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Interest rate pass-through estimates from vector autoregressive models

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Author Info
Johann Burgstaller () (Department of Economics, Johannes Kepler University Linz, Austria)

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Abstract

The empirical literature on interest rate transmission presents diverse and sometimes conflicting estimates. By discussing methodological and specification-related issues, the results of this paper contribute to the understanding of these differences. Eleven Austrian bank lending and deposit rates are utilized to illustrate the pass-through of impulses from monetary policy and banks’ cost of funds. Results from vector autoregressions suggest that the long-run pass-through is higher for movements in the bond market than of changes in money market rates. Deposit rates have no predictive content for lending rates beyond that of market interest rates.

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Publisher Info
Paper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2005-10.

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Date of creation: Dec 2005
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Handle: RePEc:jku:econwp:2005_10

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Related research
Keywords: Monetary policy transmission; interest rate pass-through; retail interest rates; vector autoregression; impulse-response functions;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
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; Mortgages

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References listed on IDEAS
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    Other versions:
  5. Boris Hofmann & Paul Mizen, 2004. "Interest Rate Pass-Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates," Economica, London School of Economics and Political Science, vol. 71, pages 99-123, 02. [Downloadable!] (restricted)
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    Other versions:
  15. Tkacz, Greg, 2001. "Endogenous thresholds and tests for asymmetry in US prime rate movements," Economics Letters, Elsevier, vol. 73(2), pages 207-211, November. [Downloadable!] (restricted)
  16. Marie Donnay & Hans Degryse, 2001. "Bank Lending Rate Pass-Through and Differences in the Transmission of a Single EMU Monetary Policy," Center for Economic Studies - Discussion papers ces0117, Katholieke Universiteit Leuven, Centrum voor Economische Studiën. [Downloadable!]
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    Other versions:
  18. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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