Work detail

Interest rate pass-through in the euro area: The effect of financial crisis

Author: Bc. Jakub Rybák
Year: 2015 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 111
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/148887/
Abstract: In this study we analyze the impact of the financial crisis on interest rate pass-through in the
euro area. By applying a wide range of econometric techniques, including both univariate and
multivariate models to estimate cointegration relationships between retail and policy rates and
related short-term adjustment processes we find out that the financial crisis has led to the
increased spread between market and policy rates, which has not been corrected by central
bank policies so far. We also find evidence of cross-country heterogeneity in both pre-crisis
pass-through and crisis effects. In addition to this, for many retail rates we find an evidence of
two-way Granger causality with respect to policy rates, indicating the accommodative policy
of ECB following the market disruptions. We also estimate the timing of shocks to
transmission mechanism and our results suggest that they are not distributed tightly around
September 2008, but rather vary widely across the sample.

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