Interest rate pass-through, monetary policy rules and macroeconomic stability

被引：35

作者：

Kwapil, Claudia ^{[1
]}

Scharler, Johann ^{[2
]}

机构：

[1] Oesterreich Natl Bank, Econ Anal Div, A-1011 Vienna, Austria

[2] Univ Linz, Dept Econ, A-4040 Linz, Austria

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2010年 / 29卷 / 02期

关键词：

Interest rate pass-through; Interest rate rules; Equilibrium determinacy; Stability; TIME-SERIES; UNIT ROOTS; GOOD SIZE; TESTS; TRANSMISSION; INFLATION; MODELS; COINTEGRATION; US;

D O I：

10.1016/j.jimonfin.2009.06.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we analyze equilibrium determinacy in a sticky price model in which the pass-through from policy rates to retail interest rates is sluggish and potentially incomplete. In addition, we empirically characterize and compare the interest rate pass-through process in the euro area and the U.S. We find that if the pass-through is incomplete in the long run, the standard Taylor principle is insufficient to guarantee equilibrium determinacy. Our empirical analysis indicates that this result might be particularly relevant for bank-based financial systems as for instance that in the euro area. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：236 / 251

页数：16

共 50 条

[11] Monetary policy transparency and pass-through of retail interest rates
Liu, Ming-Hua
Margaritis, Dimitri
Tourani-Rad, Alireza
[J]. JOURNAL OF BANKING & FINANCE, 2008, 32 (04) : 501 - 511
[12] Interest rate pass-through and monetary policy asymmetry: A journey into the Caucasian black box
Jamilov, Rustam
Egert, Balazs
[J]. JOURNAL OF ASIAN ECONOMICS, 2014, 31-32 : 57 - 70
[13] Interest rate pass-through in Europe and the US: Monetary policy after the financial crisis
Karagiannis, Stelios
Panagopoulos, Yannis
Vlamis, Prodromos
[J]. JOURNAL OF POLICY MODELING, 2010, 32 (03) : 323 - 338
[14] Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission
Huelsewig, Oliver
Mayer, Eric
Wollmershaeuser, Timo
[J]. ECONOMIC MODELLING, 2009, 26 (06) : 1310 - 1327
[15] Interest rate pass-through: econometric analysis of the effects of monetary policy decisions in the Dominican Republic
Andujar Scheker, Julio Gabriel
[J]. REVISTA FINANZAS Y POLITICA ECONOMICA, 2012, 4 (02): : 83 - 101
[16] Openness, imperfect exchange rate pass-through and monetary policy
Smets, F
Wouters, R
[J]. JOURNAL OF MONETARY ECONOMICS, 2002, 49 (05) : 947 - 981
[17] The transparency of monetary policy and the effect of exchange rate pass-through
Kartaev, Philip S.
Tubdenov, Vitalii G.
[J]. VOPROSY EKONOMIKI, 2021, (06): : 32 - 46
[18] Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound
Blot, Christophe
Labondance, Fabien
[J]. APPLIED ECONOMICS, 2022, 54 (51) : 5976 - 5990
[19] Interest rate pass-through in the Common Monetary Area of the SACU countries
Sander, Harald
Kleimeier, Stefanie
[J]. SOUTH AFRICAN JOURNAL OF ECONOMICS, 2006, 74 (02) : 215 - 229
[20] THE UKRAINIAN INTEREST RATE PASS-THROUGH IN THE POST-1999 ERA AND THE EFFECTIVENESS OF THE COUNTERCYCLICAL MONETARY POLICY
Nguyen, Chu, V
Kravchuk, Anna
[J]. JOURNAL OF EASTERN EUROPEAN AND CENTRAL ASIAN RESEARCH, 2019, 6 (02): : 191 - 204

← 1 2 3 4 5 →