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Convergence of Monetary Transmission in EMU New Evidence

Author

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  • Linda A. Toolsema
  • Jan-Egbert Sturm
  • Jakob de Haan

Abstract

This paper examines how the pass-through of monetary policy measures in 6 EMU countries has evolved over time and whether there is convergence in monetary transmission. The countries included are: Belgium, France, Germany, Italy, the Netherlands and Spain, and the sample period is 1980-2000. We conclude that major differences in pass-through exist in our sample, both in terms of initial as well as long-run responses to policy-induced interest rate changes. There is no indication for convergence of monetary policy transmission.

Suggested Citation

  • Linda A. Toolsema & Jan-Egbert Sturm & Jakob de Haan, 2001. "Convergence of Monetary Transmission in EMU New Evidence," CESifo Working Paper Series 465, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_465
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    File URL: http://www.cesifo-group.de/DocDL/cesifo_wp465.pdf
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    References listed on IDEAS

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    4. Eijffinger, Sylvester & Haan, Jakob de, 2000. "European Monetary and Fiscal Policy," OUP Catalogue, Oxford University Press, number 9780198776161.
    5. Paul Klemperer, 1987. "Markets with Consumer Switching Costs," The Quarterly Journal of Economics, Oxford University Press, vol. 102(2), pages 375-394.
    6. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    7. Philip Lowe & Thomas Rohling, 1992. "Loan Rate Stickiness: Theory and Evidence," RBA Research Discussion Papers rdp9206, Reserve Bank of Australia.
    8. Mojon, Benoît, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 0040, European Central Bank.
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    Citations

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    Cited by:

    1. Juan Sebastián Becerra C. & Luis Ceballos S. & Felipe Córdova F. & Michael Pedersen, 2010. "Market Interest Rate Dynamics in Times of Financial Turmoil," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 5-22, April.
    2. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2014. "The interest rate pass-through in the Euro area during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 104-119.
    3. Hennecke, Peter, 2017. "Zinstransmission in der Niedrigzinsphase: Eine empirische Untersuchung des Zinskanals in Deutschland," Thuenen-Series of Applied Economic Theory 150, University of Rostock, Institute of Economics.
    4. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 1-24.
    5. Amarasekara, Chandranath, 2005. "Interest Rate Pass-through in Sri Lanka," MPRA Paper 64865, University Library of Munich, Germany.
    6. Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
    7. Daniel Gros & Carsten Hefeker, 2007. "Monetary Policy In Emu With Asymmetric Transmission And Non-Tradable Goods," Scottish Journal of Political Economy, Scottish Economic Society, vol. 54(2), pages 268-282, May.
    8. de Bondt, Gabe, 2002. "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series 0136, European Central Bank.
    9. 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.
    10. Petrevski, Goran & Bogoev, Jane, 2012. "Interest rate pass-through in South East Europe: An empirical analysis," Economic Systems, Elsevier, vol. 36(4), pages 571-593.
    11. Zulkhibri, Muhamed, 2012. "Policy rate pass-through and the adjustment of retail interest rates: Empirical evidence from Malaysian financial institutions," Journal of Asian Economics, Elsevier, vol. 23(4), pages 409-422.
    12. Hennecke, Peter, 2017. "The interest rate pass-through in the low interest rate environment: Evidence from Germany," Thuenen-Series of Applied Economic Theory 151, University of Rostock, Institute of Economics.
    13. Schwarzbauer, Wolfgang, 2006. "Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model," Economics Series 191, Institute for Advanced Studies.
    14. Mamingi, Nlandu & Boamah, Daniel O. & Jackman, Mahalia N., 2011. "Bahamas and Barbados: empirical evidence of interest rate pass-through," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    15. Aristei, David & Gallo, Manuela, 2014. "Interest rate pass-through in the Euro area during the financial crisis: A multivariate regime-switching approach," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 273-295.
    16. Daniel Gros & Carsten Hefeker, 2002. "Common Monetary Policy with Asymmetric Shocks," CESifo Working Paper Series 705, CESifo Group Munich.
    17. Brämer, Patrick & Gischer, Horst & Richter, Toni & Weiß, Mirko, 2013. "Competition in banks’ lending business and its interference with ECB monetary policy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 144-162.
    18. Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2009. "Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission," Economic Modelling, Elsevier, vol. 26(6), pages 1310-1327, November.
    19. Chionis, Dionysios P. & Leon, Costas A., 2006. "Interest rate transmission in Greece: Did EMU cause a structural break?," Journal of Policy Modeling, Elsevier, vol. 28(4), pages 453-466, May.
    20. Boris Hofmann, 2006. "EMU and the transmission of monetary policy: evidence from business lending rates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 33(4), pages 209-229, September.

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