Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound

Christophe Blot () and Fabien Labondance
Additional contact information
Christophe Blot: Sciences Po – OFCE & Université Paris Ouest Nanterre - EconomiX

No 2021-03, Working Papers from CRESE

Abstract: We investigate whether monetary policy influences the retail interest rates in the Euro Area when the policy rate reaches the effective lower bound. We estimate a panel-Error Correction Model that accounts for potential heterogeneities in the transmission of monetary policy. The analysis disentangles alternative non-standard measures implemented by the ECB. We find that unconventional measures have influenced banking interest rates beyond the pass-through of the current and expected policy rate. These effects are driven by liquidity provisions in core countries and by covered bond purchase programmes in peripheral ones.

Keywords: Unconventional measures; retail interest rate; Heterogeneous panel (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G21 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2021-07
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://crese.univ-fcomte.fr/uploads/wp/WP-2021-03.pdf First version, 2021 (application/pdf)

Related works:
Working Paper: Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound (2021)
Working Paper: Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crb:wpaper:2021-03

Access Statistics for this paper

More papers in Working Papers from CRESE Contact information at EDIRC.
Bibliographic data for series maintained by Laurent Kondratuk ().