Bank Rate Rigidities and Asymmetric Adjustment: Evidence from Selected OECD Countries

Greek Economic Review, Vol. 22, No. 1, Autumn 2003

17 Pages Posted: 8 Sep 2003 Last revised: 22 Feb 2018

See all articles by George Donatos

George Donatos

University of Athens - Department of Economics

Demetrios Moschos

National and Kapodistrian University of Athens - Faculty of Economics

Zacharias Bragoudakis

Bank of Greece; National and Kapodistrian University of Athens, Department of Economics

Date Written: November 2002

Abstract

An error correction framework with non-linear adjustment is used to investigate the presence of asymmetries in the adjustment of deposit and lending rates and to changes in interbank rates. There is evidence of asymmetric adjustment for a number of countries, but there are no asymmetries associated with the market power explanation of interest rate rigidity.

Keywords: Interest Rates, Asymmetric Adjustment, Cointegration, Threshold Autoregressive Process

JEL Classification: C20, C22, E43

Suggested Citation

Donatos, George and Moschos, Demetrios and Bragoudakis, Zacharias, Bank Rate Rigidities and Asymmetric Adjustment: Evidence from Selected OECD Countries (November 2002). Greek Economic Review, Vol. 22, No. 1, Autumn 2003, Available at SSRN: https://ssrn.com/abstract=413740

George Donatos

University of Athens - Department of Economics

8 Pesmazoglou street
GR-10559 Athens
Greece
+33 23 7319 (Phone)

Demetrios Moschos

National and Kapodistrian University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
Greece

Zacharias Bragoudakis (Contact Author)

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece
+302103203605 (Phone)

National and Kapodistrian University of Athens, Department of Economics ( email )

Sofocleous 1
Athens, 105 59
Greece
+30 21 0368 9400 (Phone)

HOME PAGE: http://www.econ.uoa.gr/

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