Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound - Sciences Po Access content directly
Other Publications Applied Economics Year : 2022

Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound

Abstract

We investigate whether ECB 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 balance-sheet policies 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 and by the covered bond purchase programmes. Those policies have been effective in the core and in the peripheral countries; however, the effect of purchases of covered-bond has been stronger in the periphery.
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hal-03970444 , version 1 (02-02-2023)

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Christophe Blot, Fabien Labondance. Beyond the interest rate pass-through: monetary policy and banks interest rates since the effective lower bound. 2022, pp.5976-5990. ⟨10.1080/00036846.2022.2056126⟩. ⟨hal-03970444⟩
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