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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-13784S" target="_blank" >GA16-13784S: Hospodářská politika a instituce pro finanční sektor: Současné výzvy při vyvažování finančního rozvoje a stability</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

—

Svazek periodika

73

Číslo periodika v rámci svazku

June 2018

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

18

Strana od-do

71-88

Kód UT WoS článku

000440771000006

EID výsledku v databázi Scopus

2-s2.0-85044112620