TAILIEUCHUNG - WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES

This study contains two objectives. The Örst is the identiÖcation of the public perception of monetary policy to establish a relationship between this perception, the behaviour of monetary authorities and some key economic variables. The second objective is the identiÖcation of the relationship between monetary policy and the term structure of interest rates. In particular, we are interested by the link with long-term interest rates. From this perspective, the works of Kozicki and Tinsley (1998, 2001a, 2001b) are interesting for two reasons. Firstly, they show that conventional stationary and nonstationary speciÖcations are unable to provide accurate forecasts of the short rate for long horizon and then are not suited. | EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 518 I SEPTEMBER 2005 TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES by Gabe de Bondt Benoit Mojon and Natacha Valla EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO. 518 I SEPTEMBER 2005 TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES1 by Gabe de Bondt 2 Benoit Mojon2 In 2005 all ECB publications will feature a motif taken from the 50 banknote. and Natacha Valla3 This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 78l086. I We thank Jesper Berg Francesco Drudi Michael Ehrmann Leonardo Gambacorta Jordi Gual Hans-Joachim Klockers Joao Sousa and Oreste Tristani for their comments and Rasmus Pilegaard for data views expressed are those of the authors alone and do not necessarily reflect those of the ECB or the Eurosystem. 2 Gabe de Bondt and Benoit Mojon are at the European Central Bank. 3 Contact author Banque de France I40-0I 75049 Paris Cedex 0I France e-mail European Central Bank 2005 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Internet http Fax 49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Reproductionfor educational and noncommercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Bank. The statement of purpose for the ECB Working Paper Series is available from the ECB website http . ISSN 1561-0810 print ISSN 1725-2806 online

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