Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73300
Authors: 
Burgstaller, Johann
Year of Publication: 
2005
Series/Report no.: 
Working Paper, Department of Economics, Johannes Kepler University of Linz 0510
Abstract: 
The empirical literature on interest rate transmission presents diverse and sometimes conflicting estimates. By discussing methodological and specification-related issues, the results of this paper contribute to the understanding of these differences. Eleven Austrian bank lending and deposit rates are utilized to illustrate the pass-through of impulses from monetary policy and banks’ cost of funds. Results from vector autoregressions suggest that the long-run pass-through is higher for movements in the bond market than of changes in money market rates. Deposit rates have no predictive content for lending rates beyond that of market interest rates.
Subjects: 
Monetary policy transmission
interest rate pass-through
retail interest rates
vector autoregression
impulse-response functions
JEL: 
E43
E52
G21
Document Type: 
Working Paper

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