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Is central bank news good news for loan interest rates volatility?

Author

Listed:
  • Chrysanthopoulou, Xakousti
  • Tsioutsios, Alexandros
  • Dimitriou, Dimitrios

Abstract

We develop a theoretical framework revealing a negative relationship between the volatility of loan interest rates and central bank transparency. Empirical analysis of G-7 economies supports this theoretical prediction. Additionally, this relationship is strengthening under tight macroprudential regulations.

Suggested Citation

  • Chrysanthopoulou, Xakousti & Tsioutsios, Alexandros & Dimitriou, Dimitrios, 2023. "Is central bank news good news for loan interest rates volatility?," Economics Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004378
    DOI: 10.1016/j.econlet.2023.111411
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    More about this item

    Keywords

    Central bank transparency; Loan interest rates volatility; Bank capital requirements; New Keynesian DSGE model; Panel and spectral analysis;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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