Interest Rate Pass-through in an Enlarged Europe: The Role of Banking Market Structure for Monetary Policy Transmission in Transition Countries
AbstractThis study investigates the transmission of monetary policy onto retail bank interest rates inthe eight Central and Eastern European countries (CEECs) that joined the European Union in2004. Focussing on the period from 1993 to 2003, we employ a unifying empirical passthrough model that allows for thresholds, asymmetric adjustment, and structural changes over time. Our results show that the pass-through in many CEECs is faster and more complete than in the eurozone and that there may be a high potential for convergence of the pass-through across CEECs with market concentration, bank health, foreign bank participation and monetary policy regime as conditioning factors.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 045.
Date of creation: 2004
Date of revision:
Contact details of provider:
Web page: http://www.maastrichtuniversity.nl/web/UMPublications.htm
monetary economics ;
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Schüler, Martin & Heinemann, Friedrich, 2002.
"How integrated are the European retail financial markets? A cointegration analysis,"
3b, Deutsche Bank Research.
- Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Sander, Harald & Kleimeier, Stefanie, 2004.
"Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration,"
Journal of International Money and Finance,
Elsevier, vol. 23(3), pages 461-492, April.
- Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- repec:ner:maastr:urn:nbn:nl:ui:27-15182 is not listed on IDEAS
- FFF1Jitka NNN1Rychtarikova, 2004. "The case of the Czech Republic," Demographic Research Special Collections, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 2(5), pages 105-138, April.
- Linda A. Toolsema & Jan-Egbert Sturm & Jakob de Haan, 2001. "Convergence of Monetary Transmission in EMU New Evidence," CESifo Working Paper Series 465, CESifo Group Munich.
- Chmielewski, Tomasz, 2003. "Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances," MPRA Paper 5133, University Library of Munich, Germany, revised 31 Jan 2004.
- Jesús Crespo-Cuaresma & Balázs Égert & Thomas Reininger, 2004. "Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series 2004-671, William Davidson Institute at the University of Michigan.
- repec:ner:maastr:urn:nbn:nl:ui:27-15177 is not listed on IDEAS
- Mojon, Benoît, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 0040, European Central Bank.
- Heinemann, Friedrich & Schüler, Martin, 2002. "Integration benefits on EU retail credit markets: evidence from interest rate pass-through," ZEW Discussion Papers 02-26, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Carlo Cottarelli & Giovanni Ferri & Andrea Generale, 1995.
"Bank Lending Rates and Financial Structure in Italy: A Case Study,"
IMF Staff Papers,
Palgrave Macmillan, vol. 42(3), pages 670-700, September.
- Giovanni Ferri & Carlo Cottarelli & Andrea Generale, 1995. "Bank Lending Rates and Financial Structure in Italy: A Case Study," IMF Working Papers 95/38, International Monetary Fund.
- Saunders, Anthony & Schumacher, Liliana, 2000. "The determinants of bank interest rate margins: an international study," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 813-832, December.
- Kleimeier,Stefanie & Sander,Harald, 2002. "European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market," Research Memoranda 060, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- anonymous, 2004. "Asset prices and monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 67, march.
- Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2002.
"Real and monetary convergence within the European Union and between the European Union and candidate countries: A rolling cointegration approach,"
ZEI Working Papers
B 05-2002, ZEI - Center for European Integration Studies, University of Bonn.
- Josef C. Brada & Ali M. Kutan & Su Zhou, 2002. "Real and Monetary Convergence within the European Union and Between the European Union and Candidate Countries: A Rolling Cointegration Approach," William Davidson Institute Working Papers Series 458, William Davidson Institute at the University of Michigan.
- Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
- Claudio E. V. Borio & Wilhelm Fritz, 1995. "The response of short-term bank lending rates to policy rates: a cross-country perspective," BIS Working Papers 27, Bank for International Settlements.
- Kleimeier, Stefanie & Sander, Harald, 2000. "Regionalisation versus globalisation in European financial market integration: Evidence from co-integration analyses," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 1005-1043, June.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Nikoloz Gigineishvili, 2011. "Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?," IMF Working Papers 11/176, International Monetary Fund.
- Balázs Égert & Ronald MacDonald, 2006.
"Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable,"
MNB Working Papers
2006/5, Magyar Nemzeti Bank (the central bank of Hungary).
- Balazs Egert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," CESifo Working Paper Series 1739, CESifo Group Munich.
- Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
- Jane BOGOEV, 2010. "Investigation Of The Determinants Of The Adjustment Of Lending Rates In Macedonia – A Sur Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 89-116, December.
- Ana-Maria Fuertes & Shelagh A. Heffernan, 2009. "Interest rate transmission in the UK: a comparative analysis across financial firms and products," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 45-63.
- Marius Constantin Apostoaie, 2011. "Analysis Of The Main Structural Characteristics Of The Romanian Financial System," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 3, pages 452-467, December.
- Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," National Bank of Poland Working Papers 114, National Bank of Poland, Economic Institute.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Charles Bollen).
If references are entirely missing, you can add them using this form.