Financial Structure and Its Impact on the Convergence of Interest Rate Pass-through in Europe PDF Download
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Author: Wolfgang Schwarzbauer
Publisher: CEPS
ISBN: 929079691X
Category :
Languages : en
Pages : 42
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Book Description
Author: Wolfgang Schwarzbauer
Publisher: CEPS
ISBN: 929079691X
Category :
Languages : en
Pages : 42
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Book Description
Author: Joseph M. Berrospide
Publisher: DIANE Publishing
ISBN: 1437939864
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. The authors use panel-regression techniques to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. They then consider the effect of capital ratios on lending using a variant of Lown and Morgan's VAR model, and again find modest effects of bank capital ratio changes on lending. The authors¿ estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments. Illus. A print on demand pub.
Author: Mr.Jeffrey R. Franks
Publisher: International Monetary Fund
ISBN: 1484338499
Category : Business & Economics
Languages : en
Pages : 47
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Book Description
We examine economic convergence among euro area countries on multiple dimensions. While there was nominal convergence of inflation and interest rates, real convergence of per capita income levels has not occurred among the original euro area members since the advent of the common currency. Income convergence stagnated in the early years of the common currency and has reversed in the wake of the global economic crisis. New euro area members, in contrast, have seen real income convergence. Business cycles became more synchronized, but the amplitude of those cycles diverged. Financial cycles showed a similar pattern: sychronizing more over time, but with divergent amplitudes. Income convergence requires reforms boosting productivity growth in lagging countries, while cyclical and financial convergence can be enhanced by measures to improve national and euro area fiscal policies, together with steps to deepen the single market.
Author: Vitor Gaspar
Publisher:
ISBN: 9789291813483
Category : Banks and banking
Languages : en
Pages : 334
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Book Description
Author: European Central Bank
Publisher:
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 376
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Book Description
Author: Gabe J. De Bondt
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 184
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Book Description
Taking data from 1980 to 1995 and empirical evidence from six European countries an economist at De Nederlandsche Bank, investigates whether cross-country variations in financial structure have a systematic relationship with inter-country differences in the monetary transmission process. The countries are Germany, France, Italy, Britain, Belgium, and the Netherlands. The conclusion is that some elements of the financial structure are clearly relevant and applicable for European monetary policy and the monetary transmission process in particular. Annotation copyrighted by Book News, Inc., Portland, OR
Author: Harald Sander
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
Author: Teresa Corzo Santamaria
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The economic and political changes which are taking place in Europe affect interest rates. This paper develops a two-factor model for the term structure of interest rates specially designed to apply to EMU countries. In addition to the participant countries' short-term interest rate, we include as a second factor a European short-term interest rate. We assume that the European rate follows a mean reverting process. The domestic interest rate also follows a mean reverting process, but its convergence is to a stochastic mean which is identified with the European rate. Closed-form solutions for prices of zero coupon discount bonds and options on these bonds are provided. A special feature of the model is that both the domestic and the European interest rate risks are priced. We also discuss an empirical estimation focusing on the Spanish bond market. The European rate is proxied by the ecu's interest rate. Through a comparison of the performance of our convergence model with a Vasicek model for the Spanish bond market, we show that our model provides a better fit both in-sample and out-of sample and that the difference in performance between the models is greater the longer the maturity of the bonds.
Author: Ignazio Angeloni
Publisher: Cambridge University Press
ISBN: 1139438816
Category : Business & Economics
Languages : en
Pages : 515
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Book Description
This 2003 book offers the most systematic analysis available of the impact of European Central Bank monetary policy on the national economies of the Eurozone. Analysing macro and micro-economic evidence, with chapters by central bank economists, including a discussion chapter by eminent macroeconomists, it is an essential contribution to research on the subject.
Author: Michael Flad
Publisher:
ISBN: 9783865583451
Category :
Languages : de
Pages : 37
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Book Description
This study examines differences in the interest rate response to an ECB policy impulse in the euro area, the new EU-member states, and in the other non-euro zone EU countries in order togauge the degree of interest rate alignment in Europe. To this end, PANIC, a Panel Analysis of Non-stationarity in I diosyncratic and Common components, is employed in a structural factor set-up. Under the assumption that the ECB sets the short end of the yield curve, the analysis shows that: (i) The response of Europe's money and government bond marketsto new information can be summarized by two common stochastic trends and one stationary common factor, which together explain more than 68% of the overall variation of the two market segments; (ii) one of the factor innovations can be associated with the ECB's policy stance,which strongly affects the short end of the euro area's yield curve; (iii) compared to the euro area, the short-term market segments in the new EU-member states react, on average, 12%more weakly to the monetary policy signal, whereas these countries' long-term government bond yields respond up to 25% more strongly to such a common innovation.
