he modified cos of funds. We also esimaed some swiching regressions o le for major regime shifs in long-run relaions. The ECMs formulaed for he modified residuals did no perform beer in diagnosic and ou-of-sample ess. 3 The ECM for consumer credis is possibly miss-specified due o he srucural break in he daa (March 22) and legal regulaions concerning he effecive ineres rae no visible in nominal daa presened by NBP. We do no commen more resuls for his group of credis.

12 Table Symmerical error-correcion mechanism for household deposis saisics and esimaes of d d3 d6 d2 d2 Long-erm relaion consan δ LT relaion δ LT Bewley δ ' LT sandard deviaion complee pass-hrough δ = No No No No No adjused R 2 RSQ p-value of (ADF) Shor-erm dynamics error correcion γ ST adjusmen λ ar erm κ dl erm λ mean average lag MAL adjused R 2 RSQ Akaike Crierion AIC Schwarz Crierion SIC Durbin-Wason DW No. of observaions No. of dummies Source: Own calculaions, resuls for long-erm equaions (), and (), and for shor-erm dynamics according o he equaion (3). All dummies for December 99. Table 2 Symmerical error-correcion mechanism for credis saisics and esimaes of cred c c3 c5 Long-erm relaion consan δ LT relaion δ LT Bewley δ ' LT sandard deviaion complee pass-hrough δ = No Yes Yes Yes adjused R 2 RSQ p-value of (ADF) Shor-erm dynamics error correcion γ ST adjusmen λ ar erm κ.... dl erm λ mean average lag MAL adjused R 2 RSQ Akaike Crierion AIC Schwarz Crierion SIC Durbin-Wason DW No. of observaions No. of dummies Source: Own calculaions, resuls for long-erm equaions (), and (), and for shor-erm dynamics according o he equaion (3). Dummies for December 99 and 22. Almos a half of he iniial change is ransmied o he banking secor in he same monh. The shor-erm muliplier is comparable wih oher sudies (abou.37 for deposis, 2

13 and.5 for corporae loans), bu he srengh of error correcion mechanism (2%-3%) is a he low end of hose esimaes. More general specificaion of ECM (wih AR- and DL-erms) han in oher Polish sudies possibly reduced he repored MAL measured according o formula (7). The average ime needed o adjus o he equilibrium is increasing wih he mauriy of deposis and loans from wo monhs for shor-erm deposis (see Table ) o hree monhs for 5-years credis (see Table 2). To improve he resuls we check for asymmeries and srucural breaks according o nonlinear TAR-ECM specificaions mixing indicaors and hresholds from equaion (9). In Table 3 we presen only he bes fied models for ime deposis wih significan AR-erms. We do no repor resuls for loans as he evidence of asymmeries and srucural breaks in heir dynamics is raher poor and ambiguous. Similarly size asymmeries performed worse in all cases for deposis and loans. In resul of he selecion procedure we found he sronges evidence of sign asymmeries for speed of adjusmen coefficien γ for shor-erm deposis only, and srucural breaks in shor-erm adjusmen parameer λ. The period of srucural break wih maximal Chow es saisics was recorded in he firs quarer of 2 (February- March). A his ime he MPC changed is sance in moneary policy from resricive o neural which was accompanied wih some insiuional changes on he financial marke. Table 3 Non-linear ECM for household deposis saisics and esimaes of d d3 d6 d2 d2 Shor erm dynamics error correcion erm γ sign asymmery γ AD ST adjusmen λ srucural break ar erm κ dl erm λ..... adjused R 2 RSQ Akaike Crierion AIC Schwarz Crierion SIC Durbin-Wason DW No. of observaions No. of dummies Source: Own calculaions, resuls for equaion (9). All dummies for December 99. All esimaes are significan a %, excep for one esimae in ialics significan a 5%. λ UP 3

14 The bes non-linear ECMs for deposis performed beer in erms of heir fiing (see Table 3) and predicive power. The main resul of non-linear analysis for deposis is he more han wo-fold increase in he shor-erm muliplier afer 2. This srucural change shorens he period of average reurn o equilibrium wice, which is very fas as for European banking sandards. Wih ECM-TAR mehodology we observe also he significan srenghening of he error correcion mechanism. For long-erm deposis abou 2% of he disance o he equilibrium is correced in he nex monh. For shor-erm deposis i is even more han 3%, bu i acs efficienly only in he periods of negaive long-run equilibrium errors. When he errors are posiive (i.e. a he periods of falls in money marke ineres raes), he error correcion mechanism is subsanially weakened. The adjusmen akes hen he form of shorerm muliplier wih auoregressive correcions due o significan AR-erms.. Conclusions We confirmed ha he error-correcion framework is a useful ool in analysing he ineres rae pass-hrough on he Polish marke. I can explain from 6% o 7% of he monhly variance in reail ineres rae changes depending on he ype of he bank produc and he mehod used. There is a srong evidence of complee pass-hrough for corporae credis. Wih linear ECM we have found ha mean adjusmen lag for hose loans is abou hree monhs. The resuls for consumer credis are unconvincing probably due o he breaks in he ime series. The money marke raes were ransmied o household deposi raes only in abou % in he period The mos suiable mehod for heir analysis is non-linear ECM- TAR. The more han wo-fold increase in shor-erm muliplier for deposis afer 2 should be a maer of furher research. We relae i heoreically o insiuional changes and srong expecaions for ineres rae falls.

