Journal of Banking & Finance Vol. 30 No. 7 2006
Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets
Abstract
This paper investigates the interest rate pass-through in the euro-zone’s retail banking markets by differentiating between expected and unexpected monetary policy impulses. The paper introduces interest futures as measures of expected interest rates into pass-through studies. By allowing various specifications of the pass-through process, including asymmetric adjustment, we find a faster pass-through in loan markets when interest rate changes are correctly anticipated. In contrast, deposit markets are found to be more rigid. Overall, our results suggest that a well-communicated monetary policy is important for a speedier and a more homogenous pass-through but may also be complemented by competition policies.
- DOI
- 10.1016/j.jbankfin.2005.07.006
- Volume
- 30
- Issue
- 7
- Pages
- 1839-1870
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib