The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?

Johann Burgstaller

No 2006-02, Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria

Abstract: This study explores an important aspect of how the Austrian banking sector contributes to the propagation of aggregate shocks. Time series data for the 1995-2003 period are applied to examine the cyclical variations in interest rate spreads. Differentials between interest rates on loans and savings are not found to shrink in economic upturns, so there is no financial mechanism emanating from bank markups that would entail an amplification of macroeconomic fluctuations. But also the evidence for Austrian banks dampening the business cycle (a financial de-celerator) is not striking as the increases of interest rate spreads after shocks in the growth rate of real GDP are practically small.

Keywords: Interest rate spreads; business cycles; financial accelerator; impulse response analysis (search for similar items in EconPapers)
JEL-codes: E32 G21 (search for similar items in EconPapers)
Date: 2006-07
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fin, nep-fmk and nep-mac
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jku:econwp:2006_02

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