Retail bank interest rate pass-through in the euro area: An empirical survey

Natalia Andries (1, 2) , Steve Billon (3)

1 CREM - Centre de recherche en économie et management
2 Research Unit of the Economics and Research Department
3 LARGE - Laboratoire de recherche en gestion et économie

This paper surveys the empirical literature on the retail bank interest rate pass-through in the euro area countries. We provide an in-depth discussion of the econometric issues challenging an appropriate assessment of the interest rate pass-through, such as unit root and structural break tests and asymmetry treatment. We offer an overview of the empirical evidence regarding the extent of the short-run and long-run interest rate pass-through and the adjustment dynamics of bank interest rates. We also provide insight into the state of monetary policy transmission more than 15 years after the introduction of the euro, and in the aftermath of the financial and sovereign debt crises.

Mots clés: Interest rate pass-through; monetary policy; bank interest rates; euro area

Domaines: Economies et finances; Gestion et management

Natalia Andries, Steve Billon. Retail bank interest rate pass-through in the euro area: An empirical survey. Economic Systems, 2016, 40 (1), pp.170-194. ⟨10.1016/j.ecosys.2015.06.001⟩. ⟨halshs-01354597⟩