Interest Rate Pass‐Through and Monetary Transmission
Evidence from Individual Financial Institutions' Retail Rates
Bibliographic Data
| ID | 9722869 |
|---|---|
| Authors | Boris Hofmann (0000-0002-2107-782X), Paul Mizen (0000-0002-6193-0872) |
| Year | 2004 |
| Volume | 71 |
| Issue | 281 |
| Pages | 99-123 |
| Publication date | 2004-02-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/j.0013-0427.2004.00359.x |
| OpenAlex | W2155972634 |
| Language | EN |
| Citations received | 10 |
| References cited | 40 |
Official interest rate changes should influence short rates on money market instruments and retail products, such as deposit accounts and mortgages, but complete pass‐through is often taken for granted. This paper provides a theoretical and econometric framework for assessing the evidence for this assumption using seventeen years of monthly data for rates on thirteen deposit and mortgage products offered by individual UK financial institutions. The methodology allows for asymmetries and non‐linearities in adjustment and the results show that the speed of adjustment in retail rates depends on whether the perceived ‘gap’ between retail and base rates is widening or narrowing
Business · Econometric analysis · Econometrics · Economics · Financial system · Interest rate · Monetary economics · Economic, financial, and policy analysis · Housing Market and Economics · Monetary Policy and Economic Impact
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| Unique citing works | 10 |
|---|---|
| Citations per year | 0,67 |
| Citation span | 2011 - 2023 (13) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 8 |