Location of Repository

Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK

By Giuseppe Marotta

Abstract

We search for breaks in the short term business lending rate pass-through in euro countries, possibly associated with the introduction of the euro. One break is detected in six national retail rates among EMU countries; two breaks are found in other six cases, and in the UK as well. The last break occurs much earlier for France while several quarters later for other countries, suggesting a loose link if ever with the event. Pass-throughs decrease (except for France), becoming even more incomplete (except for Netherlands); though the adjustment to equilibrium is faster, cross-country heterogeneity remains fairly large. With the new harmonized interest rates database, available since 2003, pass-throughs are much closer to one, especially for larger loans.Interest rates; Monetary policy; Economic and Monetary Union (EMU); Cointegration analysis; Structural breaks

OAI identifier:

Suggested articles

Preview


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.