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- W2087016870 abstract "The dynamic relationship between a money market (interbank) rate and different short-term lending rates is analysed by measuring the pass-through process between these rates in the Argentinean banking system. Neither linear single-equation modelling nor linear multi-equation systems capture efficiently this relationship. The presence of several episodes of financial crises alters the speed and degree of response to shocks in the interbank rate. Thus, a Markov switching VAR model shows that under normal financial conditions short-run stickiness is higher for those rates on loans with higher credit risk. But it also shows that when there is a high-volatility scenario, the pass-through increases considerably for all interest rates. The MSIAH(2)-VAR(1) identifies correctly periods of financial distress (in which regime switch occurs)." @default.
- W2087016870 created "2016-06-24" @default.
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- W2087016870 date "2005-01-15" @default.
- W2087016870 modified "2023-09-29" @default.
- W2087016870 title "Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina" @default.
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- W2087016870 doi "https://doi.org/10.1080/0960310042000297908" @default.
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