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How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies
Banerjee, Anindya - 2012
Much of the literature on interest rate pass through assumes banks set retail rates by observing current market rates. We argue instead that banks anticipate the direction of short-term market rates when setting interest rates on loans, mortgages and deposits. If anticipated rates - captured by...
Persistent link: https://www.econbiz.de/10013110409
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The Global Financial Cycle and US Monetary Policy in an Interconnected World
Dées, Stéphane - 2019
We assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent countries. An expansionary US monetary policy shock contributes to the emergence of a Global Financial Cycle, which boosts macroeconomic...
Persistent link: https://www.econbiz.de/10012857759
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National Natural Rates of Interest and the Single Monetary Policy in the Euro Area
Fries, Sébastien - 2017
Using a semi-structural approach, we jointly estimate time-varying national natural real rates of interest for the four largest economies of the euro area over 1999-2016 and discuss the associated challenges for the single monetary policy. We find evidence of an increased dispersion of real...
Persistent link: https://www.econbiz.de/10012966927
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Does one (Unconventional) Size Fit All? Effects of the ECB's Unconventional Monetary Policies on the Euro Area Economies
Pagliari, Maria Sole - 2021
This paper aims at assessing the macroeconomic impact of unconventional monetary policies (UMPs) that the ECB has put in place in the euro area after the 2007 financial crisis. With this purpose, we first document how the relative importance of the main transmission channels of such measures has...
Persistent link: https://www.econbiz.de/10013213269
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A Time-Varying Natural Rate for the Euro Area
Mésonnier, Jean-Stéphane - 2010
In this article we estimate a time-varying " natural " rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2002Q4 using a small backward-looking macroeconomic model, broadly following a methodology developed by Laubach and Williams (2003) for the United States. The Kalman...
Persistent link: https://www.econbiz.de/10013136219
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The Taylor Rule and Monetary Policy in the Euro Area
Mésonnier, Jean-Stéphane - 2010
We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...
Persistent link: https://www.econbiz.de/10013136222
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Interest Rate Transmission and Volatility Transmission along the Yield Curve
Avouyi-Dovi, Sanvi - 2011
usual features of financial data (non-stationarity, cointegration, heteroskedasticity, asymmetric effects) The estimates of …
Persistent link: https://www.econbiz.de/10013131874
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier - 2010
test for cointegration with the possibility of structural breaks and show how the long-run may be restored in the … estimation. The main finding is that allowing for possible breaks around the formation of EMU and the appreciation of the euro … starting in 2001 helps restore a long run cointegration relationship, where over the sample period the fixed component of the …
Persistent link: https://www.econbiz.de/10013136879
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Long Term vs. Short Term Comovements in Stock Markets : The Use of Markov-Switching Multifractal Models
Idier, Julien - 2010
Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations …
Persistent link: https://www.econbiz.de/10013138021
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Stock Exchanges Industry Consolidation and Shock Transmission
Idier, Julien - 2010
interdependence is analyzed through overlapping rolling cointegration and shocks on correlations through multivariate GARCH models …
Persistent link: https://www.econbiz.de/10013136673