The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?
AbstractThis 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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Bibliographic InfoPaper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2006-02.
Date of creation: Jul 2006
Date of revision:
Interest rate spreads; business cycles; financial accelerator; impulse response analysis;
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; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
- NEP-BAN-2006-07-15 (Banking)
- NEP-CBA-2006-07-15 (Central Banking)
- NEP-FIN-2006-07-15 (Finance)
- NEP-FMK-2006-07-15 (Financial Markets)
- NEP-MAC-2006-07-15 (Macroeconomics)
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