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Les dynamiques de transmission des taux directeurs sur les taux bancaires en Europe

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  • Raphaël Jeudy

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Analyses of the transmission of money market rates to retail interest rates are a way to appreciate some effects of the monetary policy. The main question since Euro is the convergence of this transmission in the Euro zone. The aim of this study is to find likeness in evolutions and dynamics of transmission to confirm or to reject the convergence hypothesis. In this way, estimates of the pass-through have been conducted with rolling regressions between 1990 and 2004 on 11 countries (Belgium, Germany, France, Spain, Italy, Ireland, Portugal, Austria, Netherlands, Finland and Greece) and on several retail interest rates (N2, N3, N4, N5 and N8). This pass-through approach is a way to study transmission's dynamics between interest rates. Finally, we made the same approach with threshold models to underline asymmetric dynamics.

Suggested Citation

  • Raphaël Jeudy, 2008. "Les dynamiques de transmission des taux directeurs sur les taux bancaires en Europe," Working Papers hal-04140754, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140754
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140754
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    References listed on IDEAS

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    1. repec:dgr:rugccs:200206 is not listed on IDEAS
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    3. Kleimeier, S. & Sander, H., 2002. "European financial market integration: evidence on the emergence of a single Eurozone retail banking market," Research Memorandum 060, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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