Arbeitspapier
New evidence of heterogeneous bank interest rate pass-through in the euro area
We analyse the bank interest rate pass-through in the euro area for the period 1999:1 - 2009:11, relating market interest rates to bank retail rates of comparable maturities. We first estimate single equation error correction models for seven interest rate categories and ten euro area countries and find that the interest rate pass-through displays substantial heterogeneity especially in the short run, but also in the long run. We then apply the pooled mean group estimator (PMGE) advanced by Pesaran et al. (1999), allowing for country-specific interest rate pass-through in the short run, while constraining the long-run pass-through to be homogeneous across countries. We find significant evidence of substantial heterogeneity in the short-run passthrough. Finally, we conduct sub-sample analysis and conclude that the degree of heterogeneity and the overall efficiency of the interest rate pass-through have not improved in the second half of the existence of the European Monetary Union.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMK Working Paper ; No. 12/2011
- Klassifikation
-
Wirtschaft
- Thema
-
Geldpolitische Transmission
Schätzung
Eurozone
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bernhofer, Dominik
van Treeck, Till
- Ereignis
-
Veröffentlichung
- (wer)
-
Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
- (wo)
-
Düsseldorf
- (wann)
-
2011
- Handle
- URN
-
urn:nbn:de:101:1-201202285269
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bernhofer, Dominik
- van Treeck, Till
- Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
Entstanden
- 2011
Ähnliche Objekte (12)
Did inequality cause the U.S. financial crisis?
A Synthetic, Stock-Flow Consistent Macroeconomic Model of Financialisation
r>g: Why the ‘Piketty Debate’ Unsettles Germany’s Economic Experts
Liquidity constraints versus loss aversion in household consumption: a simple reconciliation
Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
The macroeconomics of "financialisation" and the deeper origins of the world economic crisis
Welches Menschenbild für die ökonomische Bildung? : nicht-egoistisches Verhalten und soziale Vergleiche in der Haushaltstheorie
Inequality, the crisis, and stagnation
The political economy debate on financialisation' a macroeconomic perspective
Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach
Policy responses to the Euro debt crisis: Can they overcome the imbalances that caused the crisis?
Reducing economic imbalances in the euro area: Some remarks on the current stability programs, 2011-14
Did inequality cause the U.S. financial crisis?
A Synthetic, Stock-Flow Consistent Macroeconomic Model of Financialisation
r>g: Why the ‘Piketty Debate’ Unsettles Germany’s Economic Experts
Liquidity constraints versus loss aversion in household consumption: a simple reconciliation
Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
The macroeconomics of "financialisation" and the deeper origins of the world economic crisis
Welches Menschenbild für die ökonomische Bildung? : nicht-egoistisches Verhalten und soziale Vergleiche in der Haushaltstheorie
Inequality, the crisis, and stagnation
The political economy debate on financialisation' a macroeconomic perspective
Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach
Policy responses to the Euro debt crisis: Can they overcome the imbalances that caused the crisis?
Reducing economic imbalances in the euro area: Some remarks on the current stability programs, 2011-14
Did inequality cause the U.S. financial crisis?
A Synthetic, Stock-Flow Consistent Macroeconomic Model of Financialisation
r>g: Why the ‘Piketty Debate’ Unsettles Germany’s Economic Experts
Liquidity constraints versus loss aversion in household consumption: a simple reconciliation
Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
The macroeconomics of "financialisation" and the deeper origins of the world economic crisis
Welches Menschenbild für die ökonomische Bildung? : nicht-egoistisches Verhalten und soziale Vergleiche in der Haushaltstheorie
Inequality, the crisis, and stagnation
The political economy debate on financialisation' a macroeconomic perspective
Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach
Policy responses to the Euro debt crisis: Can they overcome the imbalances that caused the crisis?