Monetary and banking policy transmission through interest rates: an empirical application to the USA, Canada, the UK and the Eurozone

References

• Atesoglou , H.S. 2003–4 . Monetary transmission‐federal funds rate and prime rate . Journal of Post Keynesian Economics , 26 : 357 – 63 .
   Google Scholar
• Bachmeier , L.J. and Griffin , J.M. 2003 . New evidence on asymmetric gasoline price responses . The Review of Economics and Statistics , 85 ( 3 ) : 772 – 6 .
   Web of Science ®Google Scholar
• Balke , N.S. and Fomby , T.B. 1997 . Threshold cointegration . International Economic Review , 38 : 627 – 45 .
   Web of Science ®Google Scholar
• Cottareli , C. and Kourelis , A. 1994 . “ Financial structure, bank lending rates, and the transmission mechanism of monetary policy ” . Washington, DC IMF Working Paper 95/38
   Google Scholar
• Enders , W. and Granger , C.W.J. 1998 . Unit‐root tests and asymmetric adjustment with an example using the term structure of interest rates . Journal of Business and Economic Statistics , 16 : 304 – 11 .
   Web of Science ®Google Scholar
• Enders , W. and Siklos , P.L. 2001 . Cointegration and threshold adjustment . Journal of Business and Economic Statistics , 19 : 166 – 7 .
   Web of Science ®Google Scholar
• Fried , J. and Howitt , P. 1980 . Credit rationing and implicit contract theory . Journal of Money, Credit and Money , 12 ( 3 ) : 471 – 87 .
   Google Scholar
• Fuertes , A.‐M. , Heffernan , S.A. and Kalotychou , E. 2006 . “ Nonlinearity in the British interest rate transmission mechanism ” . Cass Business School . Working Paper
   Google Scholar
• Goodhart , C.A.E. 1994 . What should central banks do? What should be their macroeconomics objectives and operations? . Economic Journal , 104 : 1424 – 36 .
   Google Scholar
• Goodwin , B.K. and Harper , D.C. 2000 . Price transmission, threshold behavior, and asymmetric adjustment in the US pork sector . Journal of Agricultural and Applied Economics , 32 ( 3 ) : 543 – 53 .
   Google Scholar
• Granger , C.W.J. and Engle , R.F. 1987 . Cointegration and error‐correction: Representation, estimation and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Hannan , T. and Berger , A. 1991 . The rigidity of prices: Evidence from the banking industry . American Economic Review , 81 : 938 – 45 .
   Web of Science ®Google Scholar
• Heffernan , S.A. 1997 . Modelling British interest rate adjustment: An error correction approach . Economica , 64 : 211 – 31 .
   Web of Science ®Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 (June/September) : 231 – 54 .
   Google Scholar
• Klemperer , P. 1987 . Markets with consumer switching costs . Quarterly Journal of Economics , 102 ( 2 ) : 375 – 94 .
   Web of Science ®Google Scholar
• Lavoie , M. 1984 . The endogenous flow of credit and the post Keynesian theory . Journal of Economic Issues , XVIII ( 3 ) : 771 – 97 .
   Google Scholar
• Lowe , P. and Rohling , T. 1992 . “ Loan rate stickiness: Theory and evidence ” . Reserve Bank of Australia . Research Discussion Paper 9206
   Google Scholar
• Lutkepohl , H. and Reimers , H.‐E. 1992 . Granger‐causality in cointegrated VAR process: The case of term structure . Economic Letters , 40 : 263 – 8 .
   Web of Science ®Google Scholar
• Meyer , J. and Von Cramon‐Taubabel , S. 2004 . Asymmetric price transmission: A survey . Journal of Agricultural Economics , 55 ( 3 ) : 581 – 611 .
   Web of Science ®Google Scholar
• Moore , B. 1988 . Horizontalists and verticalists: The macroeconomics of credit money , Cambridge : Cambridge University Press .
   Google Scholar
• Neuwark , D. and Sharpe , S. 1992 . Market structure and the nature of price rigidity: Evidence from consumer deposits . Quarterly Journal of Economics , 107 : 657 – 81 .
   Web of Science ®Google Scholar
• Panagopoulos , Y. and Reziti , I. 2008 . Asymmetric price transmission in the Greek agri‐food sector: Some tests . Agribusiness , 24 ( 1 ) : 16 – 30 .
   Google Scholar
• Rao , B.B. and Rao , G. 2008 . Are US gasoline price adjustments asymmetric? . Applied Economic Letters , 15 : 443 – 7 .
   Web of Science ®Google Scholar
• Rao , B.B. and Singh , R. 2006 . Demand for money for Fiji with PcGets . Applied Economic Letters , 13 : 987 – 91 .
   Web of Science ®Google Scholar
• Rochon , P.‐L. 1999 . Credit, money and production , Cheltenham : Edward Elgar .
   Google Scholar
• Sander , H. and Kleimeier , S. 2002 . Asymmetric adjustment of commercial bank interest rate pass‐through . Kredit und Kapital , 35 ( 2 ) : 161 – 92 .
   Google Scholar
• Sander , H. and Kleimeier , S. 2006 . Interest rate pass‐through in the common monetary area of the SACU countries . South African Journal of Economics , 74 ( 2 ) : 215 – 29 .
   Web of Science ®Google Scholar
• Stiglitz , J.E. and Weiss , A. 1981 . Credit rationing in markets with imperfect information . American Economic Review , 71 ( 3 ) : 393 – 410 .
   Web of Science ®Google Scholar
• Taylor , J.B. 2000 . Alternative views of the monetary transmission mechanism: What difference do they make for Monetary policy? . Oxford Review of Economic Policy , 16 : 60 – 73 .
   Web of Science ®Google Scholar
• Toolsema , L.A. , Sturm , J.‐E. and De Haan , J. 2001 . “ Convergence of monetary transmission in Eurozone: New evidence ” . Munich CESifo Working Paper 465
   Google Scholar
• Von Cramon‐Taubadel , S. 1998 . Estimating asymmetric price transmission with error correction representation: An application to the German Pork Market . European Review of Agricultural Economics , 25 : 1 – 18 .
   Web of Science ®Google Scholar
• Von Cramon‐Taubadel , S. and Loy , J.P. 1997 . Price asymmetry in the international wheat market: Comment . Canadian Journal of Agricultural Economics , 44 : 311 – 17 .
   Web of Science ®Google Scholar
• Von Cramon‐Taubadel , S. and Meyer , J. 2000 . “ Asymmetric price transmission: Fact or artefact? ” . Institut for Agricultural Economy, University Göttingen . Working Paper
   Google Scholar