Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound

Christophe Blot () and Fabien Labondance
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Christophe Blot: OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po

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Abstract: We investigate whether ECB monetary policy influences the retail interest rates in the Euro Area when the policy rate reaches the effective lower bound. We estimate a panel Error Correction Model that accounts for potential heterogeneities in the transmission of monetary policy. The analysis disentangles alternative balance-sheet policies implemented by the ECB. We find that unconventional measures have influenced banking interest rates beyond the pass-through of the current and expected policy rate. These effects are driven by liquidity provisions and by the covered bond purchase programmes. Those policies have been effective in the core and in the peripheral countries; however, the effect of purchases of covered-bond has been stronger in the periphery.

Date: 2022-04-01
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Published in 2022, pp.5976-5990. ⟨10.1080/00036846.2022.2056126⟩

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Related works:
Working Paper: Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates since the Effective Lower Bound (2022)
Working Paper: Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03970444

DOI: 10.1080/00036846.2022.2056126

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