Restoring euro area monetary transmission: Which role for government bond rates?

Restoring euro area monetary transmission: Which role for government bond rates? For a number of euro area periphery countries, this paper explores the stability of the link between bank lending rates and yields on sovereign bonds. A stable relationship between these interest rates is important for the ECB’s attempt to restore monetary policy transmission by conducting unconventional measures that aim at bringing down government bond rates. Using vector autoregressive models with time-varying parameters, we find that bank lending rates adjusted incompletely to changes in government bond rates before the onset of the financial crisis, while their responsiveness has even further weakened thereafter. Thus, our results suggest that periphery bank lending rates have not only decoupled from policy rates after mid-2008, but also from yields on sovereign bonds. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Empirical Economics Springer Journals

Restoring euro area monetary transmission: Which role for government bond rates?

31 pages
Read Article

Loading next page...
 
/lp/springer_journal/restoring-euro-area-monetary-transmission-which-role-for-government-SUAv7lKp27
Publisher site
See Article on Publisher Site

Abstract

For a number of euro area periphery countries, this paper explores the stability of the link between bank lending rates and yields on sovereign bonds. A stable relationship between these interest rates is important for the ECB’s attempt to restore monetary policy transmission by conducting unconventional measures that aim at bringing down government bond rates. Using vector autoregressive models with time-varying parameters, we find that bank lending rates adjusted incompletely to changes in government bond rates before the onset of the financial crisis, while their responsiveness has even further weakened thereafter. Thus, our results suggest that periphery bank lending rates have not only decoupled from policy rates after mid-2008, but also from yields on sovereign bonds.

Journal

Empirical Economics – Springer Journals

Published: May 31, 2018

References

  • The impact of the sovereign debt crisis on the activity of Italian banks
    Albertazzi, U; Ropele, T; Sene, G; Signoretti, FM
  • The financial and macroeconomic effects of the OMT announcements
    Altavilla, C; Giannone, D; Lenza, M
  • Interest rate pass-through in the Euro area during the financial crisis: a multivariate regime-switching approach
    Aristei, D; Gallo, M
  • How do anticipated changes to short-term market rates influence banks’ retail interest rates? Evidence from the four major euro area economies
    Banerjee, A; Bystrov, V; Mizen, P
  • Do euro area countries respond asymmetrically to the common monetary policy?
    Barigozzi, M; Conti, AM; Luciani, M
  • Unconventional monetary policy and the great recession: estimating the macroeconomic effects of a spread compression at the zero lower bound
    Baumeister, C; Benati, L
  • Interest rate pass-through in the EMU—new evidence from nonlinear cointegration techniques for fully harmonized data
    Belke, A; Beckmann, J; Verheyen, F
  • Business lending rate pass-through in the eurozone: monetary policy transmission during the boom and since the financial crash
    Blot, C; Labondance, F
  • Estimating multicountry VAR models
    Canova, F; Ciccarelli, M
  • Structural changes in the us economy: Is there a role for monetary policy?
    Canova, F; Gambetti, L
  • Handbook of econometrics
    Chib, S
  • Combining time variation and mixed frequencies: an analyse of government spending multipliers in Italy
    Cimadomo, J; D’Agostino, A
  • The pricing of G7 sovereign bond spreads—the times, they are a-changin
    D’Agostino, A; Ehrmann, M
  • Macroeconomic forecasting and structural change
    D’Agostino, A; Gambetti, L; Giannone, D
  • Interest rate pass-through: empirical results for the euro area
    Bondt, GJ
  • Estimating global bank network connectedness
    Demirer, M; Diebold, F; Liu, L; Yilmaz, K
  • On the network topology of variance decompositions: measuring the connectedness of financial firms
    Diebold, F; Yilmaz, K
  • Bayesian model choice: asymptotics and exact calculations
    Gelfand, A; Dey, D
  • Priors for macroeconomic time series and their application
    Geweke, J
  • Prior selection for vector autoregressions
    Giannone, D; Lenza, M; Primiceri, GE
  • The interest rate pass-through in the euro area during the global financial crisis
    Hristov, N; Hülsewig, O; Wollmershäuser, T
  • Assessing the economy-wide effects of quantitative easing
    Kapetanios, G; Mumtaz, H; Stevens, I; Theodoridis, K
  • Interest rate pass-through in Europe and the US: monetary policy after the financial crisis
    Karagiannis, S; Panagopoulos, Y; Vlamis, P
  • On the evolution of the monetary policy transmission mechanism
    Koop, G; Leon-Gonzalez, R; Strachan, RW
  • Interest rate pass-through, monetary policy rules and macroeconomic stability
    Kwapil, C; Scharler, J
  • Factors explaining the interest margin in the banking sectors of the European Union
    Maudos, J; Fernandez de Guevara, J
  • Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
    Nakajima, J; Kasuya, M; Watanabe, T
  • Monetary policy transmission in the euro area
    Peersman, G; Smets, F
  • Generalized impulse response analysis in linear multivariate models
    Pesaran, H; Shin, Y
  • Time varying structural vector autoregressions and monetary policy
    Primiceri, GE
  • Asymmetric adjustment of commercial bank interest rates in the euro area: an empirical investigation into interest rate pass-through
    Sander, H; Kleimeier, S
  • Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration
    Sander, H; Kleimeier, S
  • The determinants of bank interest rate margins: an international study
    Saunders, A; Schumacher, L
  • Impact of bank competition on the interest rate pass-through in the euro area
    Leuvensteijn, M; Sørensen, CK; Bikker, JA; Rixtel, AA
  • The interest rate pass-through in the euro area during the sovereign debt crisis
    Borstel, J; Eickmeier, S; Krippner, L

You’re reading a free preview. Subscribe to read the entire article.

Try 2 weeks free now

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

or browse the journals available

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off

Sign up
for free
Start 14 day
Free Trial