Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65660
Authors: 
Hristov, Nikolay
Hülsewig, Oliver
Wollmershäuser, Timo
Year of Publication: 
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

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