Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison
Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison
复制标题
欧元区银行利率传导：跨国比较
DOI：
10.2139/ssrn.873596
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
T. Werner
中科院分区：
文献类型：
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作者：
Christoffer Kok;T. Werner
本文研究了欧元区市场利率与银行利率之间的传递。与大额利率传导文献相比，本文主要改进了两点。首先，使用部分基于新的统一欧洲央行银行利率统计数据的新颖数据集。此外，使用新统计数据提供的信息，选择市场利率，以匹配银行和市场利率的期限。其次，应用新的面板计量经济学方法来检验传递过程中的异质性。本文展示了欧元区国家之间市场利率向银行利率传递的巨大异质性，最后讨论了这种异质性的可能解释。 JEL分类：E43、G21
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
DOI：
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发表时间：
1999
期刊：
--
影响因子：
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作者：
P. Pedroni
通讯作者：
P. Pedroni