Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison

By Christoffer Kok, Thomas Werner. Social Science Research Network, 2006

167 citations recorded by the source corpus.

The present paper investigates the pass-through between market interest rates and bank interest rates in the euro area. Compared to the large interest rate pass-through literature the paper mainly improves upon two points. First, a novel data set, partially based on new harmonised ECB bank interest rate statistics is used. Moreover, the market rates are selected in a way to match the maturities of bank and market rates using information provided by the new statistics. Secondly, new panel-econometric methods are applied to test for heterogeneity in the pass-through process. The paper shows a large heterogeneity in the pass-through of market rates to bank rates between euro area countries and finally possible explanations of the heterogeneity are discussed. JEL Classification: E43, G21

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b01e592fa620040e94fbfc6b90d71d78375eaa13

Citations in the corpus

• Macroeconomic Propagation Under Different Regulatory Regimes: Evidence From an Estimated DSGE Model For the Euro Area (2010, unknown): “27See, e.g., Gordy and Howells (2006), Zhu (2008), Boissay and Kok Sørensen (2009), and Jokivuolle, Kiema, and Vesala (2009).”
• Taxes and Bank Capital Structure (2016, unknown): “…on the monetary transmission mechanism in the Eurozone has shown that the transmission of policy rates to the actual rates that banks charge can vary for different countries and different types of banks (see, e.g., Van Leuvensteijn et al. (2013) , Kok and Werner (2006), De Graeve et al. (2007)).”