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Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison

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  • Burkhard Raunig
  • Johann Scharler

Abstract

This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD countries. We find that, with the exception of the United States, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the United States, we find that the effects of money market uncertainty are spread out over time. Our results also indicate that money market uncertainty tends to be passed on to retail rates to a lesser extent in countries where banking relationships play a substantial role. Copyright 2009 The Authors. Journal Compilation 2009 Verein für Socialpolitik and Blackwell Publishing Ltd. 2009.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0475.2008.00454.x
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Bibliographic Info

Article provided by Verein für Socialpolitik in its journal German Economic Review.

Volume (Year): 10 (2009)
Issue (Month): (05)
Pages: 176-192

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Handle: RePEc:bla:germec:v:10:y:2009:i::p:176-192

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  1. de Bondt, Gabe & Mojon, Benoît & Valla, Natacha, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 0518, European Central Bank.
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Cited by:
  1. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.

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