| Description |
1 online resource (37 pages) : color illustrations |
| Series |
IMF working paper ; WP/13/23 |
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IMF working paper ; WP/13/23.
|
| Contents |
Cover; Abstract; Table of Contents; I. Introduction; II. Empirical Strategy; A. Econometric Approach; B. Data; III. Results; Figure; Figure 1: Average Impulse Response of Lending Rate to Policy Rate Shock; Figure 2: Cumulative Conditional Impulse Response Functions: Adding One Country Characteristic at a Time; Figure 3: Pass-Through Decompositions Predicted by the Model with the Full Set of Interaction Terms; Figure 4: Average Pass-Through Over Time Predicted by the Model with the Full Set of Interaction Terms; IV. Conclusion |
|
Figure 5: Average Impulse Response to Policy Rate Shock in Different Model SpecificationsFigure 6: Scatter Plots of Country Characteristics vs Pass-Through Estimates in Country-Specific VARs; Figure 7: Cumulative conditional Impulse Response Functions Using the Full Model; Figure 8: Pass-Through Estimates Predicted by PVAR vs. Estimates Based on Country-Specific VARs; Figure 9: Robustness: Pass-Through Decompositions Predicted by the Baseline Model Compared with Different Specifications |
| Summary |
"We employ a structural panel VAR model with interaction terms to identify determinants of effective transmission from central bank policy rates to retail lending rates in a large country sample. The framework allows deriving country specific pass-through estimates broken down into the contributions of structural country characteristics and policies. The findings suggest that industrial economies tend to enjoy a higher pass-through largely on account of their more flexible exchange rate regimes and their more developed financial systems. The average pass-through in our sample increased from 30 to 60 percent between 2003 and 2008, mainly due to positive risk sentiment, rising inflation and increasingly diversified banking sectors. The crisis reversed this trend partly as banks increased precautionary liquidity holdings, non-performing loans proliferated and inflation moderated"--Abstract |
| Notes |
Title from PDF title page (IMF Web site, viewed Feb. 4, 2013) |
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"European Department"--Page 2 of pdf |
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"January 2013"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (page 27) |
| Subject |
Transmission mechanism (Monetary policy)
|
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Interest rates.
|
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BUSINESS & ECONOMICS -- Money & Monetary Policy.
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Interest rates
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Transmission mechanism (Monetary policy)
|
| Form |
Electronic book
|
| Author |
Weber, Sebastian, 1981-
|
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International Monetary Fund. European Department.
|
| ISBN |
9781475596199 |
|
1475596197 |
|
9781475525717 |
|
1475525710 |
|
9781475524918 |
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1475524919 |
|
