Anmerkungen:
In: Journal of Money, Credit, and Banking, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2013 erstellt
Beschreibung:
In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model - before including them in a model of retail rate adjustment for four retail rates in four major euro area economies. Using both aggregate data and data from individual French banks, we find a significant role for forecasts of market rates in determining retail rates; alternative specifications with futures information yield comparable results