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Retail bank interest rate pass-through in the euro area: An empirical survey

Author

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  • Natalia Andries

    () (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR1 - Université de Rennes 1 - CNRS - Centre National de la Recherche Scientifique, Research Unit of the Economics and Research Department - Banque centrale du Luxembourg)

  • Steve Billon

    (LARGE - Laboratoire de recherche en gestion et économie - UNISTRA - Université de Strasbourg - L'europe en mutation : histoire, droit, économie et identités culturelles - UNISTRA - Université de Strasbourg - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper surveys the empirical literature on the retail bank interest rate pass-through in the euro area countries. We provide an in-depth discussion of the econometric issues challenging an appropriate assessment of the interest rate pass-through, such as unit root and structural break tests and asymmetry treatment. We offer an overview of the empirical evidence regarding the extent of the short-run and long-run interest rate pass-through and the adjustment dynamics of bank interest rates. We also provide insight into the state of monetary policy transmission more than 15 years after the introduction of the euro, and in the aftermath of the financial and sovereign debt crises.

Suggested Citation

  • Natalia Andries & Steve Billon, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Post-Print halshs-01354597, HAL.
  • Handle: RePEc:hal:journl:halshs-01354597
    DOI: 10.1016/j.ecosys.2015.06.001
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01354597
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    References listed on IDEAS

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    Cited by:

    1. Mariusz Kapuściński & Ewa Stanisławska, 2016. "Interest rate pass-through in Poland since the global financial crisis," NBP Working Papers 247, Narodowy Bank Polski, Economic Research Department.
    2. Christophe Blot & Paul Hubert, 2016. "Negative interest rates: incentive or hindrance for the banking system?," Sciences Po publications info:hdl:2441/4becfeb5av9, Sciences Po.
    3. Carroll, James & McCann, Fergal, 2017. "Observables and residuals: exploring cross-border differences in Small and Medium Enterprise borrowing costs," Research Technical Papers 02/RT/17, Central Bank of Ireland.
    4. Gregor, Jiri & Melecky, Martin, 2018. "The Pass-Through of Monetary Policy Rate to Lending Rates: The Role of Macro-financial Factors," MPRA Paper 84048, University Library of Munich, Germany.

    More about this item

    Keywords

    Interest rate pass-through; monetary policy; bank interest rates; euro area;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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