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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
ECB Working Paper No. 580
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
The present paper investigates the pass-through between market interest rates and bank interest rates in the euro area. Compared to the large interest rate pass-through literature the paper mainly improves upon two points. First, a novel data set, partially based on new harmonised ECB bank interest rate statistics is used. Moreover, the market rates are selected in a way to match the maturities of bank and market rates using information provided by the new statistics. Secondly, new panel-econometric methods are applied to test for heterogeneity in the pass-through process. The paper shows a large heterogeneity in the pass-through of market rates to bank rates between euro area countries and finally possible explanations of the heterogeneity are discussed.
Schlagwörter: 
Euro area countries
Interest rate pass-through
Panel Cointegration
JEL: 
E43
G21
Dokumentart: 
Working Paper

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