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Les dynamiques de transmission des taux directeurs sur les taux bancaires en Europe

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  • Raphaël Jeudy

Abstract

Analyses of the transmission of money market rates to retail interest rates are a way to appreciate some effects of the monetary policy. The main question since Euro is the convergence of this transmission in the Euro zone. The aim of this study is to find likeness in evolutions and dynamics of transmission to confirm or to reject the convergence hypothesis. In this way, estimates of the pass-through have been conducted with rolling regressions between 1990 and 2004 on 11 countries (Belgium, Germany, France, Spain, Italy, Ireland, Portugal, Austria, Netherlands, Finland and Greece) and on several retail interest rates (N2, N3, N4, N5 and N8). This pass-through approach is a way to study transmission’s dynamics between interest rates. Finally, we made the same approach with threshold models to underline asymmetric dynamics.

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  • Raphaël Jeudy, 2008. "Les dynamiques de transmission des taux directeurs sur les taux bancaires en Europe," EconomiX Working Papers 2008-8, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2008-8
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    File URL: http://economix.fr/pdf/dt/2008/WP_EcoX_2008-08.pdf
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    Cited by:

    1. Jean-Yves Filbien & Fabien Labondance, 2012. "Reactions Des Marches D’Actions De La Zone Euro Aux Annonces Non Anticipees De La Bce," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(2), pages 179-204.

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