Aristei, David; Gallo, Manuela - Dipartimento di Economia, Università degli Studi di Perugia - 2012
In this paper we use a Markov-switching vector autoregressive model to analyse the interest rate pass-through between interbank and retail bank interest rates in the Euro area. Empirical results, based on monthly data for the period 2003-2011, show that during periods of financial distress bank...