Heterogeneous monetary transmission process in the Eurozone: Does banking competition matter?

Leroy, Aurélien; Lucotte, Yannick

doi:10.1016/j.inteco.2015.01.006

Cited by 29 publications

(19 citation statements)

References 56 publications

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“…These results confirm the preliminary analysis conducted by the ECB (2013). Also, in line with findings of Van Leuvensteijn et al (2013) and Leroy and Lucotte (2014), our results indicate that the level of banking competition is a powerful driver of monetary transmission.…”

Section: Resultssupporting

confidence: 93%

“…First, it appears that Lerner index has a negative impact on pass-through. This means that banking competition reinforces the transmission of monetary policy as shown by previous studies (Van Leuvensteijn et al, 2013;Leroy and Lucotte, 2014). In the same vein, we find that banking concentration (HHI) decreases the household bank rate pass-through.…”

Section: Ecm Resultssupporting

confidence: 88%

“…Van Leuvensteijn et al (2013), Sørensen and Werner (2006) and Leroy and Lucotte (2014) find that interest rate transmission tends to be higher in more competitive banking systems. As a proxy for competition we opt for the Lerner index, which is an inverse proxy of banking competition.…”

Section: Datamentioning

confidence: 99%

“…We find several arguments in the literature that can explained the sluggish and imperfect monetary transmission process, such as for example the rigidity of bank costs (Enfrun and Cordier, 1994), the consumer aversion to pay variable interest rates (Borio and Fritz, 1995), the competition from direct finance (Mojon, 2000), or the lack of competition in the banking sector (Borio and Fritz, 1995). However, the empirical literature on determinants of bank interest rate pass-through is relatively scarce and has mainly focused on the role played by banking competition in the transmission of monetary policy (see, e.g., Sørensen and Werner, 2006;Van Leuvensteijn et al, 2013;Leroy and Lucotte, 2014).…”

Section: Introductionmentioning

confidence: 99%

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Investor sophistication and capital income inequality

Kacperczyk

Nosal

Stevens

2019

Journal of Monetary Economics

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for helpful comments and suggestions. This paper was finalized while Yannick Lucotte was a visiting researcher at the Economic Institute of Narodowy Bank Polski (NBP) in Warsaw. He would like to thank Narodowy Bank Polski for its hospitality and financial support. The views expressed in this article are entirely those of the authors and do not necessarily represent those of Narodowy Bank Polski. Any remaining errors are ours.

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Section: Resultssupporting

confidence: 93%

Section: Ecm Resultssupporting

confidence: 88%

Section: Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Investor sophistication and capital income inequality

Kacperczyk

Nosal

Stevens

2019

Journal of Monetary Economics

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show abstract

“…With regards to the existing literature, our contribution is original in several respects: we consider all the 16. See for example Leroy & Lucotte (2015), Sorensen & Werner (2006), Van Leuvensteijn et al (2013. 17.…”

Section: Influence Of the Financial Structure Of Economiesmentioning

confidence: 99%

An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone

Kanga¹,

Levieuge²

2017

Ecostat

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The aim of this paper is to assess the effects of unconventional monetary policies (UMPs) on the cost of credit to non-financial companies in the eurozone. We analyse the direct effects of these UMPs using a multiple linear regression, then we seek to highlight the existence of a complementarity between these policies and the interest rate policy-an indirect effect of UMPs-using an interaction term. We show that the direct effects of UMPs are limited, indeed nil depending on the country, and are always weaker than their indirect effects. After having highlighted the heterogeneity of the indirect effects of UMPs in the eurozone, we offer diverse interpretations-macroeconomic, financial or banking differences, depending on the country-using a Panel Conditionally Homogenous VAR model (PCHVAR). The indirect effects of UMPs, depending on the economies considered, were countered by large public debt, a banking sector in poor health and/or a high level of systemic risk or risk of default.

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The evolution and heterogeneity of credit procyclicality in Central and Eastern Europe

2020

Self Cite

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This article presents empirical estimates of bank credit procyclicality for a sample of 11 Central and Eastern European countries (CEECs) for the period 2000Q1-2016Q4. In the first step, we estimate a traditional-type panel vector autoregressive (VAR) model and analyse the evolution of credit procyclicality in the CEECs by comparing the impulse response functions for different business cycle periods. The results confirm the existence of credit procyclicality in the CEECs and show that procyclicality is higher during boom periods. Furthermore, we observe the heterogeneity of credit procyclicality in the different countries in our sample. To explain the cross-country heterogeneity in credit procyclicality we construct an interacted panel VAR model and analyse whether bank-level competition, proxied by the aggregate Lerner index, constitutes a driving force of credit procyclicality. Our findings indicate that bank competition affects credit procyclicality and explains the differences in credit dynamics across the CEECs. Specifically, we show that the reaction of credit to a gross domestic product shock is on average higher in a less competitive banking market.

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Heterogeneous monetary transmission process in the Eurozone: Does banking competition matter?

Cited by 29 publications

References 56 publications

Investor sophistication and capital income inequality

Investor sophistication and capital income inequality

An assessment of the effects of unconventional monetary policies on the cost of credit to non-financial companies in the eurozone

The evolution and heterogeneity of credit procyclicality in Central and Eastern Europe

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