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The International Linkage of Real Interest Rates : The European - U.S. Connection

Cumby, Robert E. - 1984

rates has been widespread in the analyses by economic policymakers both in Europe and in the United States. In this paper we … been raised by the recent policy debates in Europe and the United States: Have ex ante real rates in the United States and … Europe been high during recent years? Has there been a link between U.S. real rates and those in other countries? Can this …

Persistent link: https://www.econbiz.de/10012477666

The impact of ECB monetary policy decisions and communication on the yield curve

Brand, Claus (contributor); Buncic, Daniel (contributor); … - 2006

We analyse high-frequency changes in the euro area money market yield curve on dates when the ECB regularly sets and communicates decisions on policy interest rates to construct different indicators of monetary policy news relating to policy decisions and to central bank communication. The...

Persistent link: https://www.econbiz.de/10003358614

An application of index numbers theory to interest rates

Huerga, Javier (contributor); Steklacova, Lucia (contributor) - 2008

This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in individual component rates ("interest rate effect") from those caused by changes in the weights of each component ("weight effect"), on the basis of the "difference" index numbers...

Persistent link: https://www.econbiz.de/10003790944

Macroeconomic adjustment to monetary union

Fagan, Gabriel (contributor); Gaspar, Vítor (contributor) - 2008

The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was …

Persistent link: https://www.econbiz.de/10003790953

Why the effective price for money exceeds the policy rate in the ECB tenders?

Välimäki, Tuomas - 2008

The tender spread, i.e. the difference between the effective price for money in the ECB's main refinancing operations and the prevailing policy rate, is one of the main determinants behind the evolution of the EONIA with respect to the ECB's operational target. This study assesses the reasons...

Persistent link: https://www.econbiz.de/10003826027

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10003826033

What explains the spread between the euro overnight rate and the ECB's policy rate?

Linzert, Tobias; Schmidt, Sandra - 2008

We employ a time series econometric framework to explore the structural determinants of the spread between the European Overnight Rate and the ECB's Policy Rate (EONIA spread) aiming to explain the widening of the EONIA spread from mid-2004 to mid-2006. In particular, we estimate a model on the...

Persistent link: https://www.econbiz.de/10003826043

The dynamics of bank spreads and financial structure

Gropp, Reint (contributor); … - 2007

This paper investigates the dynamics of the pass-through between market interest rates and bank interest rates in the euro area as a function of cyclical and structural differences in the financial system. We find that overall the speed of adjustment for loans is significantly faster than for...

Persistent link: https://www.econbiz.de/10003410596

Adjusting to the euro

Fagan, Gabriel (contributor); Gaspar, Vítor (contributor) - 2007

In this paper we argue that, for a group of converging economies of the European Union, participation in the euro area has been associated with easier access to financing by domestic economic agents. Easier access to financing was a significant impulse leading to a sharp increase in households'...

Persistent link: https://www.econbiz.de/10003410605

Mortgage interest rate dispersion in the euro area

Sørensen, Christoffer Kok (contributor); … - 2007

Despite the remarkable economic and financial convergence over the last ten years in the euro area, mortgage interest rates still differ across countries. This note presents some stylised facts on the heterogeneity of mortgage interest rates across euro area countries on the basis of the...

Persistent link: https://www.econbiz.de/10003422842