Bank interest rate pass-through in the euro area: a cross country comparison
Christoffer Kok and
Thomas Werner
No 580, Working Paper Series from European Central Bank
Abstract:
The present paper investigates the pass-through between market interest rates and bank interest rates in the euro area. Compared to the large interest rate pass-through literature the paper mainly improves upon two points. First, a novel data set, partially based on new harmonised ECB bank interest rate statistics is used. Moreover, the market rates are selected in a way to match the maturities of bank and market rates using information provided by the new statistics. Secondly, new panel-econometric methods are applied to test for heterogeneity in the pass-through process. The paper shows a large heterogeneity in the pass-through of market rates to bank rates between euro area countries and finally possible explanations of the heterogeneity are discussed. JEL Classification: E43, G21
Keywords: euro area countries; Interest rate pass-through; panel cointegration (search for similar items in EconPapers)
Date: 2006-01
Note: 508948
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Citations: View citations in EconPapers (198)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006580
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