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Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK

Listed author(s):
  • Giuseppe Marotta

    ()

We search for breaks in the short term business lending rate pass-through in euro countries, possibly associated with the introduction of the euro. One break is detected in six national retail rates among EMU countries; two breaks are found in other six cases, and in the UK as well. The last break occurs much earlier for France while several quarters later for other countries, suggesting a loose link if ever with the event. Pass-throughs decrease (except for France), becoming even more incomplete (except for Netherlands); though the adjustment to equilibrium is faster, cross-country heterogeneity remains fairly large. With the new harmonized interest rates database, available since 2003, pass-throughs are much closer to one, especially for larger loans.

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File URL: http://www.dep.unimore.it/materiali_discussione/0549.pdf
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Paper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0549.

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Length: pages 34
Date of creation: Dec 2006
Handle: RePEc:mod:depeco:0549
Contact details of provider: Web page: http://www.economia.unimore.it/

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