Is central bank news good news for loan interest rates volatility?

Xakousti Chrysanthopoulou, Alexandros Tsioutsios and Dimitrios Dimitriou ()

Economics Letters, 2023, vol. 233, issue C

Abstract: We develop a theoretical framework revealing a negative relationship between the volatility of loan interest rates and central bank transparency. Empirical analysis of G-7 economies supports this theoretical prediction. Additionally, this relationship is strengthening under tight macroprudential regulations.

Keywords: Central bank transparency; Loan interest rates volatility; Bank capital requirements; New Keynesian DSGE model; Panel and spectral analysis (search for similar items in EconPapers)
JEL-codes: C12 C33 E44 E52 E58 G28 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004378

DOI: 10.1016/j.econlet.2023.111411

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