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Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model
Schwarzbauer, Wolfgang - Department of Economics and Finance Research and … - 2006
issue that arose in Europe in the late 1990s: the importance of financial structure for the convergence of monetary … importance of financial structure and its impact on the convergence of the effects of monetary policy. We find convergence in … convergence of monetary transmission in Europe. …
Persistent link: https://www.econbiz.de/10005764205
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Financial structure and its impact on the convergence of interest rate pass-through in Europe : a time-varying interest rate pass-through model
Schwarzbauer, Wolfgang - 2006
convergence of monetary transmission in Europe. -- convergence ; interest rate pass-through ; EMU ; financial structure ; money … issue that arose in Europe in the late 1990s: the importance of financial structure for the convergence of monetary … importance of financial structure and its impact on the convergence of the effects of monetary policy. We find convergence in …
Persistent link: https://www.econbiz.de/10009732582
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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
This study will put under close scrutiny the monetary transmission process in the eurozone between 2003 and 2011. To this purpose, we investigate the interest rate pass-through from money market rates to various loan rates for up to twelve countries of the European Monetary Union. Applying a...
Persistent link: https://www.econbiz.de/10010209958
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Negative interest rates, excess liquidity and retail deposits : banks' reaction to unconventional monetary policy in the euro area
Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2019
Negative monetary policy rates are associated with a particular friction because the remuneration of retail deposits tends to be floored at zero. We investigate whether this friction affects banks’ reactions when the policy rate is lowered to negative levels, compared to a standard rate cut in...
Persistent link: https://www.econbiz.de/10012009191
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Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves
Basten, Christoph; Mariathasan, Mike - 2020
We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates....
Persistent link: https://www.econbiz.de/10012419657
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Going below zero - how do banks react?
Michaelis, Henrike - 2022
Exploiting confidential data on individual German bank balance-sheets, I analyse what characterises a bank that opts to apply negative interest rates to corporate deposits. The results suggest that banks that are highly exposed to the negative interest rate policy (NIRP), i.e. funded by a larger...
Persistent link: https://www.econbiz.de/10013361902
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Monetary Policy and Excessive Bank Risk Taking
Agur, Itai - 2011
This paper shows that a rate hike has countervailing effects on banks' risk appetite. It reduces risk when the debt burden of the banking sector is modest. We model a regulator whose trade-off between bank risk and credit supply is derived from a welfare function. We show that the regulator...
Persistent link: https://www.econbiz.de/10013119110
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Asymmetric Interest Rate Pass-Through from Monetary Policy : The Role of Bank Regulation
Roelands, Sebastian - 2012
When the monetary policy rate increases, banks increase loan rates fairly quickly and by roughly the same amount. However, when the policy rate falls, bank loan rates adjust more slowly and not completely. I develop a model with which I show that this asymmetry in interest rate pass-through can...
Persistent link: https://www.econbiz.de/10013101000
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Interest Rate Deregulation : Monetary Policy Efficacy and Rate Rigidity
Chong, Beng Soon - 2010
This paper examines the effects of interest rate regulation, and subsequent deregulation, on the efficacy of monetary policy and rigidity of retail bank deposit rates in Hong Kong. Using an error correction model, we find that interest rate deregulation increases the efficacy of monetary policy...
Persistent link: https://www.econbiz.de/10013148256
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Monetary policy, credit institutions and the bank lending channel in the euro area
Altavilla, Carlo; Andreeva, Desislava Č.; Boucinha, Miguel - 2019
As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks’ balance sheets can have very sizeable implications for the transmission of monetary policy. This paper provides an overview of developments in banks’ balance sheets,...
Persistent link: https://www.econbiz.de/10012009071