English, Article, Journal or magazine article edition: The Evolution of Loan Rate Stickiness Across the Euro Area Jouchi Nakajima; Yuki Teranishi

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Bookmark: http://trove.nla.gov.au/version/35384
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Evolution of Loan Rate Stickiness Across the Euro Area
Author
  • Jouchi Nakajima
  • Yuki Teranishi
Physical Description
  • preprint
Notes
  • To investigate the banking sector integration across euro area countries in terms of loan interest rate stickiness, we estimate structural loan rate curves for 12 euro area countries using time-varying regressions with stochastic volatility. Our results show that the loan rates are sticky to a policy interest rate in all countries for all loan maturities, the degree of stickiness differs across the countries, and the degree of difference is more prominent for longer loan maturities. For short-term loans, the loan rate stickiness decreases and for intermediate- and long-term loans the loan rate stickiness converge to average levels during the sample periods. Banking integration in the euro area is not yet complete, but the degree of heterogeneity in the loan rate stickiness decreases.
  • banking integration, sticky loan interest rate, Bayesian analysis, time-varying regression, Markov chain Monte Carlo
  • RePEc:ime:imedps:09-e-010
Language
  • English
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