In this paper, nominal interest rate linkages between 11 OECD countries are examined. As required for the uncovered interest parity (UIP) to hold empirically, the differentials between the interest rates of Germany (or the US) and the other countries should be stationary. Monthly short-term,...

User costs of housing are a major part of a household’s expenditure.I empirically investigate the heterogeneous impact of an unanticipatedexpansionary monetary policy on housing markets and householdtenurial decision by exploiting the user cost of housing channel.Drawing on a Swiss household...

Usually the higher Government Debt country borrows money from other countries having lower Government Debt. This will end up with a higher lending rate in all countries. So, the spillover of a high debt problem in one country will cause pressures for higher interest rates in all remaining...

Climate change is an existential threat to the global economy and financial markets. There is a large body of literature documenting potential macroeconomic consequences of climate change, but firm-level empirical research on how climate change affects the performance of firms remains scarce....

This paper studies banks' loan pricing behaviour in mainland China from 2003-2013 by applying panel regressions to firm-level loan data and estimated default likelihood for listed companies. We find that, with the progress of market-oriented financial reforms, banks generally require...

This paper analyzes the pass-through of money market rates to retail interest rates in the Belgian banking market using disaggregate data and allowing for heterogeneous price setting behavior. We find that 1) corporate loans are priced more competitively than consumer loans, 2) pass-through is...

This paper analyzes the pass-through of money market rates to retail interest rates in the Belgian banking market using disaggregate data and allowing for heterogeneous price setting behavior. We find that 1) corporate loans are priced more competitively than consumer loans, 2) pass-through is...

The calibration of financial models is a laborious, time-consuming and expensive task, which needs to be performed frequently by financial institutions. Recently, the application of artificial neural networks (ANNs) for calibration has gained interest. This paper provides the first comprehensive...

This study contributes to the literature by estimating Interest Rate Pass Through (IRPT) using Pakistani aggregate banks’ lending and deposit rate data. Lending and deposit rates are estimated to be sluggish in terms of their response to a change in monetary policy rate. There is also evidence...

This study presents empirical evidence about the determinants of long-term government bond yields for 19 economies of the European Monetary Union (EMU) over the period 1995-2018 within a multivariate panel framework. The fixed effects estimators reveal that the relationship between public debt...