Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK
Giuseppe Marotta ()
Department of Economics from University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
We search for breaks in the short term business lending rate pass-through in euro countries, possibly associated with the introduction of the euro. One break is detected in six national retail rates among EMU countries; two breaks are found in other six cases, and in the UK as well. The last break occurs much earlier for France while several quarters later for other countries, suggesting a loose link if ever with the event. Pass-throughs decrease (except for France), becoming even more incomplete (except for Netherlands); though the adjustment to equilibrium is faster, cross-country heterogeneity remains fairly large. With the new harmonized interest rates database, available since 2003, pass-throughs are much closer to one, especially for larger loans.
Keywords: Interest rates; Monetary policy; Economic and Monetary Union (EMU); Cointegration analysis; Structural breaks (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 F36 (search for similar items in EconPapers)
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Working Paper: Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:mod:depeco:0549
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