INTEREST RATE PASS-THROUGH: A META-ANALYSIS OF THE LITERATURE

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10245589" target="_blank" >RIV/61989100:27510/21:10245589 - isvavai.cz</a>

Výsledek na webu

<a href="https://onlinelibrary.wiley.com/doi/10.1111/joes.12393" target="_blank" >https://onlinelibrary.wiley.com/doi/10.1111/joes.12393</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/joes.12393" target="_blank" >10.1111/joes.12393</a>

Jazyk výsledku

angličtina

Název v původním jazyce

INTEREST RATE PASS-THROUGH: A META-ANALYSIS OF THE LITERATURE

Popis výsledku v původním jazyce

The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market or T-bill rate) transmit to bank lending rates. We review the empirical literature on the interest rate pass-through and systematize it by means of meta-analysis and meta-regressions. Using the pass-through to corporate lending rates as the baseline, we find systematically lower estimated pass-through coefficients in studies that focus on the pass-through to consumer lending rates and rates on long-term loans. Also studies estimating the pass-through by averaging all lending rates into one category report a lower pass-through. Importantly, the interest rate pass-through is significantly influenced by the country&apos;s macro-financial environment. In economies with deepening stock markets, the estimated pass-through strengthens significantly. Interestingly, after the global financial crisis, the pass-through weakened across the board, including because of growing trade openness and supply chain financing, rising volatility and stock market turnovers, as well as declining central bank independence. Inflation targeting frameworks, if in place, helped diminish this pass-through weakening.

Název v anglickém jazyce

INTEREST RATE PASS-THROUGH: A META-ANALYSIS OF THE LITERATURE

Popis výsledku anglicky

The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market or T-bill rate) transmit to bank lending rates. We review the empirical literature on the interest rate pass-through and systematize it by means of meta-analysis and meta-regressions. Using the pass-through to corporate lending rates as the baseline, we find systematically lower estimated pass-through coefficients in studies that focus on the pass-through to consumer lending rates and rates on long-term loans. Also studies estimating the pass-through by averaging all lending rates into one category report a lower pass-through. Importantly, the interest rate pass-through is significantly influenced by the country&apos;s macro-financial environment. In economies with deepening stock markets, the estimated pass-through strengthens significantly. Interestingly, after the global financial crisis, the pass-through weakened across the board, including because of growing trade openness and supply chain financing, rising volatility and stock market turnovers, as well as declining central bank independence. Inflation targeting frameworks, if in place, helped diminish this pass-through weakening.

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

2021

Kód důvěrnosti údajů

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

Název periodika

Journal of Economic Surveys

ISSN

0950-0804

e-ISSN

—

Svazek periodika

35

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

50

Strana od-do

141-191

Kód UT WoS článku

000588122700001

EID výsledku v databázi Scopus

2-s2.0-85096778643