Reassessing the Asymmetries and Rigidities in the Interest Rate Pass-Through Process: A Hidden Co-Integration Approach
Year: 2015
Author: Panagopoulos, Yannis, Spiliotis, Aristotelis
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 477–500
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.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.48.3.477
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 477–500
Published online: 2015-09
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
Keywords: E52 C22 Interest rates pass-through hidden co-integration crouching error correction model
Author Details
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