Money market uncertainty and retail interest rate fluctuations: A cross-country comparison
AbstractThis paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of 10 OECD countries. We find that, with the exception of the US, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the US we find that the effects of money market uncertainty are spread out over time. Our results are consistent with the hypothesis that banking relationships include implicit insurance arrangements and thereby reduce uncertainty.
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 Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2007-04.
Date of creation: Feb 2007
Date of revision:
Interest Rate Pass-Through; Relationship Banking; Conditional Volatility;
Other versions of this item:
- Burkhard Raunig & Johann Scharler, 2009. "Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison," German Economic Review, Verein für Socialpolitik, vol. 10, pages 176-192, 05.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- 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-2007-02-24 (All new papers)
- NEP-CBA-2007-02-24 (Central Banking)
- NEP-EEC-2007-02-24 (European Economics)
- NEP-MAC-2007-02-24 (Macroeconomics)
- NEP-MON-2007-02-24 (Monetary Economics)
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.:
- Bakhtiar Moazzami, 1999. "Lending rate stickiness and monetary transmission mechanism: the case of Canada and the United States," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 533-538.
- Berlin, Mitchell & Mester, Loretta J, 1999.
"Deposits and Relationship Lending,"
Review of Financial Studies,
Society for Financial Studies, vol. 12(3), pages 579-607.
- 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 Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Martinez-PagÈs & Patrick Sevestre & Andreas Worms, 2003. "The Effects of Monetary Policy in the Euro Area," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 58-72.
- 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.
- Mojon, Benoît, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 0040, European Central Bank.
- Paramsothy Silvapulle & Merran Evans, 1998. "Testing for serial correlation in the presence of dynamic heteroscedasticity," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 31-55.
- Gabe J. de Bondt, 2005. "Interest Rate Pass-Through: Empirical Results for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 6(1), pages 37-78, 02.
- Franklin Allen & Douglas Gale, 2001. "Comparative Financial Systems: A Survey," Center for Financial Institutions Working Papers 01-15, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Allen N. Berger & Gregory F. Udell, 1990.
"Some evidence on the empirical significance of credit rationing,"
Finance and Economics Discussion Series
105, Board of Governors of the Federal Reserve System (U.S.).
- Berger, Allen N & Udell, Gregory F, 1992. "Some Evidence on the Empirical Significance of Credit Rationing," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 1047-77, October.
- Claudia Kwapil & Johann Scharler, 2007.
"Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability,"
Money Macro and Finance (MMF) Research Group Conference 2006
65, Money Macro and Finance Research Group.
- Kwapil, Claudia & Scharler, Johann, 2010. "Interest rate pass-through, monetary policy rules and macroeconomic stability," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 236-251, March.
- Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Working Papers 118, Oesterreichische Nationalbank (Austrian 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.
- de Bondt, Gabe & Mojon, Benoît & Valla, Natacha, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 0518, European Central Bank.
- Angelini, P. & Di Salvo, R. & Ferri, G., 1998. "Availability and cost of credit for small businesses: Customer relationships and credit cooperatives," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 925-954, August.
- Silvapulle, P. & Evans, M., 1996. "Testing for Serial Correlation in the of Dynamic Heteroscedasticity," Monash Econometrics and Business Statistics Working Papers 7/96, Monash University, Department of Econometrics and Business Statistics.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ren� B�heim).
If references are entirely missing, you can add them using this form.