15 References:. Bond G. de (22), Reail bank ineres rae pass-hrough: new evidence a he euro area level, ECB Working Paper 36, Frankfur. 2. Bond G. de, Mojon B., and Valla N. (25), Term srucure and he sluggishness of reail bank ineres raes in euro area counries, Working Paper Series 5, European Cenral Bank. 3. Chmielewski T. (2), Ineres Rae Pass-Through in he Polish Banking Secor and Bank- Specific Financial Disurbances, paper presened a he ECB Workshop Asse Prices and Moneary Policy held on December -2, 23 in Frankfur.. Crespo-Cuaresma J., Éger B. and Reininger T. (2), Ineres Rae Pass-Through in New EU Member Saes: The Case of he Czech Republic, Hungary and Poland, William Davidson Insiue Working Papers Series 2-67, William Davidson Insiue a he Universiy of Michigan Sephen M. Ross Business School. 5. Hendry D. F. (995), Dynamic Economerics, Oxford Universiy Press. 6. Horvah C., Kreko J., Naszodi A. (2), Ineres rae pass-hrough in Hungary, MNB Working Papers 2/, Magyar Nemzei Bank (The Cenral Bank of Hungary). 7. Humala A. (25), Ineres rae pass-hrough and financial crises: do swiching regimes maer? he case of Argenina, Applied Financial Economics, Taylor and Francis Journals, vol. 5(2), pages 77-9, January.. Kleimeier S. and Sander H. (2), Ineres Rae Pass-hrough in an Enlarged Europe: The Role of Banking Marke Srucure for Moneary Policy Transmission in Transiion Counries, Research Memoranda 5, Maasrich : METEOR, Maasrich Research School of Economics of Technology and Organizaion. 9. Ko A. (2), Is ineres rae pass-hrough relaed o banking secor compeiiveness?, Paper presened a he Third Macroeconomic Policy Research Workshop on Moneary Transmission in he New and Old Members of he EU, Ocober 29-3, 2. Budapes.. Serwa D. (26), Do Emerging Financial Markes Reac o Moneary Policy Announcemens? Evidence from Poland, Applied Financial Economics, 26, vol. 6, issue 7, pp

16 . Sorensen C.K. and Werner T. (26), Bank Ineres Rae Pass-Through in he Euro Area: A Cross Counry Comparison, ECB Working Paper No. 5 Available a SSRN: hp://ssrn.com/absrac= Wróbel E., Pawłowska M. (22), Moneary ransmission in Poland: some evidence on ineres rae and credi channels, Maeriały i Sudia No. 2, Naional Bank of Poland. Grzegorz Szafrański KANAŁ STÓP PROCENTOWYCH W POLSKIM SYSTEMIE BANKOWYM W LATACH Sreszczenie Za pomocą modelu ARDL z mechanizmem koreky błędem (ECM) analizujemy kanał (ransmisji) sóp procenowych na zagregowanych danych polskiego sekora bankowego. Przedsawiamy eoreyczne podsawy poencjalnie niedoskonałej (niepełnej i opóźnionej) ransmisji sóp procenowych na wschodzących rynkach finansowych. Sosując nieliniowe modele ypu ECM-TAR sprawdzamy możliwe asymerie w mechanizmie dososowań sóp do poziomu długookresowej równowagi i możliwość wysąpienia w nich srukuralnych załamań. Dla depozyów erminowych usalono, że krókookresowy mnożnik kanału sóp procenowych był przedmioem srukuralnej zmiany po 2 roku, a szybkość dososowań do równowagi zależy raczej od kierunku zmian sóp procenowych niż od rozmiaru nierównowagi. Podobnie jak dla krajów pos-akcesyjnych i srefy euro znaleziono znaczące różnice w kanale sóp procenowych dla depozyów i kredyów, oraz dla różnych grup klienów. Słowa kluczowe: kanał (ransmisji) sóp procenowych, mechanizm ransmisji pieniężnej, wschodzące rynki. 6