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Title:The interest rate pass-through in the Euro area during the global financial crisis PDF Logo
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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