Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets
Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets
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欧元区零售银行市场的预期与意外货币政策冲动和利率传导
DOI：
10.1016/j.jbankfin.2005.07.006
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
H. Sander
中科院分区：
文献类型：
--
作者：
S. Kleimeier;H. Sander
本文通过区分预期和意外的货币政策冲动，研究了欧元区零售银行市场的利率传递。本文将利率期货作为预期利率的测度引入传递研究。通过允许各种规格的传递过程，包括不对称调整，我们发现一个更快的传递在贷款市场时，利率的变化是正确的预期。相比之下，存款市场则较为僵化。总体而言，我们的研究结果表明，一个良好的沟通货币政策是重要的，更快，更同质的传递，但也可以通过竞争政策的补充。
This paper investigates the interest rate pass-through in the euro-zone’s retail banking markets by differentiating between expected and unexpected monetary policy impulses. The paper introduces interest futures as measures of expected interest rates into pass-through studies. By allowing various specifications of the pass-through process, including asymmetric adjustment, we find a faster pass-through in loan markets when interest rate changes are correctly anticipated. In contrast, deposit markets are found to be more rigid. Overall, our results suggest that a well-communicated monetary policy is important for a speedier and a more homogenous pass-through but may also be complemented by competition policies.