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In this paper, we estimate the interest rate pass-through from money market to bank interest rates using various heterogeneous panel cointegration techniques to address bank heterogeneity. Based on our micro-level data from the Czech Republic, the results indicate that the nature of interest rate pass-through differs across banks in the short term (rendering estimators that constrain coefficients across groups to be identical inconsistent) and becomes homogeneous across banks only in the long term, supporting the notion of the law of one price. Mortgage rates and firm rates typically adjust to money market changes, but often less than fully in. | WORKING PAPER SERIES 8 Roman Horváth and Anca Podpiera Heterogeneity in Bank Pricing Policies The Czech Evidence CNB CZECH NATIONAL BANK WORKING PAPER SERIES Heterogeneity in Bank Pricing Policies The Czech Evidence Roman Horváth Anca Podpiera 8 .
