The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

Timo Wollmershäuser, Nikolay Hristov and Oliver Hülsewig

VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order from Verein für Socialpolitik / German Economic Association

Abstract: This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro area banks to the global financial crisis. We focus on their interest rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding is that the pass through from changes in the money market rate to retail bank rates became significantly less complete during the crisis. Model simulations show that this result can be well explained by a significant increase in the frictions that the banks business is subject to.

JEL-codes: E40 E43 E52 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The interest rate pass-through in the Euro area during the global financial crisis (2014)
Working Paper: The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc13:79976

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