Interest rate pass-through in the Eastern Europe: Case of Albania - An empirical Analysis

• Název v anglickém jazyce: Interest rate pass-through in the Eastern Europe: ; Case of Albania - An empirical Analysis
• Klíčová slova anglicky: Interest rate, pass-through, estimation, monetary policy
• Akademický rok vypsání: 2013/2014
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Roman Horváth, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 12.06.2014
• Datum zadání: 12.06.2014
• Datum a čas obhajoby: 10.02.2016 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 05.01.2016
• Datum proběhlé obhajoby: 10.02.2016
• Oponenti: prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc.

Seznam odborné literatury

Jesus Crespo-Cuaresma, Balazs Egert and Thomas Reininger, (2004) Interest Rate Pass-Through I new EU Member States: The case of the Czech Republic, Hungary and Poland Heterogeneity in Bank Pricing Policies: The Czech Evidence
Horvath and Podpiera, (2009) Heterogeneity in Bank Pricing Policies: The Czech Evidence
Balazs Egert, Jesus Crespo-Cuaresma and Thomas Reininger (2006), Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?
Nikoloz Gigineishvili (2011) Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?
Anamaria Illes and Marco Lombardi (2013) Interest rate pass-through since the financial crisis
IMF (2008) Impact of bank competition on the interest rate pass-through in the euro area
Dan Chirlesan and Marius Constantin Apostoaie, (2013) The Interest Rate Pass-Through from Policy rates to Interbank Rates in the Romanian Financial System
Matthieu Paries, Diego Moccero, Elizaveta Krylova and Claudia Marchini, August 2014, The retail bank interest rate pass-through, the case of of the Euro area during the financial and sovereign debt crisis
Klodiana Istrefi and Valentina Semi (2007) Exchange rate pass through In Albania
Ilda Malile (2013), Is Interest Rate In Albania non-linear
Marta Muco, Peter Sanfey and Anita Taci (August 2004) Inflation, exchange rates and the role of monetary policy in Albania
Mimoza Koka, Anilda Bozdo and Leontiv Cuci (2012) The impact of the interest rate policy on the Albanian economic growth
Elvin Meka and Sonila Meka (2012) Albanian Financial System in front of global & financial crisis
ACIT (2012) Study of the Economic Impact of the Greek Crisis in Albania
LSE (London School of Economics) (November 2010) South Eastern Europe after the Crisis
Cibuku, Dorina (2012) Microfinance in Albania: The Role of Financial Institutions in Expanding Access to Credit 2012
Bank of Albania, January 2015, Monetary Policy Document
IMF March 2014, ALBANIA: Financial System Stability Assessment
Ll.M Ina Petraj (2011) Insurance Market in Albania
(December 2011) Raiffeisen Invest Sh.A Raiffeisen Invest Euro Fund – An Investment Fund – Prospectus
Gabe de Bondt (2005) Term structure and the sluggishness of retail bank interest rates in euro area countries
Harald Sander and Stefanie Kleimeier, (2003) Convergence in Eurozone Retail Banking? What Interest Rate Pass-Through tells us about Monetary Policy Transmission, Competition and Integration
Donald McCarthy (2015) An Introduction to Testing for Unit Roots Using SAS: The case of U.S National Health Expenditures,
Bo Sjo, August 2008 Testing for Unit Roots and Co-integration,
Alexander Tieman (2011) Interest Rate Pass Through in Romania and Other Central European Economies,
Engle and Granger (1987) Co-Integration and Error Correction: representation, Estimation, and Testing
Gerald P. Dwyer (April 2014) The Johansen test for Co-integration,
Magherita Gerolimetto (2010) Autocorrelation function analysis,
Stefan Lyocsa, Eduard Baumohl, Tomas Vyrost (2011), Volatility Regimes in Macroeconomic Time Series,
William Schwert (1989) Tests for Unit roots: A Monte Carlo Investigation,
Latif, Hossain (2008) Model Selection Using Modified Akaike’s Information Criterion,

Předběžná náplň práce v anglickém jazyce

The study of interest pass through has been on the core attention of researchers since it serves as an incentive to evaluate the accuracy of monetary policy transmission mechanism. Therefore there are a lot of studies conducted under this topic encompassing a large number of countries and data.
My aim, inspired by the great previous works, is to develop the same topic but by focusing on Balkan countries and more specifically on Albania. Being a developing country located on the heart of Balkan while aspiring the EU integration, Albania has gone under a considerable number of economic reforms which are also reflected on the degree and speed of transmission of policy rates to landing rates and on the determinants of such rates.
Crisis of 2008 had a global impact but yet several conducted studies revealed that Albania was not directly affected by it. My contribution to this thesis consists in measuring how the pass-through mechanism performance was affected by the crisis and the implications derived from it.