Anton Grui

monetary policy transmission mechanism, interest rate pass-through, wartime economy

C54, E43, E52, G21

Grui A. (2024): " Wartime Interest Rate Pass-Through in Ukraine: The Role of Prudential Indicators " IES Working Papers 33/2024. IES FSV. Charles University.

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.