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

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  • Gianluca Di Lorenzo

    ()

  • Giuseppe Marotta

    ()

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.

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Bibliographic Info

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

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Length: pages 31
Date of creation: Feb 2006
Date of revision:
Handle: RePEc:mod:modena:0602

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

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