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Nonlinear interest rate-setting behaviour of German commercial banks

Nonlinear interest rate-setting behaviour of German commercial banks AbstractWe quantitatively analyse the interest rate-setting behaviour of German commercial banks during the period 2003–2014, using nonlinear (smooth transition) cointegration approaches. Our empirical results reveal principles applied by commercial banks in (re-)gaining margins in the aftermath of the financial crisis. We substantiate our findings using economic arguments from a bank management perspective. As our study contributes to a better understanding of the pass-through mechanism from market to commercial banks’ customer interest rates, the results will also be relevant to meaningful assessments of the effectiveness of monetary policy measures. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Nonlinear interest rate-setting behaviour of German commercial banks

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Publisher
de Gruyter
Copyright
© 2020 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2017-0103
Publisher site
See Article on Publisher Site

Abstract

AbstractWe quantitatively analyse the interest rate-setting behaviour of German commercial banks during the period 2003–2014, using nonlinear (smooth transition) cointegration approaches. Our empirical results reveal principles applied by commercial banks in (re-)gaining margins in the aftermath of the financial crisis. We substantiate our findings using economic arguments from a bank management perspective. As our study contributes to a better understanding of the pass-through mechanism from market to commercial banks’ customer interest rates, the results will also be relevant to meaningful assessments of the effectiveness of monetary policy measures.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Jun 25, 2020

References

  • Expected Versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Euro-Zone Retail Banking Markets
  • Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy
  • How do Banks Set Interest Rates?
  • Market Volatility and Retail Interest Rate Pass-Through
  • Interest Rate Pass-Through and Monetary Transmission: Evidence from Individual Financial Institutions’ Retail Rates