TY - JOUR
T1 - Convergence in Eurozone Retail Banking? What Interest Rate Pass-Through Tells Us about Monetary Policy Transmission, Competition and Integration
AU - Sander, H.
AU - Kleimeier, S.
PY - 2004/1/1
Y1 - 2004/1/1
N2 - This study aims at unifying the empirical research on interest-rate pass-through in the euro zone. After endogenously determining structural breaks we select optimal pass-through models, which allow for thresholds and asymmetric adjustment. By applying these models to monetary policy shocks as well as cost-of-funds changes, we show that in post-break periods monetary policy transmission has become faster, that heterogeneity across the euro zone has decreased in some banking markets, and that more competition improves the pass-through predominantly in deposit markets. As national characteristics are still important pass-through determinants, convergence remains incomplete and monetary policy will continue to operate in a heterogeneous euro zone.
AB - This study aims at unifying the empirical research on interest-rate pass-through in the euro zone. After endogenously determining structural breaks we select optimal pass-through models, which allow for thresholds and asymmetric adjustment. By applying these models to monetary policy shocks as well as cost-of-funds changes, we show that in post-break periods monetary policy transmission has become faster, that heterogeneity across the euro zone has decreased in some banking markets, and that more competition improves the pass-through predominantly in deposit markets. As national characteristics are still important pass-through determinants, convergence remains incomplete and monetary policy will continue to operate in a heterogeneous euro zone.
U2 - 10.1016/j.jimonfin.2004.02.001
DO - 10.1016/j.jimonfin.2004.02.001
M3 - Article
SN - 0261-5606
VL - 23(3)2004
SP - 461
EP - 492
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
ER -