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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/65660
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| Title: | | The interest rate pass-through in the Euro area during the global financial crisis  |
| Authors: | | Hristov, Nikolay Hülsewig, Oliver Wollmershäuser, Timo |
| Issue Date: | | 2012 |
| Series/Report no.: | | CESifo Working Paper: Monetary Policy and International Finance 3964 |
| 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. |
| Subjects: | | Euro Area global financial crisis interest rate pass-through panel vector autoregressive model sign restrictions structural break DSGE model |
| JEL: | | E40 E43 E52 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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