English, Article edition: Econometric analysis of interest rate pass-through Steven Cook

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Econometric analysis of interest rate pass-through
Author
  • Steven Cook
Physical Description
  • article
Notes
  • The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the U.S. 30-year fixed mortgage rate. In contrast to work of Payne (2006), which draws an inference of incomplete interest rate pass-through, the adoption of an unbiased method leads to the conflicting conclusion that it is complete. The importance of adopting an unbiased method is noted given the central role of interest rate pass-through in the effectiveness and transmission of monetary policy.
  • RePEc:taf:apfelt:v:4:y:2008:i:4:p:249-251
Language
  • English
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