How related are interbank and lending interest rates? Evidence on selected EU countries
AbstractThis paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27276.
Date of creation: 19 Nov 2010
Date of revision:
Cointegration; Granger Causality; Interbank Interest Rates; Lending Interest Rates; European Union;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
- NEP-BAN-2010-12-23 (Banking)
- NEP-EEC-2010-12-23 (European Economics)
- NEP-MAC-2010-12-23 (Macroeconomics)
- NEP-MON-2010-12-23 (Monetary Economics)
- NEP-TRA-2010-12-23 (Transition 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.:
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