WORKING PAPER NO 136 RETAIL BANK INTEREST RATE PASS-THROUGH: NEW EVIDENCE AT THE EURO AREA LEVEL docx
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 2002Chart B.2a Impulse response of bank deposit rate to a ... determine the selected market interest rate because this deposit rate is a 100% German interest rate and euro area money market interest rates are considered. For the mortgage interest rate the five-year...
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WORKING PAPER SERIES NO. 303 / FEBRUARY 2004: FISCAL POLICY EVENTS AND INTEREST RATE SWAP SPREADS: EVIDENCE FROM THE EU pdf
... largestfinancial markets in the world. The euro interest rate swap market has actually roughly the samesize as the dollar one: the notional stock of euro denominated interest rate swaps and forwardstotalled ... contributed to the initial rise, and the renewed strengthening of the Pact inNovember to the stability of inflation expectations. But the comparison with the implied break-even inflation rate in the US ... of the interest rate swap spreads the interest rate swap spread in the US, a measure of bond marketliquidity, a measure of the stock market risk/volatility, the slope of the yield curve inthe...
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Retail Bank Interest Rate Pass-Through: The Turkish Experience pptx
... 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 significantly negative as required. The ... relationship between the variables. The ADF test on the residuals based on the regression of money market rate and lending rate, and the money market rate and deposit rate, show that the residuals...
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NATIONAL BANK OF POLAND WORKING PAPER No . 72: Central bank’s macroeconomic projections and learning potx
... xtdenotes the output gap, πtis inflation and it the short-term nominal interest rate at time t. The operator Etdenotes rational expectations conditionalto the information set available at ... against inflation the implementation of this communication strategy generates instability. It alsoemerges that the larger the weight given by private agents on central bank s interest rate projections, ... against inflation the implementation of this communication strategy generates instability. It alsoemerges that the larger the weight given by private agents on central bank s interest rate projections,...
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RETAIL BANK INTEREST RATE PASS-THROUGH: IS CHILE ATYPICAL? pptx
... rate 0.920.980.990.760.610.580.700.840.720.860.870.880.990.960.850.980.920.940.930.920.930.940.991.000.840.700.710.800.890.880.890.900.910.980.970.990.960.980.920.890.880.910.880.800.890.900.980.890.840.970.980.990.770.690.630.710.810.330.780.810.590.720.880.830.990.650.870.870.870.740.910.890.910.880.94 Retail Bank Interest Rate Pass-through: Is Chile Atypical?165In addition, an analysis of the lagged autocorrelation between the money market interest rate and retail bank rates shows that ... pass-through.Chilean data display the highest interest rate volatility, for bothUF and nominal rates, as measured by the sample standard devia-tion (table 2). At all maturities, the interest rates for Australia, ... a unit root in the Chilean interest rate series, cointegration tests would not be informative on the degree ofcomovement between the money market interest rate and retail bank rates.Money Short-term...
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RETAIL BANK INTEREST RATE PASS-THROUGH: IS CHILE ATYPICAL? doc
... 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 ofChile, December.Bondt, G., 2002, Retail Bank Interest Rate Pass-Through: New Evidence at the Euro Area Level, ” Working Paper (Frankfurt: European Central Bank) .Borio, ... market rate: overnight interbank lending rate mmrrl UF money market rate: overnight interbank lending rate adjusted byprevious month's inflation Deposit Rates dstnom Nominal deposit rate...
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Tài liệu The Benefits of Bank Deposit Rate Ceilings: New Evidence on Bank Rates and Risk in the 1920s (p. 2) docx
... 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 theory predicts. This new ... Is there, in fact, a correlation between bank rates and bank risk? These were the questions asked by two separate studies in the 1960s. They both tried to measure the correlation for banking...
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WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES docx
... 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 Working Paper, 136. Bondt, G. de 2004, The balance ... market interest rates movements are not necessarily fully transmitted to market interest rates with longer maturity, the pass-through of official interest rates to retail bank interest rates can...
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WORKING PAPER NO. 72 BANK CONCENTRATION AND RETAIL INTEREST RATES pptx
... 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 No 72 • July 200114 the data are ... (1993-1999) the levels of interest rates were falling in most countries in the euro area. 21 In the literature, it is often found that in the context of falling market rates, retail deposit rates...
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WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES pptx
... 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 Working Paper, 136. Bondt, G. de 2004, The balance ... market interest rates movements are not necessarily fully transmitted to market interest rates with longer maturity, the pass-through of official interest rates to retail bank interest rates can...
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