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Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison

Author

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  • Raunig Burkhard

    (Oesterreichische Nationalbank, Otto-Wagner-Platz 3,Wien-Alsergrund, Austria)

  • Scharler Johann

    (University of Linz, Altenbergerstraße 69,Linz, Austria)

Abstract

This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD countries.We find that, with the exception of the United States, money market uncertainty has only a modest impact on the conditional volatility of retail interest rates. Even for the United States, we find that the effects of money market uncertainty are spread out over time. Our results also indicate that money market uncertainty tends to be passed on to retail rates to a lesser extent in countries where banking relationships play a substantial role.

Suggested Citation

  • Raunig Burkhard & Scharler Johann, 2009. "Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison," German Economic Review, De Gruyter, vol. 10(2), pages 176-192, May.
    • Handle: RePEc:bpj:germec:v:10:y:2009:i:2:p:176-192
    DOI: 10.1111/j.1468-0475.2008.00454.x
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    1. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.
    2. Xuejun Jin & Frank M. Song & Yizhong Wang & Yi Zhong, 2014. "Interest Rate Pass-through in a Dual-track System: Evidence from China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 22(4), pages 21-39, July.

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    More about this item

    Keywords

    Interest rate pass-through; relationship banking; conditional volatility;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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