Assessing the determinants of interest rate transmission through conditional impulse response functions /:
"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 contribu...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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[Washington, D.C.] :
International Monetary Fund,
©2013.
|
| Schriftenreihe: | IMF working paper ;
WP/13/23. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "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. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Feb. 4, 2013). "European Department"--Page 2 of pdf. "January 2013"--Page 2 of pdf. |
| Beschreibung: | 1 online resource (37 pages) : color illustrations |
| Bibliographie: | Includes bibliographical references (page 27). |
| ISBN: | 9781475596199 1475596197 9781475525717 1475525710 9781475524918 1475524919 |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Feb. 4, 2013). | ||
| 500 | |a "European Department"--Page 2 of pdf. | ||
| 500 | |a "January 2013"--Page 2 of pdf. | ||
| 520 | |a "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. | ||
| 504 | |a Includes bibliographical references (page 27). | ||
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
| 650 | 0 | |a Transmission mechanism (Monetary policy) |0 http://id.loc.gov/authorities/subjects/sh2002001718 | |
| 650 | 0 | |a Interest rates. |0 http://id.loc.gov/authorities/subjects/sh85067247 | |
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| 650 | 7 | |a Transmission mechanism (Monetary policy) |2 fast | |
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| 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. |
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| spelling | Saborowski, Christian. http://id.loc.gov/authorities/names/no2009026672 Assessing the determinants of interest rate transmission through conditional impulse response functions / Christian Saborowski and Sebastian Weber. [Washington, D.C.] : International Monetary Fund, ©2013. 1 online resource (37 pages) : color illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/13/23 Title from PDF title page (IMF Web site, viewed Feb. 4, 2013). "European Department"--Page 2 of pdf. "January 2013"--Page 2 of pdf. "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. Includes bibliographical references (page 27). 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. Transmission mechanism (Monetary policy) http://id.loc.gov/authorities/subjects/sh2002001718 Interest rates. http://id.loc.gov/authorities/subjects/sh85067247 Mécanismes de transmission (Politique monétaire) Taux d'intérêt. BUSINESS & ECONOMICS Money & Monetary Policy. bisacsh Interest rates fast Transmission mechanism (Monetary policy) fast Weber, Sebastian, 1981- https://id.oclc.org/worldcat/entity/E39PCjt6DwxhrYgKPJKdK9R6gC http://id.loc.gov/authorities/names/no2011051005 International Monetary Fund. European Department. http://id.loc.gov/authorities/names/n86100166 has work: Assessing the determinants of interest rate transmission through conditional impulse response functions (Text) https://id.oclc.org/worldcat/entity/E39PCGQB9kP77PMdHqmHyXHRVd https://id.oclc.org/worldcat/ontology/hasWork IMF working paper ; WP/13/23. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548039 Volltext |
| spellingShingle | Saborowski, Christian Assessing the determinants of interest rate transmission through conditional impulse response functions / IMF working paper ; 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. Transmission mechanism (Monetary policy) http://id.loc.gov/authorities/subjects/sh2002001718 Interest rates. http://id.loc.gov/authorities/subjects/sh85067247 Mécanismes de transmission (Politique monétaire) Taux d'intérêt. BUSINESS & ECONOMICS Money & Monetary Policy. bisacsh Interest rates fast Transmission mechanism (Monetary policy) fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2002001718 http://id.loc.gov/authorities/subjects/sh85067247 |
| title | Assessing the determinants of interest rate transmission through conditional impulse response functions / |
| title_auth | Assessing the determinants of interest rate transmission through conditional impulse response functions / |
| title_exact_search | Assessing the determinants of interest rate transmission through conditional impulse response functions / |
| title_full | Assessing the determinants of interest rate transmission through conditional impulse response functions / Christian Saborowski and Sebastian Weber. |
| title_fullStr | Assessing the determinants of interest rate transmission through conditional impulse response functions / Christian Saborowski and Sebastian Weber. |
| title_full_unstemmed | Assessing the determinants of interest rate transmission through conditional impulse response functions / Christian Saborowski and Sebastian Weber. |
| title_short | Assessing the determinants of interest rate transmission through conditional impulse response functions / |
| title_sort | assessing the determinants of interest rate transmission through conditional impulse response functions |
| topic | Transmission mechanism (Monetary policy) http://id.loc.gov/authorities/subjects/sh2002001718 Interest rates. http://id.loc.gov/authorities/subjects/sh85067247 Mécanismes de transmission (Politique monétaire) Taux d'intérêt. BUSINESS & ECONOMICS Money & Monetary Policy. bisacsh Interest rates fast Transmission mechanism (Monetary policy) fast |
| topic_facet | Transmission mechanism (Monetary policy) Interest rates. Mécanismes de transmission (Politique monétaire) Taux d'intérêt. BUSINESS & ECONOMICS Money & Monetary Policy. Interest rates |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=548039 |
| work_keys_str_mv | AT saborowskichristian assessingthedeterminantsofinterestratetransmissionthroughconditionalimpulseresponsefunctions AT webersebastian assessingthedeterminantsofinterestratetransmissionthroughconditionalimpulseresponsefunctions AT internationalmonetaryfundeuropeandepartment assessingthedeterminantsofinterestratetransmissionthroughconditionalimpulseresponsefunctions |