Modeling Interest Rate Transmission Dynamics In Greece. Is There Any Structural Break After Emu?
AbstractWe examine the transmission process of the policy rate to the lending and deposit rates in Greece for the period 1996-2004 within bivariate cointegration and error correction framework. A significant structural break takes place with the accession of Greece into EMU in 2001. The bank rates become much more responsive to the policy rate in terms of impact multipliers and speed of convergence to the equilibrium, a consequence of the common monetary policy. However, the process is still not complete even after the accession into the EMU.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0509016.
Length: 25 pages
Date of creation: 09 Sep 2005
Date of revision:
Note: Type of Document - pdf; pages: 25
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interest rate pass-through; monetary policy; transmission dynamics; Greece.;
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- NEP-ALL-2005-09-17 (All new papers)
- NEP-CBA-2005-09-17 (Central Banking)
- NEP-EEC-2005-09-17 (European Economics)
- NEP-ETS-2005-09-17 (Econometric Time Series)
- NEP-FIN-2005-09-17 (Finance)
- NEP-IFN-2005-09-17 (International Finance)
- NEP-MAC-2005-09-17 (Macroeconomics)
- NEP-MON-2005-09-17 (Monetary Economics)
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- Gianluca Di Lorenzo & Giuseppe Marotta, 2006.
"Multiple breaks in lending rate pass-through A cross country study for the euro area,"
Department of Economics
0524, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy 0602, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
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