Regional interest rate pass-through in Italy
AbstractThis paper estimates the pass-through and speed of adjustment of Italian regional interest rates to changes in the money market rate for the period 1998Q1-2009Q4. Our main findings suggest that the markup for the lending rates that banks charge are generally higher in the South than in the North. Moreover, our results indicate that the pass-through tends to be longer in Southern regions. We find little evidence supporting the hypothesis of asymmetric adjustment in the lending rates, but detect some evidence supporting upward rigidity in the regional deposit rates.
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Bibliographic InfoPaper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number 12-308.
Length: 21 pages
Date of creation: Aug 2012
Date of revision:
Interest rates pass-through; monetary policy; error correction model;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
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