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| Titel: |
Are there asymmetries in the response of bank interest rates to monetary shocks? |
| Auteur: |
Gambacorta, Leonardo Iannotti, S. |
| Verschenen in: |
Applied economics |
| Paginering: | Jaargang 39 (2007) nr. 19 pagina's 2503-2517 |
| Jaar: |
2007-10 |
| Inhoud: |
This article examines the velocity and asymmetry of the response of bank interest rates to monetary policy shocks. Using an asymmetric vector error correction model, it analyses the pass-through of changes in money market rates to retail bank interest rates in Italy in the period 1985-2002. The main results of the article are: (1) the speed of adjustment of bank interest rates to monetary policy changes increased significantly after the introduction of the 1993 Consolidated Law on Banking; (2) interest rate adjustment in response to positive and negative shocks is asymmetric in the short run, but not in the long run; (3) banks adjust their loan (deposit) rate faster during periods of monetary tightening (easing); (4) this asymmetry almost vanished since the 1990s. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 6 van 46 gevonden artikelen
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