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. |
