No. 125. IS THE EUROZONE HOMOGENEOUS AND SYMMETRIC? AN INTEREST RATE PASS-THROUGH APPROACH BEFORE AND DURING THE RECENT FINANCIAL CRISIS

Published in DISCUSSION PAPERS

Y. Panagopoulos, A. Spiliotis. 2012.

 

This paper examines the existence of interest rate pass through (PT) Convergence (Homogeneity and Symmetry) in the Eurozone before and during the financial crisis. Our approach is based on the introduction of a new ratio, called the ‘Speed Of Adjustment Elasticity Ratio’ (SAER). This ratio examines the time needed for the increasing/decreasing wholesale (money market) rate to complete its transmission to the retail rate in the loan and deposit markets of the twelve member states of the Eurozone. From the derived results, and especially those in the loan rates markets, this convergence is challenged.

 

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