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Retail bank interest rate pass-through in the euro area: An empirical survey

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  • Andries, Natalia
  • Billon, Steve
Abstract
This paper surveys the empirical literature on the retail bank interest rate pass-through in the euro area countries. We provide an in-depth discussion of the econometric issues challenging an appropriate assessment of the interest rate pass-through, such as unit root and structural break tests and asymmetry treatment. We offer an overview of the empirical evidence regarding the extent of the short-run and long-run interest rate pass-through and the adjustment dynamics of bank interest rates. We also provide insight into the state of monetary policy transmission more than 15 years after the introduction of the euro, and in the aftermath of the financial and sovereign debt crises.

Suggested Citation

  • Andries, Natalia & Billon, Steve, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Economic Systems, Elsevier, vol. 40(1), pages 170-194.
    • Handle: RePEc:eee:ecosys:v:40:y:2016:i:1:p:170-194
    DOI: 10.1016/j.ecosys.2015.06.001
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    More about this item

    Keywords

    Interest rate pass-through; Monetary policy; Bank interest rates; Euro area;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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