Money Market Uncertainty And Retail Interest Rate Fluctuations: A Cross-country Comparison

Burkhard Raunig; Johann Scharler

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Money Market Uncertainty And Retail Interest Rate Fluctuations: A Cross-country Comparison

机译：货币市场不确定性和零售利率波动：跨国比较

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This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD countries. We find that, with the exception of the United States, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the United States, we find that the effects of money market uncertainty are spread out over time. Our results also indicate that money market uncertainty tends to be passed on to retail rates to a lesser extent in countries where banking relationships play a substantial role.

机译：本文对十个经合组织国家的样本进行了货币市场不确定性与零售利率意外偏差之间的关系的实证分析。我们发现，除了美国以外，货币市场的不确定性对零售利率的条件波动性仅产生了很小的影响。即使对于美国，我们也发现货币市场不确定性的影响会随着时间的流逝而分散。我们的结果还表明，在银行关系起着重要作用的国家中，货币市场的不确定性趋向于转移到零售利率上。

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来源
《German economic review》 |2009年第2期|176-192|共17页
作者
Burkhard Raunig; Johann Scharler;
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作者单位

Oesterreichische Nationalbank;

University of Linz;

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原文格式 PDF
正文语种 eng
中图分类
关键词
interest rate pass-through; relationship banking; conditional volatility;

机译：利率传递;关系银行;有条件的波动性;

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Money Market Uncertainty And Retail Interest Rate Fluctuations: A Cross-country Comparison

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