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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

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

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

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

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

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

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