This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Multiple breaks in lending rate pass-through A cross country study for the euro area

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Gianluca Di Lorenzo ()
Giuseppe Marotta ()

Additional information is available for the following registered author(s):

Abstract

A new approach to search for structural breaks in the retail lending rA new approach is proposed for searching multiple unknown breaks, possibly associated with EMU, in the short term business lending rate pass-through. Multiple breaks are detected in five out of nine countries of the euro area. The last break occurs much before the start of EMU for France, several months after that event for Austria, Italy and Germany. Long run pass-throughs decrease (except for France) sizably below one (except for the Netherlands); heterogeneity in the monetary transmission increases across countries. These results raise doubts on claims of a more effective monetary policy under EMU.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.economia.unimore.it/marotta_giuseppe/murst/multiple.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica in its series Heterogeneity and monetary policy with number 0602.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: pages 31
Date of creation: Feb 2006
Date of revision:
Handle: RePEc:mod:modena:0602

Contact details of provider:
Web page: http://www.economia.unimore.it
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Giuseppe Marotta).

Related research
Keywords: Interest rates Monetary policy Economic and Monetary Union Cointegration analysis Structural breaks

Other versions of this item:

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November. [Downloadable!] (restricted)
  2. Gabe J. de Bondt, 2005. "Interest Rate Pass-Through: Empirical Results for the Euro Area," German Economic Review, Blackwell Publishing, vol. 6(1), pages 37-78, 02. [Downloadable!] (restricted)
  3. Berlin, Mitchell & Mester, Loretta J., 1998. "On the profitability and cost of relationship lending," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 873-897, August. [Downloadable!] (restricted)
    Other versions:
  4. Toolsema, Linda A. & Sturm, Jan-Egbert & Haan, Jakob de, 2002. "Convergence of pass-through from money market to lending rates in EMU countries: new evidence," CCSO Working Papers 200206, University of Groningen, CCSO Centre for Economic Research. [Downloadable!]
  5. Dionysios Chionis & Costas Leon, 2005. "Modeling Interest Rate Transmission Dynamics In Greece. Is There Any Structural Break After Emu?," Macroeconomics 0509016, EconWPA. [Downloadable!]
  6. Johann Burgstaller, 2003. "Interest Rate Transmission to Commercial Credit Rates in Austria," Economics working papers 2003-06, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
  7. Heinemann, Friedrich & Schüler , Martin, 2002. "Integration benefits on EU retail credit markets : evidence from interest rate pass-through," ZEW Discussion Papers 02-26, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  8. Weth, Mark A., 2002. "The pass-through from market interest rates to bank lending rates in Germany," Discussion Paper Series 1: Economic Studies 2002,11, Deutsche Bundesbank, Research Centre. [Downloadable!]
  9. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  10. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank. [Downloadable!]
  11. Leonardo Gambacorta & Simonetta Iannotti, 2005. "Are there asymmetries in the response of bank interest rates monetary shocks?," Temi di discussione (Economic working papers) 566, Bank of Italy, Economic Research Department. [Downloadable!]
  12. Inês Cabral & Frank Dierick & Jukka Vesala, 2002. "Banking integration in the euro area," Occasional Paper Series 06, European Central Bank. [Downloadable!]
  13. F. De Graeve & O. De Jonghe & R. Vander Vennet, 2004. "Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/261, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    Other versions:
  14. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    Other versions:
  15. Gianluca Di Lorenzo & Giuseppe Marotta, 2005. "A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through," Heterogeneity and monetary policy 0503, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
  16. Leonardo Gambacorta, 2004. "How Do Banks Set Interest Rates?," NBER Working Papers 10295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  17. Gabe de Bondt, 2002. "Retail bank interest rate pass-through: new evidence at the Euro area level," Working Paper Series 136, European Central Bank. [Downloadable!]
  18. Raquel Lago-González & Vicente Salas-Fumás, 2005. "Market power and bank interest rate adjustments," Banco de España Working Papers 0539, Banco de España. [Downloadable!]
  19. Pierre Perron, 2005. "Dealing with Structural Breaks," Boston University - Department of Economics - Working Papers Series WP2005-017, Boston University - Department of Economics. [Downloadable!]
  20. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec.. [Downloadable!] (restricted)
    Other versions:
  21. Annick Bruggeman & Marie Donnay, 2003. "A monthly monetary model with banking intermediation for the euro area," Working Paper Series 264, European Central Bank. [Downloadable!]
  22. 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. [Downloadable!] (restricted)
    Other versions:
  23. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? You can include your works in the database easily by uploading them on the Munich Personal RePEc Archive (MPRA) if you do not have access to an institutional RePEc archive.

This page was last updated on 2008-5-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.