MODELING INTEREST RATE TRANSMISSION DYNAMICS IN GREECE. IS THERE ANY STRUCTURAL BREAK AFTER EMU?

Dionysios Chionis and Costas Leon
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Dionysios Chionis: DEMOCRITUS UNIVERSITY, GREECE

Macroeconomics from EconWPA

Abstract: We examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates become much more responsive to the policy rate in terms of impact multipliers and speed of convergence to the equilibrium, a consequence of the common monetary policy. However, the process is still not complete even after the accession into the EMU.

Keywords: interest rate pass-through; monetary policy; transmission dynamics; Greece. (search for similar items in EconPapers)
JEL-codes: E52 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ets, nep-fin, nep-ifn, nep-mac and nep-mon
Date: 2005-09-09
Note: Type of Document - pdf; pages: 25
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0509016

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