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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/18:10370884

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA18-05829S" target="_blank" >GA18-05829S: Predikce volatility na rozvijících se finančních trzích</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

JOURNAL OF FINANCIAL STABILITY

ISSN

1572-3089

e-ISSN

1878-0962

Svazek periodika

36

Číslo periodika v rámci svazku

n

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

10

Strana od-do

12-21

Kód UT WoS článku

000434490200002

EID výsledku v databázi Scopus

2-s2.0-85041530073