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Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe: A Time-varying Interest Rate Pass-through Model. ENEPRI Working Paper, No. 51, 7 February 2007

Schwarzbauer, Wolfgang. (2007) Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe: A Time-varying Interest Rate Pass-through Model. ENEPRI Working Paper, No. 51, 7 February 2007. [Working Paper]

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    Abstract

    So far studies concerned with the interest pass-through of monetary policy have not taken into account one central issue that arose in Europe in the late 1990s: the importance of financial structure for the convergence of monetary transmission. This study addresses this shortcoming. We estimate a time varying interest pass-through allowing us to test for the importance of financial structure and its impact on the convergence of the effects of monetary policy. We find convergence in banks' reaction to money market movements, which is additionally reduced in groups of countries with similar financial structure. Furthermore, there is a significant impact of financial structure on the extent of transmission of monetary policy impulses within the same month. Thus, differences in financial structure between countries must not be ignored when considering convergence of monetary transmission in Europe.

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    Item Type: Working Paper
    Uncontrolled Keywords: Convergence interest rate pass-through; financial structure; money and bank interest rates; transmission mechanism.
    Subjects for non-EU documents: EU policies and themes > Policies & related activities > economic and financial affairs > monetary policy
    Subjects for EU documents: UNSPECIFIED
    EU Series: UNSPECIFIED
    ["eprint_fieldname_eusries" not defined]: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > Centre for European Policy Studies (Brussels) > ENEPRI Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 10 Feb 2008
    Page Range: p. 42
    Last Modified: 06 Apr 2012 13:07
    URI: http://aei.pitt.edu/id/eprint/7395

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