The Impact of the Euro on the Retail Bank Interest Rate Pass-Through

Released on by Dr. John Aggelis
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  • The Impact of the Euro on the Retail Bank Interest Rate Pass-Through Book Detail

  • Author : Dr. John Aggelis
  • Release Date : 2006
  • Publisher :
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  • File Size : 56,56 MB
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The Impact of the Euro on the Retail Bank Interest Rate Pass-Through by Dr. John Aggelis PDF Summary

Book Description: The dynamic relationship between the key policy interest rate and different short-term lending and saving rates is analysed by measuring the pass-through process between these interest rates in the banking systems of Euro area countries. This paper also examines the interdependencies between the Euro area retail banking markets. In order to capture efficiently these relationships, this study employed an impulse response model, based on VAR specification. This study focuses on the period from January 1985 to January 2004 as well as on the pre- and post Euro sub-periods. The impulse response model showed that policy controlled interest rates are not immediately reflected in retail bank interest rates. The results of this study provide evidence that the pass-through is higher in the longer term. It is evident from the impulse response results that consumer lending and saving rates are stickier than other bank retail rates, for most of the Euro area countries. It is also evident that some Euro area countries display stickier interest rate series than others. The introduction of the Euro as common currency in the eleven countries studied led to a slower and weaker pass-through process for most Eurozone countries, as the impulse response empirical analysis shows.

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Negative Interest Rate Policy (NIRP)

Negative Interest Rate Policy (NIRP)

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More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative intere