Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/springer_journal/restoring-euro-area-monetary-transmission-which-role-for-government-SUAv7lKp27
References (72)
-
Carlo Altavilla, F. Canova, Matteo Ciccarelli (2016)
Mending the Broken Link: Heterogeneous Bank Lending and Monetary Policy Pass-ThroughERN: Commercial Banks (Topic)
-
Christoffer Kok, T. Werner (2006)
Bank Interest Rate Pass-Through in the Euro Area: A Cross Country ComparisonEuropean Central Bank Research Paper Series
-
F Diebold, K Yilmaz (2014)
On the network topology of variance decompositions: measuring the connectedness of financial firmsJ Econom, 182
-
C. Baumeister, Luca Benati (2012)
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower BoundInternational Journal of Central Banking, 9
-
John Geweke (1994)
Priors for Macroeconomic Time Series and Their ApplicationEconometric Theory, 10
-
GE Primiceri (2005)
Time varying structural vector autoregressions and monetary policyRev Econ Stud, 72
-
Pooyan Amir-Ahmadi, C. Matthes, Mu‐Chun Wang (2016)
Choosing Prior HyperparametersERN: Bayesian Analysis (Topic)
-
A. Banerjee, V. Bystrov, P. Mizen (2012)
How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area EconomiesERN: Banking & Monetary Policy (Topic)
-
ECB announces expanded asset purchase programme. Press release -
Matthieu Pariès, Diego Moccero, E. Krylova, C. Marchini (2014)
The Retail Bank Interest Rate Pass-Through: The Case of the Euro Area During the Financial and Sovereign Debt CrisisMonetary Economics eJournal
-
S. Karagiannis, Y. Panagopoulos, Prodromos Vlamis (2010)
Interest rate pass-through in Europe and the US: Monetary policy after the financial crisisJournal of Policy Modeling, 32
-
Stefano Neri (2013)
The Impact of the Sovereign Debt Crisis on Bank Lending Rates in the Euro AreaERN: National Budget
-
A. Rebucci, Marco Espinosa-Vega (2003)
Retail Bank Interest Rate Pass-Through, 03
-
F. Diebold, K. Yilmaz (2011)
UNIVERSITY OF SOUTHERN CALIFORNIA Center for Applied Financial Economics (CAFE) On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms -
(2016)
GiannoneD, LenzaM (2016b) The financial andmacroeconomic effects of the OMT announcements -
C Altavilla, D Giannone, M Lenza (2016)
The financial and macroeconomic effects of the OMT announcementsInt J Cent Bank, 12
-
J Cimadomo, A D’Agostino (2015)
Combining time variation and mixed frequencies: an analyse of government spending multipliers in ItalyJ Appl Econom, 31
-
D Giannone, M Lenza, GE Primiceri (2015)
Prior selection for vector autoregressionsRev Econ Stat, 97
-
M. Leuvensteijn, C. Sørensen, J. Bikker, Adrian Rixtel (2008)
Impact of bank competition on the interest rate pass-through in the euro areaApplied Economics, 45
-
G. Peersman, F. Smets (2001)
The Monetary Transmission Mechanism in the Euro Area: More Evidence from VAR Analysis (Mtn Conference Paper) -
U Albertazzi (2014)
387J Bank Finance, 46
-
We use diag(Q start ) = V (B OLS ), diag(S start ) = V (Â OLS ) and diag(W start ) = diag(I 2 ) * 0.0001. We further set k Q -
(2017)
MFI lending rates: pass-through in the time of non-standard monetary policy -
Roberto Santis (2016)
Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market NewsCapital Markets: Asset Pricing & Valuation eJournal
-
F. Sá, Pascal Towbin, Tomasz Wieladek (2011)
Low Interest Rates and Housing Booms: The Role of Capital Inflows, Monetary Policy and Financial InnovationMacroeconomics: Monetary & Fiscal Policies eJournal
-
J Borstel, S Eickmeier, L Krippner (2016)
The interest rate pass-through in the euro area during the sovereign debt crisisJ Int Money Finance, 68
-
S Chib (2001)
Handbook of econometrics -
(2012)
The Impact of the Sovereign Debt Crisis on the Activity of Italian BanksFinancial Crises eJournal
-
D Aristei, M Gallo (2014)
Interest rate pass-through in the Euro area during the financial crisis: a multivariate regime-switching approachJ Policy Model, 36
-
and the ECB's monetary policy measures -
C Blot, F Labondance (2013)
Business lending rate pass-through in the eurozone: monetary policy transmission during the boom and since the financial crashEcon Bull, 33
-
Mert Demirer, F. Diebold, L. Liu, K. Yilmaz (2015)
Estimating Global Bank Network ConnectednessERN: Financial Crises (Econometric) (Topic)
-
F. Canova, Luca Gambetti (2009)
Structural changes in the US economy: Is there a role for monetary policy?Journal of Economic Dynamics and Control, 33
-
(2011)
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policyJournal of The Japanese and International Economies, 25
-
A. Gelfand, D. Dey (1994)
Bayesian Model Choice: Asymptotics and Exact CalculationsJournal of the royal statistical society series b-methodological, 56
-
D. Giannone, M. Lenza, L. Reichlin (2012)
Money, Credit, Monetary Policy and the Business Cycle in the Euro Area: What Has Changed since the Crisis?ERN: National Budget
-
G. Koop, R. León-González, Rodney Strachan (2009)
On the evolution of the monetary policy transmission mechanismJournal of Economic Dynamics and Control, 33
