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Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach

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Panagopoulos, Y., Spiliotis, A. Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach. Credit and Capital Markets – Kredit und Kapital, 48(3), 477-500. https://doi.org/10.3790/ccm.48.3.477
Panagopoulos, Yannis and Spiliotis, Aristotelis "Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach" Credit and Capital Markets – Kredit und Kapital 48.3, 2015, 477-500. https://doi.org/10.3790/ccm.48.3.477
Panagopoulos, Yannis/Spiliotis, Aristotelis (2015): Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach, in: Credit and Capital Markets – Kredit und Kapital, vol. 48, iss. 3, 477-500, [online] https://doi.org/10.3790/ccm.48.3.477

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Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach

Panagopoulos, Yannis | Spiliotis, Aristotelis

Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 477–500

2 Citations (CrossRef)

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Article Details

Author Details

Yannis Panagopoulos, Centre for Planning and Economic Research (KEPE), Athens, Greece. (Tel.: ++0030 210 3676416).

Aristotelis Spiliotis, Bank of Greece, Economic Analysis & Research Department, Athens, Greece.

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    https://doi.org/10.1016/j.ribaf.2017.07.116 [Citations: 16]
  2. Asymmetry in the response of unemployment to output changes in Greece: Evidence from hidden co-integration

    Koutroulis, Aristotelis | Panagopoulos, Yannis | Tsouma, Ekaterini

    The Journal of Economic Asymmetries, Vol. 13 (2016), Iss. P.81

    https://doi.org/10.1016/j.jeca.2016.03.003 [Citations: 23]

Abstract

This paper reassesses the existing asymmetries and rigidities in the interest rate pass-through transmission channels, applied in the advanced economies of the US, the UK, Canada, Japan and the Eurozone. A Crouching Error Correction Model econometric methodology is implemented. The accurate measurement of the different aspects of the pass-through interest rate process has upgraded our understanding related to the behavior of the retail interest rate markets and, perhaps more importantly, enhances our practical efficiency in conducting monetary policy actions, at both a country-by-country and a coordinating level. Our empirical results suggest that monetary policy targeting should rather focus more directly on the money market rates transmission channel, instead of the central bank rates channel. Also, a non-homogenous price-rigid and asymmetric behaviour was found regarding the loan-deposit markets.