Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound
Résumé
We investigate whether monetary policy influences the retail interest rates in the Euro Area
when the policy rate reaches the effective lower bound. We estimate a panel-Error Correction
Model that accounts for potential heterogeneities in the transmission of monetary policy. The
analysis disentangles alternative non-standard measures implemented by the ECB. We find
that unconventional measures have influenced banking interest rates beyond the pass-through
of the current and expected policy rate. These effects are driven by liquidity provisions in core
countries and by covered bond purchase programmes in peripheral ones.
Domaines
Economies et finances
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