Interest rate pass-through estimates from vector autoregressive models

Johann Burgstaller ()

No 2005-10, Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria

Abstract: The empirical literature on interest rate transmission presents diverse and sometimes conflicting estimates. By discussing methodological and specification-related issues, the results of this paper contribute to the understanding of these differences. Eleven Austrian bank lending and deposit rates are utilized to illustrate the pass-through of impulses from monetary policy and banks’ cost of funds. Results from vector autoregressions suggest that the long-run pass-through is higher for movements in the bond market than of changes in money market rates. Deposit rates have no predictive content for lending rates beyond that of market interest rates.

Keywords: Monetary policy transmission; interest rate pass-through; retail interest rates; vector autoregression; impulse-response functions (search for similar items in EconPapers)
JEL-codes: E43 E52 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ets, nep-mac and nep-mon
Date: 2005-12
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Persistent link: http://EconPapers.repec.org/RePEc:jku:econwp:2005_10

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