Interest rate pass-through in the euro area: The effect of financial crisis

• Thesis title in Czech: Úrokový transmisní mechanismus v eurozóně: ; vliv finanční krize
• Thesis title in English: Interest rate pass-through in the euro area: ; The effect of financial crisis
• Key words: monetární politika, finanční krize, transmisní mechanizmus úrokových sazeb, transmise monetární politiky, centrální banky
• English key words: monetary policy, financial crisis, interest rate pass-through, monetary transmission, central banks
• Academic year of topic announcement: 2013/2014
• Thesis type: Bachelor's thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: prof. Roman Horváth, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 10.03.2014
• Date of assignment: 10.03.2014
• Date and time of defence: 18.06.2015 08:00
• Venue of defence: IES
• Date of electronic submission: 14.05.2015
• Date of proceeded defence: 18.06.2015
• Opponents: Arshad Hayat, M.Sc., Ph.D.

Preliminary scope of work in English

In this thesis we plan to study the development of interest-rate transmission mechanism of monetary policy, i.e. the relationship between money market rates and bank interest rates during the financial crisis of 2008 in eurozone, focusing on cross-country differences, mainly between peripheral and core countries and effects of particular policies (such as OMT). In order to analyse the above-mentioned relationship, Engle-Granger cointegration method will be applied.

The working hypotheses are as follows:
1.Interest rate-pass through in eurozone become less complete during the financial crisis of 2008 due to the turmoil on the
financial markets
2.The heterogeneity in IRPT among eurozone countries was intensified during the financial crisis and its nature diverged
between peripheral and core countries
3.The extent of pass through differs between various bank rates

The expected structure is as follows:
1.Introduction
2.Literature review (overview of bibliography is provided below) and brief description of theoretical background behind the
IRPT mechanism and its determinants
3.Description of data
4. Empirical model- based on Engle-Granger method
5. Discussion of results
6. Conclusion & ideas for further research


Literature overview:

Anamaria Illes & Marco Jacopo Lombardi, 2013. "Interest rate pass-through since the financial crisis," BIS Quarterly Review, Bank for International Settlements, September.

Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 1-24.

de Bondt, Gabe, 2002. "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series 0136, European Central Bank.

Horváth, Roman & Podpiera, Anca, 2012. "Heterogeneity in bank pricing policies: The Czech evidence," Economic Systems, Elsevier, vol. 36(1), pages 87-108.

Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2012. "The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis," CESifo Working Paper Series 3964, CESifo Group Munich.