Interest Rate Transmission to Commercial Credit Rates in Austria
AbstractThe transmission process from policy-controlled interest rates to bank lending rates deserves reconsideration owing to the implementation of the European Monetary Union (EMU) in 1999. Additional attention to the subject in Austria is due to several large banks which, in 2002, have been charged for not passing on interest rate decreases to their customers. I examine dynamic responses of commercial credit rates to changes in key policy rates and money market rates. Using Austrian data from 1995 to 2002, I show that strength and speed of interest rate transmission depend on whether rates go up or down. With the EMU, asymmetry in interest rate transmission partly declined. The speed of transmission and the relative importance of policy and money market rates for commercial credit rates also were affected.
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Bibliographic InfoPaper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2003-06.
Date of creation: May 2003
Date of revision:
Monetary policy transmission; interest rate pass-through; bank lending rates for commercial credit; European Monetary Union; impulse-response analysis;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-29 (All new papers)
- NEP-CBA-2003-05-29 (Central Banking)
- NEP-EEC-2003-05-29 (European Economics)
- NEP-FIN-2003-05-29 (Finance)
- NEP-IFN-2003-05-29 (International Finance)
- NEP-MAC-2003-05-29 (Macroeconomics)
- NEP-RMG-2003-05-29 (Risk Management)
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