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Interest rate pass-through in the EMU : new evidence from nonlinear cointegration techniques for fully harmonized data
Beckmann, Joscha; Belke, Ansgar; Verheyen, Florian - 2012
countries of the European Monetary Union. Applying a variety of cointegration techniques, we first test for a long …
Persistent link: https://www.econbiz.de/10010209958
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One Size Does Not Fit All. A Non-Linear Analysis of European Monetary Transmission
Cifarelli, Giulio - 2016
/or stochastic structural breaks. We detect significant differences across countries. Cointegration between the Euribor and the long …
Persistent link: https://www.econbiz.de/10013005706
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Time-Varying Mark-Up and the ECB Monetary Policy Transmission in a Highly Non Linear Framework
Cifarelli, Giulio - 2016
This paper investigates the interest rate pass-through in eight European countries and allows for a mark-up which can be affected by country specific funding conditions and/or stochastic structural breaks. In the Southern European countries of the sample the long-run pass-through is directly...
Persistent link: https://www.econbiz.de/10012988165
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How related are interbank and lending interest rates? : evidence on selected European Union countries
Heryán, Tomáš; Stavárek, Daniel - In: European financial and accounting journal : EFAJ 5 (2010) 3/4, pp. 42-55
January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …
Persistent link: https://www.econbiz.de/10011459815
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Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework
Cifarelli, Giulio; Paladino, Giovanna - In: International review of economics & finance : IREF 45 (2016), pp. 247-262
Persistent link: https://www.econbiz.de/10011626354
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Interest rate pass-through : a nonlinear vector error-correction approach
Popiel, Michal Ksawery - 2015
This paper analyzes pass-through from money market rates to consumer retail loan and deposit rates in Canada from 1983 to 2015 using a nonlinear vector error-correction model. In contrast to empirical frameworks used in previous studies, this model permits estimation of long-run pass-through...
Persistent link: https://www.econbiz.de/10011392140
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Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area : An Empirical Investigation into Interest Rate Pass-Through
Sander, Harald; Kleimeier, Stefanie - 2001
on cointegration analyses allowing for structural breaks and symmetric as well as for a variety of asymmetric adjustment …
Persistent link: https://www.econbiz.de/10014128699
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Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area : An Empirical Investigation into Interest Rate Pass-Through
Sander, Harald; Kleimeier, Stefanie - 2001
error correction mechanism, which is obtained from cointegration analyses allowing for structural breaks and symmetric as …
Persistent link: https://www.econbiz.de/10014122856
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Future of the Economic and Monetary Union
Gortsos, Christos V. - 2022
recent major crises, of the legal framework governing the European Economic and Monetary Union (EMU), as well as current … of the EMU.The following Section II (“The Impact of the Three Major Crises During the Period 2007-2021”) develops on how …
Persistent link: https://www.econbiz.de/10014077291
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Interest rate pass-through in the EMU : new evidence from nonlinear cointegration techniques for fully harmonized data
Belke, Ansgar; Beckmann, Joscha; Verheyen, Florian - 2012
pass-through ; EMU ; cointegration ; ARDL bounds testing ; smooth transition models … the European Monetary Union. Applying different cointegration techniques, we first test for a long-run relationship …
Persistent link: https://www.econbiz.de/10009579322