Arbeitspapier
Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model
We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass-through, especially in the presence of a binding zero lower bound (ZLB) constraint. The model is estimated using Bayesian techniques on US data between 1985 and 2016. The framework allows us to explain the time-varying interest rate spreads and pass-through observed in the data. We find that pass-through tends to be delayed in the short run, and incomplete in the long run. All this impacts the dynamics of the other macroeconomic variables in the model. In particular, we find monetary policy to be less effective under incomplete pass-through. Furthermore, the behavior of pass-through in the loan rate is different from that of the deposit rate shocks. This creates asymmetric dynamics at the zero lower bound, and incomplete pass-through exacerbates that asymmetry.
- ISBN
-
978-82-8379-131-0
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 22/2019
- Klassifikation
-
Wirtschaft
Computable General Equilibrium Models
Monetary Policy
Open Economy Macroeconomics
- Thema
-
Banking sector
incomplete or asymmetric interest rate pass-through
DSGE
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Binning, Andrew
Bjørnland, Hilde Christiane
Maih, Junior
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Binning, Andrew
- Bjørnland, Hilde Christiane
- Maih, Junior
- Norges Bank
Entstanden
- 2019
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