The effect of inter-country competition on interest rate pass-through in the European Union

Rishav Bista, Biniv Maskay and James Saunoris

International Journal of Monetary Economics and Finance, 2012, vol. 5, issue 2, 169-182

Abstract: Using monthly data on countries in the European Union (EU) over seven years, this study examines the pass-through of the Central Bank (CB) rate to retail lending interest rates. Recent advances in spatial econometric methods allows for relaxing the assumption of perfect competition in interest rates by specifically modelling the spatial interaction of countries within the EU. Questions concerning the effect of spatial interaction on the pass-through of the CB rate to the lending rates are of particular interest. The results indicate statistically significant spatial interaction among countries, which results in faster pass-through.

Keywords: monetary policy transmission; EU; European Union; interest rate pass-through; spatial econometrics; interest rates; modelling; spatial interaction. (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=48735 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:5:y:2012:i:2:p:169-182

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().