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Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through

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  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 35, Issue 2
  5. pp. 161–192

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Sander, H., Kleimeier, S. Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through. Credit and Capital Markets – Kredit und Kapital, 35(2), 161-192. https://doi.org/10.3790/ccm.35.2.161
Sander, Harald and Kleimeier, Stefanie "Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through" Credit and Capital Markets – Kredit und Kapital 35.2, 2002, 161-192. https://doi.org/10.3790/ccm.35.2.161
Sander, Harald/Kleimeier, Stefanie (2002): Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through, in: Credit and Capital Markets – Kredit und Kapital, vol. 35, iss. 2, 161-192, [online] https://doi.org/10.3790/ccm.35.2.161
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Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through

Sander, Harald | Kleimeier, Stefanie

Credit and Capital Markets – Kredit und Kapital, Vol. 35 (2002), Iss. 2 : pp. 161–192

2 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.35.2.161
Language
Multiple languages
Pages
32

Author Details

Harald Sander, Cologne

Stefanie Kleimeier, Maastricht

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    https://doi.org/10.33429/Cjas.13122.5/9 [Citations: 1]

  2. Interest Rate Pass-Through in Ukraine: Estimates and Determinants

    Shapovalenko, Nadiia | Vdovychenko, Artem

    Visnyk of the National Bank of Ukraine, Vol. (2023), Iss. 255 P.22

    https://doi.org/10.26531/vnbu2023.255.02 [Citations: 0]

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Abstract

Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through

Our study extends the traditional pass-through literature by incorporating an error correction mechanism that is based on cointegration analyses allowing for structural breaks and symmetric as well as for a variety of asymmetric adjustment mechanisms. While some results of earlier pass-through studies regarding a symmetric monetary transmission mechanism within the euro area are confirmed, our study provides additional evidence that not only the speed of adjustment differs but that the nature of the adjustment process itself is heterogeneous across countries. Therefore, our analysis provides a deeper insight into the differential workings of the banking markets across Europe. (JEL E43, E52, E58, F36)

Table of Contents

Section Title Page Action Price
Harald Sander/Stefanie Kleimeier: Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through 161
I. Introduction 161
II. Data 166
III. Analysis of Symmetric and Asymmetric Adjustment of Lending Rates in Europe 167
1. The Pass-Through Approach 167
2. Connecting Short-Term Pass-Through and hong-Run Equilibrium 170
a) Cointegration Testing 172
b) The Pass-Through of Money Market Rate Innovations in Europe 180
IV. Summary and Conclusion 184
Appendix 185
References 190
Summary: Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through 191
Zusammenfassung: Asymmetrische Anpassung von Geschäftsbankenzinsen im Eurogebiet: Eine empirische Analyse des Zins-Pass-Through 192
Résumé: Ajustement asymétrique des taux d'intérêt des banques commerciales dans la zone euro: une investigation empirique sue la répercussion des taux d'intérêt 192

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