We analyze the dynamics of the bank interest rates on the new short-term loans granted to non-financial corporations in seven countries of the euro area (France, Germany, Greece, Ireland, Italy, Portugal and Spain). Our specification is based on a multivariate diffusion model, involving factors...

We analyse the dynamics of the pass-through of banks' marginal cost to bank lending rates over the 2008 crisis and the euro area sovereign debt crisis in France, Germany, Greece, Italy, Portugal and Spain. We measure banks' marginal cost by their rate on new deposits, contrary to the literature...

Using two estimated models for the euro area and the United States, this paper investigates whether the observed difference in the amplitude of the interest rate cycle since 1999 in both areas is due to differences in the estimated monetary policy reaction function, differences in the structure...