Arnold, Ivo J.M.; Ewijk, Saskia E. van - In: Journal of International Money and Finance 49 (2014) PB, pp. 340-357
This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...