Money market uncertainty and retail interest rate fluctuations: A cross-country comparison

Burkhard Raunig and Johann Scharler

No 2007-04, Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria

Abstract: This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of 10 OECD countries. We find that, with the exception of the US, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the US we find that the effects of money market uncertainty are spread out over time. Our results are consistent with the hypothesis that banking relationships include implicit insurance arrangements and thereby reduce uncertainty.

Keywords: Interest Rate Pass-Through; Relationship Banking; Conditional Volatility (search for similar items in EconPapers)
JEL-codes: E43 G21 (search for similar items in EconPapers)
Date: 2007-02
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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http://www.econ.jku.at/papers/2007/wp0704.pdf (application/pdf)

Related works:
Journal Article: Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross‐Country Comparison (2009)
Journal Article: Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:jku:econwp:2007_04

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