@techreport{Hristov2012interest,
abstract = {This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro-area banks to the global financial crisis. We focus on their interest-rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding is that the pass-through from changes in the money market rate to retail bank rates became significantly less complete during the crisis. Model simulations show that this result can be well explained by a significant increase in the frictions that the banks' business is subject to.},
address = {M\"{u}nchen},
author = {Nikolay Hristov and Oliver H\"{u}lsewig and Timo Wollmersh\"{a}user},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E40; E43; E52; 330; Euro Area; global financial crisis; interest rate pass-through; panel vector autoregressive model; sign restrictions; structural break; DSGE model; Interest Rate Pass-Through; Finanzmarktkrise; Sch\"{a}tzung; Eurozone},
language = {eng},
number = {3964},
publisher = {CESifo},
title = {The interest rate pass-through in the Euro area during the global financial crisis},
type = {CESifo Working Paper: Monetary Policy and International Finance},
url = {http://hdl.handle.net/10419/65660},
year = {2012}
}
