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.
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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)
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