کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477598 | 930437 | 2014 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A state space approach to measuring the impact of sovereign and credit risk on interest rate convergence in the euro area
ترجمه فارسی عنوان
یک رویکرد فضایی دولتی برای اندازه گیری تاثیر ریسک حاکمیت و اعتبار بر همگرایی نرخ بهره در منطقه یورو
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that Ï-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative explanations for the increase in financial fragmentation. A key finding is that the heterogeneity in sovereign risk across member states accounts for a sizable part of the increase in the cross-sectional dispersion of various lending and deposit rates. In contrast, the impact of the increased heterogeneity in credit risk on bank retail rates is negligible. Our results suggest that efforts to reduce sovereign tensions - as exemplified by the ECB's OMT program - may help to reduce financial fragmentation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 49, Part B, December 2014, Pages 340-357
Journal: Journal of International Money and Finance - Volume 49, Part B, December 2014, Pages 340-357
نویسندگان
Ivo J.M. Arnold, Saskia E. van Ewijk,