Interest rate pass-through and illiquidity shocks in the US

References

• Aarle , B. V. and Budina , N. 1996 . Currency Substitution and Seignorage in Eastern Europe . The Journal of Policy Reform , 1 ( 3 ) : 279 – 298 .
   Google Scholar
• Andersen , T. and Lund , G. 1997 . Estimating Continuous-Time Stochastic Volatility Models of the Short Term Interest Rate . Journal of Econometrics , 77 : 343 – 377 .
   Web of Science ®Google Scholar
• Arend, M. 2010. “Financial Shocks, Financial Frictions and Financial Intermediaries in DSGE Models: Comments on the Recent Literature.” Unpublished.
   Google Scholar
• Beladi , H. and Samanta , S. K. 1988 . Unanticipated Monetary Policy and Real Output: Some Evidence from the UK Economy . Applied Economics , 20 : 721 – 729 .
   Web of Science ®Google Scholar
• Bernanke, B. S. 1990. “On the Predictive Power of Interest Rates and Interest Rate Spreads.” New England Economic Review. Federal Reserve Bank of Australia, Nov/Dec, 51–68.
   Google Scholar
• Berument , H. and Froyen , R. 2009 . Monetary Policy and U.S. Long-Term Interest Rates: How Close Are the Linkages? . Journal of Economics and Business , 61 ( 1 ) : 34 – 50 .
   Google Scholar
• Brenner , R. , Harjes , R. and Kroner , K. 1996 . Another Look at Models of the Short-Term Interest Rate . Journal of Financial and Quantitative Analysis , 31 : 85 – 107 .
   Web of Science ®Google Scholar
• Brunnermeier , M. and Pedersen , L. 2009 . Market Liquidity and Funding Liquidity . Review of Financial Studies , 22 ( 6 ) : 2201 – 2238 .
   Web of Science ®Google Scholar
• Brunnermeier, M. K., T. M. Eisenbach, and Y. Sannikov. 2012. “Macroeconomics with Financial Frictions: A Survey.” NBER Working Paper 18102.
   Google Scholar
• Enders , W. and Siklos , P. 2001 . Cointegration and Threshold Adjustment . Journal of Business and Economic Statistics , 19 : 166 – 176 .
   Web of Science ®Google Scholar
• Engle , R. F. 2002 . Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models . Journal of Business and Economic Statistics , 20 : 339 – 350 .
   Web of Science ®Google Scholar
• Engel , R. F. and Granger , C. W. J. 1987 . Cointegration and Error Correction: Representation, Estimation, and Testing . Econometrica , 55 : 251 – 276 .
   Web of Science ®Google Scholar
• Engle , R. F. , Ito , T. and Lin , W. L. 1990 . Meteor Showers or Heat Waves? Heteroscedastic Intra-Daily Volatility in the Foreign Exchange Market. . Econometrica , 58 : 525 – 542 .
   Web of Science ®Google Scholar
• Engle , R. F. and Ng , V. 1993 . Measuring and Testing of the Impact of News on Volatility . Journal of Finance , 48 : 1749 – 1778 .
   Web of Science ®Google Scholar
• Frank, N., B. González-Hermosillo, and H. Hesse. 2008. “Transmission of Liquidity Shocks: Evidence From the 2007 Subprime Crisis.” IMF Working Paper WP/08/200.
   Google Scholar
• Genberg , H. 2002 . Inflation Targeting – The Holy Grail of Monetary Policy? . Journal of Policy Reform , 5 ( 3 ) : 161 – 171 .
   Google Scholar
• Glosten , L. , Jagannathan , R. and Runkle , D. 1993 . On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks . Journal of Finance , 48 ( 5 ) : 1779 – 1801 .
   Web of Science ®Google Scholar
• Hofmann, B., 2002. “The Pass-Through of Money Market Rates to Business Loan Rates in the Euro Area Countries.” Mimeo, Center for European Integration Studies ZEI, University of Bonn, Bonn.
   Google Scholar
• Horváth, C., J. Krekó, and A. Naszódi. 2004. “Interest Rate Pass-Through in Hungary.” MNB Working Paper.
   Google Scholar
• Inclán , C. and Tiao , G. C. 1994 . Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance . Journal of the American Statistical Association , 89 : 913 – 923 .
   Web of Science ®Google Scholar
• Jerman, U., and E. Quadrini. 2009. “Macroeconomic Effects of Financial Shocks.” NBER Working Paper 15338.
   Google Scholar
• Karagiannis , S. , Panagopoulos , Y. and Vlamis , P. 2010 . Interest Rate Pass-Through in Europe and the US: Monetary Policy After the Financial Crisis . Journal of Policy Modeling , 32 : 323 – 338 .
