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Nicholas Apergis, Tasawar Hayat and Tareq Saeed
''The monetary policy transmission mechanism and the role of money market funds in the Eurozone''
( 2020, Vol. 40 No.2 )
This paper investigates the pass-through mechanism of monetary policy through money market funds and bank loan rates under conventional and unconventional monetary policy. Using the Autoregressive Distributed Lag method, spanning the period 2003-2018, the findings document that the pass-through of bank loan rates is weaker than that of MMF rates (0.642 vs 1.044, respectively), especially during the unconventional monetary policy period (0.637 vs 1.568, respectively). They highlight that in this period, banks earned less from traditional lending business, due to low or even negative rates, while taking increasingly large risks.
Keywords: conventional and unconventional monetary policy, money market funds, eurozone
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
G2 - Financial Institutions and Services: General
Manuscript Received : Dec 17 2019 Manuscript Accepted : May 06 2020

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