The Evolution of Loan Rate Stickiness Across the Euro Area

Jouchi Nakajima and Yuki Teranishi

No 09-E-10, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: To investigate the banking sector integration across euro area countries in terms of loan interest rate stickiness, we estimate structural loan rate curves for 12 euro area countries using time-varying regressions with stochastic volatility. Our results show that the loan rates are sticky to a policy interest rate in all countries for all loan maturities, the degree of stickiness differs across the countries, and the degree of difference is more prominent for longer loan maturities. For short-term loans, the loan rate stickiness decreases and for intermediate- and long-term loans the loan rate stickiness converge to average levels during the sample periods. Banking integration in the euro area is not yet complete, but the degree of heterogeneity in the loan rate stickiness decreases.

Keywords: banking integration; sticky loan interest rate; Bayesian analysis; time-varying regression; Markov chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: C11 C13 E43 E44 (search for similar items in EconPapers)
Date: 2009-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/09-E-10.pdf (application/pdf)

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:ime:imedps:09-e-10

Access Statistics for this paper

More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().