Interest rate pass-through in the euro area: Financial fragmentation, balance sheet policies and negative rates

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10370884" target="_blank" >RIV/00216208:11230/18:10370884 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.jfs.2018.02.003" target="_blank" >http://dx.doi.org/10.1016/j.jfs.2018.02.003</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jfs.2018.02.003" target="_blank" >10.1016/j.jfs.2018.02.003</a>

Result language

angličtina

Original language name

Interest rate pass-through in the euro area: Financial fragmentation, balance sheet policies and negative rates

Original language description

We examine interest rate pass-through in the euro area over the 2008-2016 period and investigate the effects of financial market fragmentation, European Central Bank balance sheet policies and negative rates on the nature of pass-through. We use heterogeneous panel cointegration methods and bank interest rates for four different loan categories: small and large firm loans, housing loans and consumer loans. We find that interest rate pass-through is complete only for small firm loans; it is thus incomplete for other loan categories. Our results suggest that while interest rate pass-through has been weakened by higher sovereign credit risk, the European Central Bank&apos;s balance sheet policies helped curb these adverse effects on pass-through. Lower financial market fragmentation translated into lower lending rates. In addition, we fail to find evidence that bank interest rates became less responsive to market rates when market rates became negative.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50201 - Economic Theory

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Financial Stability

ISSN

1572-3089

e-ISSN

—

Volume of the periodical

36

Issue of the periodical within the volume

June

Country of publishing house

US - UNITED STATES

Number of pages

10

Pages from-to

12-21

UT code for WoS article

000434490200002

EID of the result in the Scopus database

2-s2.0-85041530073