WORKING PAPER NO 136 RETAIL BANK INTEREST RATE PASS-THROUGH: NEW EVIDENCE AT THE EURO AREA LEVEL docx

... market interest rates are not immediately reflected in retail bank interest rates. In other words, bank interest rates are sticky in the short term. The immediate response of deposit rates to ... Eurosystem. WORKING PAPER NO. 136 RETAIL BANK INTEREST RATE PASS-THROUGH: NEW EVIDENCE AT THE EURO AREA LEVEL BY GABE DE BONDT * April 2002 Chart B.2a...

Ngày tải lên: 15/03/2014, 14:20

... largest financial markets in the world. The euro interest rate swap market has actually roughly the same size as the dollar one: the notional stock of euro denominated interest rate swaps and forwards totalled ... contributed to the initial rise, and the renewed strengthening of the Pact in November to the stability of inflation expectations. But the comparison...

Ngày tải lên: 22/03/2014, 23:20

... Issues 4.1. The Data The data set consist of three interest rate series, called money market rate, lending rate and deposit rate. Data were collected from the “Electronic Data Dissemination System” ... the lending rate- money market rate relationship and the deposit rate- money market rate relationship, the coefficients on the error correction terms are signific...

Ngày tải lên: 15/03/2014, 02:20

... x t denotes the output gap, π t is inflation and i t the short-term nominal interest rate at time t. The operator E t denotes rational expectations conditional to the information set available at ... against inflation the implementation of this communication strategy generates instability. It also emerges that the larger the weight given by private agents on central bank...

Ngày tải lên: 22/03/2014, 23:20

... rate 0.92 0.98 0.99 0.76 0.61 0.58 0.70 0.84 0.72 0.86 0.87 0.88 0.99 0.96 0.85 0.98 0.92 0.94 0.93 0.92 0.93 0.94 0.99 1.00 0.84 0.70 0.71 0.80 0.89 0.88 0.89 0.90 0.91 0.98 0.97 0.99 0.96 0.98 0.92 0.89 0.88 0.91 0.88 0.80 0.89 0.90 0.98 0.89 0.84 0.97 0.98 0.99 0.77 0.69 0.63 0.71 0.81 0.33 0.78 0.81 0.59 0.72 0.88 0.83 0.99 0.65 0.87 0.87 0.87 0.74 0.91 0.89 0.91 0.88 0.94 Retail Ban...

Ngày tải lên: 22/03/2014, 23:20

... policy rate of the Central Bank, used for setting the interbank lending rate Real rate through July 2001, real rate is derived from nominal thereafter Overnight Interbank Rate mmrnom Nominal ... of the Central Bank of Chile, December. Bondt, G., 2002, Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level, ” Working Paper (Fra...

Ngày tải lên: 22/03/2014, 23:20

... could bias the estimates of the correlation between bank rates and bank risk. Consequently, he turned to a data base that did not go back as many years as the New York State banking data, but ... deposit rates than they have had before. Studying the 1920s with these new data, I find the positive correlation between deposit rates and bank risk that modern finance the...

Ngày tải lên: 15/02/2014, 05:20

... against interest rate risk (by varying the proportion of fixed -rate versus variable -rate loans, using interest rate swaps). Investigating these strategies is beyond the scope of this paper. rate ... EU-countries, De Economist, 146(2), 271-301. Bondt, G. de, 2002, Retail bank interest rate pass-through: new evidence at the euro area level, ECB Work...

Ngày tải lên: 15/03/2014, 14:20

... we calculated the mean concentration level as a percentage of the maximum. One immediately notices that the country with the most concentrated banking system in the euro area is the Netherlands, ... collects interest rate information from the national central banks of the euro area. While this part of the ECB database is confidential, ECB • Working Paper...

Ngày tải lên: 15/03/2014, 14:20

... against interest rate risk (by varying the proportion of fixed -rate versus variable -rate loans, using interest rate swaps). Investigating these strategies is beyond the scope of this paper. rate ... EU-countries, De Economist, 146(2), 271-301. Bondt, G. de, 2002, Retail bank interest rate pass-through: new evidence at the euro area level, ECB Work...

Ngày tải lên: 22/03/2014, 23:20