المستودع الأكاديمي جامعة المدينة

Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe

أعرض تسجيلة المادة بشكل مبسط

dc.creator Fladung, Michael
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:25Z
dc.date.available 2013-10-16T07:06:25Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19704
dc.identifier ppn:546269648
dc.identifier RePEc:zbw:bubdp1:6343
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19704
dc.description This study examines differences in the interest rate response to an ECB policy impulse in the euro area, the new EU-member states, and in the other non-eurozone EU countries in order to gauge the degree of interest rate alignment in Europe. To this end, PANIC, a Panel Analysis of Non-stationarity in I diosyncratic and Common components, is employed in a structural factor set-up. Under the assumption that the ECB sets the short end of the yield curve, the analysis shows that : (i) The response of Europe's money and government bond markets to new information can be summarized by two common stochastic trends and one stationary common factor, which together explain more than 68% of the overall variation of the two market segments; (ii) one of the factor innovations can be associated with the ECB's policy stance, which strongly affects the short end of the euro area's yield curve; (iii) compared to the euro area, the short-term market segments in the new EU-member states react, on average, 12% more weakly to the monetary policy signal, whereas these countries' long-term government bond yields respond up to 25% more strongly to such a common innovation.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,27
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E52
dc.subject G15
dc.subject C33
dc.subject ddc:330
dc.subject Factor Models
dc.subject Common Stochastic Trends
dc.subject Interest Rate Channel
dc.subject New Member States
dc.subject Mixed Data Sampling
dc.subject Geldpolitik
dc.subject Zinsparität
dc.subject Spillover-Effekt
dc.subject EU-Staaten
dc.subject EU-Staaten (Osteuropa)
dc.title Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe
dc.type doc-type:workingPaper


الملفات في هذه المادة

الملفات الحجم الصيغة عرض

لا توجد أي ملفات مرتبطة بهذه المادة.

هذه المادة تبدو في المجموعات التالية:

أعرض تسجيلة المادة بشكل مبسط