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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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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.
Cited By
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Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach
Economou, Fotini | Panagopoulos, Yannis | Tsouma, EkateriniResearch in International Business and Finance, Vol. 44 (2018), Iss. P.459
https://doi.org/10.1016/j.ribaf.2017.07.116 [Citations: 14] -
Asymmetry in the response of unemployment to output changes in Greece: Evidence from hidden co-integration
Koutroulis, Aristotelis | Panagopoulos, Yannis | Tsouma, EkateriniThe 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.