Informace o publikaci

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

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HORVÁTH Roman KOTLEBOVÁ Jana SIRANOVÁ Mária

Rok publikování 2018
Druh Článek v odborném periodiku
Časopis / Zdroj JOURNAL OF FINANCIAL STABILITY
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www http://dx.doi.org/10.1016/j.jfs.2018.02.003
Doi http://dx.doi.org/10.1016/j.jfs.2018.02.003
Klíčová slova Interest rate pass-through; Fragmentation; Balance sheet policies; Negative rates
Přiložené soubory
Popis 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.
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