Bank interest rate pass-through in the euro area: a cross country comparison

Christoffer Kok Sørensen () and Thomas Werner ()
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Thomas Werner: European Central Bank, Kaiserstrasse 29, Postfach 16 03 19, 60066 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

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: Interest rate pass-through; euro area countries; panel cointegration. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fin, nep-fmk, nep-ifn, nep-mac and nep-mon
Date: Written 2006-01
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