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Modeling Interest Rate Transmission Dynamics In Greece. Is There Any Structural Break After Emu?

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Author Info

  • DIONYSIOS CHIONIS

    (DEMOCRITUS UNIVERSITY, GREECE)

  • COSTAS LEON

    (DEMOCRITUS UNIVERSITY, GREECE)

Abstract

We 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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File URL: http://128.118.178.162/eps/mac/papers/0509/0509016.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0509016.

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Length: 25 pages
Date of creation: 09 Sep 2005
Date of revision:
Handle: RePEc:wpa:wuwpma:0509016

Note: Type of Document - pdf; pages: 25
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Web page: http://128.118.178.162

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Keywords: interest rate pass-through; monetary policy; transmission dynamics; Greece.;

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Cited by:
  1. 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".

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