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Author: Gabe de Bondt Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
This paper presents an error-correction model of the interest rate pass-through process based on a marginal cost pricing framework including switching and asymmetric information costs. Estimation results for the euro area suggest that the proportion of the pass-through of changes in market interest rates to bank deposit and lending rates within one month is at its highest around 50%. The interest rate pass-through is higher in the long term and notably for bank lending rates close to 100%. Moreover, a cointegration relation exists between retail bank and comparable market interest rates. Robustness checks, consisting of impulse responses based on VAR models and results for a sub-sample starting in January 1999, show qualitatively similar findings. However, the sub-sample results are supportive of a quicker pass-through process since the introduction of the euro.
Author: Gabe de Bondt Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
This paper presents an error-correction model of the interest rate pass-through process based on a marginal cost pricing framework including switching and asymmetric information costs. Estimation results for the euro area suggest that the proportion of the pass-through of changes in market interest rates to bank deposit and lending rates within one month is at its highest around 50%. The interest rate pass-through is higher in the long term and notably for bank lending rates close to 100%. Moreover, a cointegration relation exists between retail bank and comparable market interest rates. Robustness checks, consisting of impulse responses based on VAR models and results for a sub-sample starting in January 1999, show qualitatively similar findings. However, the sub-sample results are supportive of a quicker pass-through process since the introduction of the euro.
Author: Pih Nee Tai Publisher: LAP Lambert Academic Publishing ISBN: 9783845401850 Category : Languages : en Pages : 80
Book Description
The nature of interest rate pass-through can determine the degree of competitiveness among banks and the soundness of the financial system. High speed of long run policy transmission indicates effective interest rate channel. The speed of changes in the lending rates will reflect the impression of investor about monetary policy action. In this study, pass-through of money market interest rate into several retail banking interest rates is examined in Asian cross-country perspective. Applying a Seemingly Unrelated Regression (SUR)approach, the cross-country heterogeneity in the pass-through mechanism is tested. The principal aim of this study is to explore the effectiveness of interest rate transmission mechanism from money market rate or policy rate into retail banking rate in Asian countries. The results provide evaluation on the effectiveness of new monetary policy implemented after crisis in several Asian countries.
Author: Dr. John Aggelis Publisher: ISBN: Category : Languages : en Pages :
Book Description
The dynamic relationship between the key policy interest rate and different short-term lending and saving rates is analysed by measuring the pass-through process between these interest rates in the banking systems of Euro area countries. This paper also examines the interdependencies between the Euro area retail banking markets. In order to capture efficiently these relationships, this study employed an impulse response model, based on VAR specification. This study focuses on the period from January 1985 to January 2004 as well as on the pre- and post Euro sub-periods. The impulse response model showed that policy controlled interest rates are not immediately reflected in retail bank interest rates. The results of this study provide evidence that the pass-through is higher in the longer term. It is evident from the impulse response results that consumer lending and saving rates are stickier than other bank retail rates, for most of the Euro area countries. It is also evident that some Euro area countries display stickier interest rate series than others. The introduction of the Euro as common currency in the eleven countries studied led to a slower and weaker pass-through process for most Eurozone countries, as the impulse response empirical analysis shows.
Author: Marco A Espinosa-Vega Publisher: International Monetary Fund ISBN: 1451853629 Category : Business & Economics Languages : en Pages : 37
Book Description
This paper investigates empirically the pass-through of money market interest rates to retail banking interest rates in Chile, the United States, Canada, Australia, New Zealand, and five European countries. Overall, Chile's pass-through does not appear atypical. Based on a standard error-correction model, we find that, as in most countries considered, Chile's measured pass-through is incomplete. But Chile's pass-through is also faster than in many other countries considered and is comparable to that in the United States. While we find no significant evidence of asymmetry in Chile's pass-through across states of the interest rate or monetary policy cycle, we do find some evidence of parameter instability, around the time of the Asian and Russian crises. However, we do not find evidence that the switch to a more flexible exchange rate regime in 1999 and the "nominalization" of Chile's interest rate targets in 2001 have affected significantly the pass-through process.
Author: Margherita Bottero Publisher: International Monetary Fund ISBN: 1498300855 Category : Business & Economics Languages : en Pages : 59
Book Description
We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.
Author: David G. Mayes Publisher: Oxford Handbooks ISBN: 0190626194 Category : Business & Economics Languages : en Pages : 809
Book Description
"The Handbook reflects the state of the art in the theory and practice of central banking. It covers all the essential areas that have come under scrutiny since the global financial crisis of 2007-9"--
Author: Luís Brandão Marques Publisher: International Monetary Fund ISBN: 1513570080 Category : Business & Economics Languages : en Pages : 84
Book Description
This paper focuses on negative interest rate policies and covers a broad range of its effects, with a detailed discussion of findings in the academic literature and of broader country experiences.
Author: Gabe de Bondt
Author: Gabe de Bondt
Author: Matthieu Darracq-Paries
Author: Pih Nee Tai
Author: Dr. John Aggelis
Author: Marco A Espinosa-Vega
Author: Margherita Bottero
Author: 
Author: David G. Mayes
Author: Luís Brandão Marques
Author: Gabe J. de Bondt