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Convergence of pass-through from money market to lending rates in EMU countries: new evidence

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Author Info

  • Toolsema, Linda A.
  • Sturm, Jan-Egbert
  • Haan, Jakob de

    (Groningen University)

Abstract

This paper examines whether the pass-through of monetary policy measures in 6 EMU countries has become more similar over time. The countries included are: Belgium, France, Germany, Italy, the Netherlands and Spain, and the sample period is 1980-2000. We conclude that major differences in pass-through exist in our sample, notably for the initial response to policy-induced interest rate changes. However, there is some (weak) evidence for convergence of monetary policy transmission.

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File URL: http://irs.ub.rug.nl/ppn/241147190
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Bibliographic Info

Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200206.

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Date of creation: 2002
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Handle: RePEc:dgr:rugccs:200206

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Cited by:
  1. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Department of Economics 0524, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  2. Kleimeier,Stefanie & Sander,Harald, 2004. "Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Eurozone Retail Banking," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Department of Economics 0549, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  4. Wang, Kuan-Min & Lee, Yuan-Ming, 2009. "Market volatility and retail interest rate pass-through," Economic Modelling, Elsevier, vol. 26(6), pages 1270-1282, November.
  5. Kleimeier,Stefanie & Sander,Harald, 2005. "Regional Versus Global Integration of Euro Zone Retail Banking Markets: Understanding the Recent Evidence from Price-Based Integration Measures," Research Memorandum 031, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  6. Kok, Christoffer & Werner, Thomas, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 0580, European Central Bank.
  7. Giuseppe Marotta, 2008. "Structural breaks in the lending interest rate pass-through and the euro," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08031, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  8. Haughton, Andre Yone & Iglesias, Emma M., 2012. "Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to US and Asia," Economic Modelling, Elsevier, vol. 29(6), pages 2071-2089.
  9. Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.

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