Interest rate pass-through in the EMU – new evidence using the nonlinear ARDL framework
Florian Verheyen ()
Economics Bulletin, 2013, vol. 33, issue 1, 729-739
This investigation puts the interest rate pass-through mechanism from policy to deposit rates in the EMU under closer scrutiny. By using the newly developed nonlinear ARDL framework of Shin et al. (2011), we are able to estimate asymmetric long-run as well as short-run coefficients. Previous studies usually assume symmetric long-run behaviour which is too restrictive according to our results. Based on fully harmonized data for three EMU countries and the EMU as a whole we disentangle short-run and long-run asymmetries as well as heterogeneity in the interest rate pass-through mechanism across EMU. Our results point to considerable asymmetries especially with regard to the long-run pass-through of money market rate changes as well as some heterogeneity between countries.
Keywords: interest rate pass-through; EMU; cointegration; nonlinearity (search for similar items in EconPapers)
JEL-codes: E4 E5 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00529
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