   Web of Science ®Google Scholar
• Kashyap , A. K. and Stein , J. C. 2000 . What Do a Million Observations on Banks Say about the Transmission of Monetary Policy? . American Economic Review , 90 ( 3 ) : 407 – 428 .
   Web of Science ®Google Scholar
• Kashyap , A. K. , Stein , J. C. and Wilcox , D. W. 1993 . Monetary Policy and Credit Conditions: Evidence From the Composition of External Finance . American Economic Review , 83 ( 1 ) : 78 – 98 .
   Web of Science ®Google Scholar
• Kleimeier , S. and Sander , H. 2006 . Expected versus Unexpected Monetary Policy Impulses and Interest Rate Pass-Through in Euro-Zone Retail Banking Markets . Journal of Banking and Finance , 30 : 1839 – 1870 .
   Web of Science ®Google Scholar
• Kobayashi , T. 2009 . Announcements and the Effectiveness of Monetary Policy: A View from the US Prime Rate . Journal of Banking & Finance , 33 : 2253 – 2266 .
   Web of Science ®Google Scholar
• Kwapil , C. and Scharler , J. 2010 . Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability . Journal of International Money and Finance , 29 : 236 – 251 .
   Web of Science ®Google Scholar
• Lim , G. C. 2001 . Bank Interest Rates Adjustment: Are They Asymmetric? . Economic Record , 77 : 135 – 147 .
   Web of Science ®Google Scholar
• Lowe, P., and T. Rohling, 1992. “Loan Rate Stickiness: Theory and Evidence.” Research Discussion Paper, Reserve Bank of Australia.
   Google Scholar
• MacKinnon , J. G. 1996 . Numerical Distribution Functions for Unit Root and Cointegration Tests . Journal of Applied Econometrics , 11 : 601 – 618 .
   Web of Science ®Google Scholar
• Nelson , D. B. 1991 . Conditional Heteroskedasticity in Asset Pricing: A New Approach . Econometrica , 59 : 347 – 370 .
   Web of Science ®Google Scholar
• Phillips , P. C. B. and Ouliaris , S. 1990 . Asymptotic Properties of Residual Based Tests for Cointegration . Econometrica , 58 : 165 – 193 .
   Web of Science ®Google Scholar
• Ryan , G. and Shinnick , E. 2011 . Real Economic Activity Leading Indicators: Should We Have Paid More Attention? . Journal of Economic Policy Reform , 14 ( 2 ) : 105 – 125 .
   Web of Science ®Google Scholar
• Sander , H. and Kleimeier , S. 2002 . Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass-Through . Kredit und Kapital , 35 : 161 – 192 .
   Google Scholar
• Sargent , T. J. and Wallace , N. 1982 . The Real Bills Doctrine vs. the Quantity Theory: A Reconsideration . Journal of Political Economy , 90 : 1212 – 1236 .
   Web of Science ®Google Scholar
• Scholnick , B. 1996 . Asymmetric Adjustment of Commercial Bank Interest Rates: Evidence From Malaysia and Singapore . Journal of International Money and Finance , 15 : 485 – 496 .
   Web of Science ®Google Scholar
• Sellon , G. H. 2002 . The Changing US Financial System: Some Implications for the Monetary Transmission Mechanism , First Quarter : Federal Reserve Bank of Kansas City Economic Review . 5–35
   Google Scholar
• Siklos , P. L. and Skoczylas , L. F. 2002 . Volatility Clustering in Real Interest Rates: International Evidence . Journal of Macroeconomics , 24 ( 2 ) : 193 – 209 .
   Web of Science ®Google Scholar
• Toolsema, L. A., J. E. Sturm, and J. De Haan. 2002. “Convergence of Pass-Through from Money Market to Lending Rates in EMU Countries: New Evidence.” Working Paper No. 2002/6, CCSO Centre for Economic Research, Groningen.
   Google Scholar
• Wane, A., S. Gilbert, and S. Dibooglu. 2004. “Critical Values of the Empirical F-distribution for Threshold.” Calendar Year 2004 Discussion Papers for the Department of Economics, Southern Illinois University at Carbondale.
   Google Scholar
• Wang , K. M. 2010 . Monetary Policy Impulses and Retail Interest Rate Pass-Through in Asian Banking Markets . Asian Economic Journal , 24 ( 3 ) : 253 – 287 .
   Web of Science ®Google Scholar
• Wang , Y. L. and Lee , H. Y. 2009 . Rules versus Discretion on the Choice between Exchange Rate Targeting and Monetary Aggregate Targeting . Journal of Policy Reform , 12 ( 1 ) : 43 – 55 .
   Web of Science ®Google Scholar
• Wang , K. M. and Lee , Y. M. 2009 . Market Volatility and Retail Interest Rate Pass-Through . Economic Modelling , 26 : 1270 – 1282 .
   Web of Science ®Google Scholar