-
F. Canova, Matteo Ciccarelli (2009)
Estimating Multicountry VAR ModelsWiley-Blackwell: International Economic Review
-
Box 1: euro area money growth and the securities markets programme -
(2014)
The pricing ofG 7 sovereign bond spreads — the times , they are a - changin -
Dimitris Korobilis (2014)
Data-Based Priors for Vector Autoregressions with Drifting CoefficientsERN: Time-Series Models (Multiple) (Topic)
-
(2015)
D’Agostino A (2015) Combining time variation and mixed frequencies: an analyse of gov -
G. Bondt (2005)
Interest Rate Pass-Through: Empirical Results for the Euro AreaGerman Economic Review, 6
-
Antonello D’Agostino, Jacopo Cimadomo (2015)
Combining Time-Variation and Mixed-Frequencies: An Analysis of Government Spending Multipliers in ItalyPolitical Economy: Government Expenditures & Related Policies eJournal
-
J. Maudos, J. Guevara (2003)
Factors Explaining the Interest Margin in the Banking Sectors of the European Union -
G Peersman, F Smets (2003)
Monetary policy transmission in the euro area -
Julia Borstel, Sandra Eickmeier, Leo Krippner (2016)
The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt CrisisDeutsche Bundesbank Discussion Paper Series
-
A. Belke, J. Beckmann, Florian Verheyen (2012)
Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized DataERN: Banking & Monetary Policy (Topic)
-
Edda Zoli (2013)
Italian Sovereign Spreads: Their Determinants and Pass-Through to Bank Funding Costs and Lending ConditionsERN: Fiscal Policy Objectives; Policy Designs; Policy Coordination (Topic)
-
S. Kleimeier (2001)
Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-ThroughKredit Und Kapital, 2
-
G. Kapetanios, H. Mumtaz, I. Stevens, Konstantinos Theodoridis (2012)
Assessing the Economy�?Wide Effects of Quantitative EasingEuropean Economics: Macroeconomics & Monetary Economics eJournal
-
H.Hashem Pesaran, Y. Shin (1998)
Generalized Impulse Response Analysis in Linear Multivariate ModelsEconomics Letters, 58
-
Giorgio Primiceri (2002)
Time Varying Structural Vector Autoregressions and Monetary PolicyMonetary Economics
-
(2020)
Monetary Policy of the European Central BankFinancial Markets and Institutions
-
S. Chib (2001)
MARKOV CHAIN MONTE CARLO METHODS: COMPUTATION AND INFERENCEHandbook of Econometrics, 5
-
(2015)
Box 1: the governing council's expanded asset purchase programme -
H. Sander, S. Kleimeier (2003)
Convergence in Eurozone Retail Banking? What Interest Rate Pass-Through Tells Us About Monetary Policy Transmission, Competition and IntegrationMonetary Economics eJournal
-
Ignazio Angeloni, A. Kashyap, Benoît Mojon (2003)
Monetary Policy Transmission in the Euro Area: Firms' investment and monetary policy: evidence from microeconomic data -
Carlo Altavilla, M. Pagano, S. Simonelli (2016)
Bank Exposures and Sovereign Stress TransmissionCEPR: Financial Economics (Topic)
-
Jean Boivin, M. Giannoni, Benoît Mojon (2008)
How Has the Euro Changed the Monetary Transmission Mechanism?NBER Macroeconomics Annual, 23
-
C Kwapil, J Scharler (2010)
Interest rate pass-through, monetary policy rules and macroeconomic stabilityJ Int Money Finance, 29
-
Nikolay Hristov, Oliver Hülsewig, T. Wollmershaeuser (2012)
The Interest Rate Pass-Through in the Euro Area During the Global Financial CrisisCESifo: Macro
-
Jouchi Nakajima (2011)
Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical ApplicationsMonetary and and Economic Studies, 29
-
(2005)
) we set B 0 =B OLS , P B,start = 4 · V (B OLS ), α 0 =Â OLS , P A,start = 4 · V (Â OLS ), where P B and P A denote the covariance matrices of the initial state vectors B 0 and α 0 -
Antonello D’Agostino, Luca Gambetti, D. Giannone (2009)
Macroeconomic Forecasting and Structural ChangeMacroeconomics: Aggregative Models eJournal
-
H Sander, S Kleimeier (2004)
Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integrationJ Int Money Finance, 23
-
M. Barigozzi, A. Conti, Matteo Luciani (2012)
Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?ERN: Banking & Monetary Policy (Topic)
-
The determinants of euro area sovereign bond yield spreads during the crisis -
U Albertazzi, T Ropele, G Sene, FM Signoretti (2014)
The impact of the sovereign debt crisis on the activity of Italian banksJ Bank Finance, 46
-
A. Saunders, Liliana Schumacher (2000)
The Determinants of Bank Interest Rate Margins: An International StudyJournal of International Money and Finance, 19
-
Benoît Mojon (2000)
Financial Structure and the Interest Rate Channel of ECB Monetary Policy -
(2007)
The views expressed in this paper are those of the authors and in no way commit the
- Publisher
- Springer Journals
- Copyright
- Copyright © 2018 by Springer-Verlag GmbH Germany, part of Springer Nature
- Subject
- Economics; Econometrics; Statistics for Business, Management, Economics, Finance, Insurance; Economic Theory/Quantitative Economics/Mathematical Methods
- ISSN
- 0377-7332
- eISSN
- 1435-8921
- DOI
- 10.1007/s00181-018-1467-y
- 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