Interest rate pass-through in the euro area: Financial fragmentation, balance sheet policies and negative rates
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00101569" target="_blank" >RIV/00216224:14560/18:00101569 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/18:10370884
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>
Alternative languages
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'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. (C) 2018 Elsevier B.V. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GA18-05829S" target="_blank" >GA18-05829S: Forecasting Volatility in Emerging Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
JOURNAL OF FINANCIAL STABILITY
ISSN
1572-3089
e-ISSN
1878-0962
Volume of the periodical
36
Issue of the periodical within the volume
n
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