Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound
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- ISIDORE Id: 10670/1.e25c6f...
- hal: hal-04221606
info:eu-repo/semantics/OpenAccess
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E - Macroeconomics and Monetary Economics E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates G - Financial EconomicsSujets proches
Money market rates Rates, Interest Rate of interestCiter ce document
Christophe Blot et al., « Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.e25c6f...
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Résumé
We investigate whether monetary policy influences the retail interest rates in the Euro Areawhen the policy rate reaches the effective lower bound. We estimate a panel-Error CorrectionModel that accounts for potential heterogeneities in the transmission of monetary policy. Theanalysis disentangles alternative non-standard measures implemented by the ECB. We findthat unconventional measures have influenced banking interest rates beyond the pass-throughof the current and expected policy rate. These effects are driven by liquidity provisions in corecountries and by covered bond purchase programmes in peripheral ones.
