Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73276
Authors: 
Raunig, Burkhard
Scharler, Johann
Year of Publication: 
2007
Series/Report no.: 
Working Paper, Department of Economics, Johannes Kepler University of Linz 0704
Abstract: 
This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of 10 OECD countries. We find that, with the exception of the US, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the US we find that the effects of money market uncertainty are spread out over time. Our results are consistent with the hypothesis that banking relationships include implicit insurance arrangements and thereby reduce uncertainty.
Subjects: 
Interest Rate Pass-Through
Relationship Banking
Conditional Volatility
JEL: 
E43
G21
Document Type: 
Working Paper

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