Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison

Burkhard Raunig and Johann Scharler

German Economic Review, 2009, vol. 10, issue 2, 176-192

Abstract: This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD countries.We find that, with the exception of the United States, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the United States, we find that the effects of money market uncertainty are spread out over time. Our results also indicate that money market uncertainty tends to be passed on to retail rates to a lesser extent in countries where banking relationships play a substantial role.

Keywords: Interest rate pass-through; relationship banking; conditional volatility (search for similar items in EconPapers)
Date: 2009
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Journal Article: Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross‐Country Comparison (2009)
Working Paper: Money market uncertainty and retail interest rate fluctuations: A cross-country comparison (2007)
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DOI: 10.1111/j.1468-0475.2008.00454.x

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