• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>German economic review >Interest Rate Pass-Through: Empirical Results for the Euro Area
【24h】

Interest Rate Pass-Through: Empirical Results for the Euro Area

机译：利率传递：欧元区的经验结果

获取原文
获取原文并翻译 | 示例
       
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper empirically examines the interest rate pass-through at the euro area level. The focus is on the pass-through of official interest rates, approximated by the overnight interest rate, to longer-term market interest rates, which, in turn, are a proxy for the marginal costs for banks to attract deposits or grant loans, and therefore passed through to retail bank interest rates. Empirical results, on the basis of a (vector) error-correction and vector autoregressive model, suggest that the pass-through of official interest to market interest rates is complete for money market interest rates up to three months, but not for market interest rates with longer maturities. Furthermore, the immediate pass-through of changes in market interest rates to bank deposit and lending rates is found to be at most 50%, whereas the final pass-through is typically found to be close to 100%, in particular for lending rates. Empirical results for a sub-sample starting in January 1999 show qualitatively similar findings and are supportive of a quicker interest rate pass-through since the introduction of the euro. It is shown that the difference between the adjustment speed of bank deposit and lending rates (typically around one versus three months since the common monetary policy) can to a large extent significantly be explained by credit risk considerations.
机译：本文从经验上考察了欧元区一级的利率传递。重点是将通宵利率近似的官方利率转嫁到长期市场利率，而长期市场利率又可以替代银行吸引存款或赠款贷款的边际成本，以及因此转嫁给零售银行利率。基于（向量）误差校正和向量自回归模型的经验结果表明，对于三个月以下的货币市场利率，官方利率向市场利率的传递是完全的，但对于市场利率则不可行期限更长。此外，发现市场利率变化对银行存款和贷款利率的直接通过率最高为50％，而最终通过率通常接近100％，特别是对于贷款利率。从1999年1月开始的子样本的经验结果在质量上显示出相似的结果，并支持自引入欧元以来更快的利率转嫁。结果表明，银行存款和贷款利率的调整速度之间的差异（自共同货币政策以来，通常为一个月至三个月左右）可以在很大程度上由信用风险因素来解释。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号