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The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?

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

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Abstract

This study explores an important aspect of how the Austrian banking sector contributes to the propagation of aggregate shocks. Time series data for the 1995-2003 period are applied to examine the cyclical variations in interest rate spreads. Differentials between interest rates on loans and savings are not found to shrink in economic upturns, so there is no financial mechanism emanating from bank markups that would entail an amplification of macroeconomic fluctuations. But also the evidence for Austrian banks dampening the business cycle (a financial de-celerator) is not striking as the increases of interest rate spreads after shocks in the growth rate of real GDP are practically small.

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Paper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2006-02.

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Date of creation: Jul 2006
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Handle: RePEc:jku:econwp:2006_02

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Related research
Keywords: Interest rate spreads; business cycles; financial accelerator; impulse response analysis;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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Cited by:
(explanations, 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.)

  1. Johann Burgstaller, 2006. "Bank income and profits over the business and interest rate cycle," Economics working papers 2006-11, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
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