Interest Rate Pass-Through
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. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through.
| Main Authors: | , , |
|---|---|
| Format: | Working Paper biblioteca |
| Language: | English |
| Published: |
World Bank, Washington, DC
2019-01
|
| Subjects: | INTEREST RATE, MONETARY POLICY, MONEY MARKET RATES, BANK LENDING RATES, META-ANALYSIS, PASS-THROUGH, CAPITAL MARKETS, |
| Online Access: | http://documents.worldbank.org/curated/en/785951547825420555/Interest-Rate-Pass-Through-A-Meta-Analysis-of-the-Literature https://hdl.handle.net/10986/31181 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|