The Pass-Through of Monetary Policy Rate to Lending Rates: The Role of Macro-financial Factors

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10237932" target="_blank" >RIV/61989100:27510/18:10237932 - isvavai.cz</a>
Result on the web
<a href="https://authors.elsevier.com/c/1XNLjyGFsB9fT" target="_blank" >https://authors.elsevier.com/c/1XNLjyGFsB9fT</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2018.03.003" target="_blank" >10.1016/j.econmod.2018.03.003</a>

Result language
angličtina
Original language name
The Pass-Through of Monetary Policy Rate to Lending Rates: The Role of Macro-financial Factors
Original language description
This paper assesses how changes in the monetary policy rate affect the lending rates for the small and medium enterprise (SME), consumer, mortgage, and corporate loans in the Czech Republic-a high-income, OECD country. It further examines whether such interest rate pass-through is stable or could vary at different levels of bank competition, leverage, non-performing loans, and foreign exchange (FX) interventions. Using the co-integration approach, we find a significant and complete pass-through for SME lending rates. For consumer lending rates, we estimate the pass-through as unreliable. For both the mortgage and corporate rates, the pass-through shows significant structural shifts that can be entirely and largely explained by bank deleveraging. The markup for all lending rates, except for the corporate rates, increases with a growing spread between the government bond and monetary policy rates. FX interventions mostly affect the markups for corporate and SME rates.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GA16-13784S" target="_blank" >GA16-13784S: Financial sector policy and institutions: Current challenges in balancing financial development and stability</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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