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Multiple breaks in lending rate pass-through A cross country study for the euro area

Gianluca Di Lorenzo () and Giuseppe Marotta ()

Department of Economics from University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

Abstract: A new approach is proposed for searching multiple unknown breaks, possibly associated with EMU, in the short term business lending rate pass-through. Multiple breaks are detected in five out of nine countries of the euro area. The last break occurs much before the start of EMU for France, several months after that event for Austria, Italy and Germany. Long run pass-throughs decrease (except for France) sizably below one (except for the Netherlands); heterogeneity in the monetary transmission increases across countries. These results raise doubts on claims of a more effective monetary policy under EMU.

Keywords: Interest rates; Monetary policy; Economic and Monetary Union; Cointegration analysis; Structural breaks (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 F36 (search for similar items in EconPapers)
Date: 2006-02
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Related works:
Working Paper: Multiple breaks in lending rate pass-through A cross country study for the euro area (2006) Downloads
Working Paper: Multiple breaks in lending rate pass-through A cross country study for the euro area (2006) Downloads
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Persistent link: http://EconPapers.repec.org/RePEc:mod:depeco:0524

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