Details

Autor(en) / Beteiligte

• Heinzelmann, Ludwig
• Missong, Martin

Titel

Nonlinear interest rate-setting behaviour of German commercial banks

Ist Teil von

• Studies in nonlinear dynamics and econometrics, 2020-06, Vol.24 (3), p.1

Ort / Verlag

Berlin: De Gruyter

Erscheinungsjahr

2020

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• We 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.