The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

Hristov, Nikolay; Hülsewig, Oliver; Wollmershaeuser, Timo

doi:10.2139/ssrn.2165794

Cited by 9 publications

(12 citation statements)

References 38 publications

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“…A more recent strand of the literature has focused on the effects of the financial crisis. Hristov, Hlsewig, and Wollmershuser (2012) find that pass-through in the euro area became significantly less complete during the crisis. Using country-level data, Darracq-Paries, Moccero, Krylova, and Marchini (2014) find that heterogeneity in interest rates during the euro area financial and sovereign debt crisis is related to credit risk and risk perceptions, banks' under-capitalisation, poor quality of their assets and fragmentation in bank funding conditions.…”

Section: Theory and Literaturementioning

confidence: 77%

Jagged Cliffs and Stumbling Blocks: Interest Rate Pass-Through Fragmentation During the Euro Area Crisis

Holton

d’Acri

2015

SSRN Journal

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Section: Theory and Literaturementioning

confidence: 77%

Jagged Cliffs and Stumbling Blocks: Interest Rate Pass-Through Fragmentation During the Euro Area Crisis

Holton

d’Acri

2015

SSRN Journal

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“…More recent studies focused on the impact of GFC on the interest rate pass-through (Hansen and Welz, 2011;Hristov et al, 2014;Karagiannis et al, 2010). The results show that interest rate pass-through has been impaired since the GFC as a result of changes in the banking industry as well as the economy.…”

Section: Introductionmentioning

confidence: 94%

“…In the literature, it is also well documented that banks became more conservative in their lending after the outbreak of GFC as they tightened lending standards and reduced financial leverage by increasing regulatory capital (Hristov et al, 2014;Liu et al, 2016;RBA, 2010RBA, , 2011.…”

Section: Introductionmentioning

confidence: 99%

Bank competition, interest rate pass-through and the impact of the global financial crisis: evidence from Hong Kong and Macao

Liu

2022

CFRI

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PurposeThe authors examine the interest rate pass-through in Hong Kong (HK) and Macao both in the long term and short term.Design/methodology/approachThe authors use time series methodology, i.e. unit root, cointegration and error correction models.FindingsThe results show that in the post-global financial crisis (GFC) period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and are weakened significantly in Hong Kong. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly.Research limitations/implicationsThe results indicate that the effectiveness of monetary policy in HK and Macao has been seriously undermined in the post-GFC period. New tools are needed in both regions.Practical implicationsMonetary policy transmission via bank interest rates in both HK and Macao are no longer effective after the outbreak of the GFC.Social implicationsEffort to stimulate the economy and/or control inflation will be hampered.Originality/valueTo the best of the authors’ knowledge, this is the first study to examine the impact of the GFC on the effectiveness of monetary policy transmission in HK and Macao.

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“…The financial crisis of 2008 is an excellent example of where this transmission mechanism was weakened. In this regard, we can cite the following studies (Illes et al, 2015;Hristov et al, 2014;Gambacorta et al, 2014) that have highlighted bank-specific characteristics (market structure, increase in risk premia on bank resources...), as well as other factors relating to structural or institutional changes to explain the decline in the dynamics of monetary policy transmission, and the increase in uncertainty.…”

Section: ) Strategic Uncertaintymentioning

confidence: 99%

Monetary Policy Under Uncertainty: The Case of COVID-19 Health Crisis in Morocco

Najab

Lajfari²,

Amrani³

2022

EJBMR

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The COVID-19 health crisis marked the beginning of a series of shocks that are a source of uncertainty that impacts the decision-making process of central banks around the world. The aim of this paper is to analyze the conduct of Morocco's monetary policy in a context of uncertainty, that of the COVID-19 health crisis. The results of our analysis have shown that in a context of uncertainty, the central bank is called upon to increase its communication to better guide the expectations of economic agents and ensure better transmission of the various monetary policy measures to the real economy. In addition, it must show itself to be credible by transmitting clear signals to restore the confidence of economic agents. However, central bank action alone is not enough. Conditions must be met, on the credit supply and credit demand sides, to remedy the structural imbalances that are holding back the competitiveness of our economy and to counter uncertainty.

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The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis

Cited by 9 publications

References 38 publications

Jagged Cliffs and Stumbling Blocks: Interest Rate Pass-Through Fragmentation During the Euro Area Crisis

Jagged Cliffs and Stumbling Blocks: Interest Rate Pass-Through Fragmentation During the Euro Area Crisis

Bank competition, interest rate pass-through and the impact of the global financial crisis: evidence from Hong Kong and Macao

Monetary Policy Under Uncertainty: The Case of COVID-19 Health Crisis in Morocco

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