Interest Rate Pass-Through in Romania and Other Central European Economies

Tieman, Alexander F.

doi:10.5089/9781451874877.001

Cited by 30 publications

(28 citation statements)

References 11 publications

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“…They find insignificant passthrough for household loans but nearly full pass-through for long-term non-financial companies' loans. In contrast, Tieman (2004), examining the 1995-2004 period, suggests that the long-run pass-through in the Czech Republic is incomplete. Horvath & Podpiera (2012) examine the link between the money market rate and bank interest rate during the period 2004-2008 and find well-functioning, although not full, pass-through for both mortgages and corporate rates in the long run.…”

Section: Related Literaturementioning

confidence: 98%

Bank efficiency and interest rate pass-through: Evidence from Czech loan products

2016

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: An important component of monetary policy transmission is the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. Yet the available evidence on the strength and speed of the pass-through is mixed and varies across countries, time periods, and even individual banks. We examine the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. Our main results are threefold: First, the long-term pass-through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks that provide high rates for deposits usually charge high loan markups. Third, cost-efficient banks tend to delay responses to changes in the market rate, smoothing loan rates for their clients. Terms of use: Documents in

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Section: Related Literaturementioning

confidence: 98%

Bank efficiency and interest rate pass-through: Evidence from Czech loan products

2016

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“…In recent years, there has been an upsurge in studies of pass through from market rates to retail bank rates at individual institutions (Hofmann and Mizen, 2004); studies of specific countries such as Austria (Burgstaller, 2005), Canada (Scholnick, 1999), Chile (Berstein andFuentes, 2004), Finland (Kauko, 2005), Germany (Winker, 1999), Malaysia and Singapore (Scholnick, 1996), Turkey (Aydin, 2007), the United Kingdom (Heffernan, 1997), and the United States (Hannan and Liang, 1993, Jackson, 1997, Kahn et al, 2005, Neumark and Sharpe, 1992, and Sheehan, 2006 and studies examining broader cross-country evidence, including Cottarelli and Kourelis (1994), , de , Égert et al (2007), Espinoza-Vega andRebucci (2003), Marotta (2007), Kleimeier (2004, 2006), Sørensen and Werner (2006), Tieman (2004), Toolsema et al (2001), and van Leuvensteijn et al (2008). These studies have reached mixed conclusions.…”

Section: Dynamic Interest Rate Responses: Competition and Pass-througmentioning

confidence: 99%

The Industrial Organization of Banking

VanHoose¹

2010

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“…Bondt (2002) also confirmed the findings of Mojon (2000). Tieman (2004) analyzed the impact of changes in the policy rate on the money market rates by using monthly data from January 1995 to February 2004 and by employing ECM. The author found that pass-through of policy rate to money market rate in Romania was consistent with other transition economies in the region.…”

Section: Literature Reviewmentioning

confidence: 99%

Pass-Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation

Hanif¹,

Khan²

2012

JISR-MSSE

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Market based implementation of monetary policy embeds a swift and complete passthrough of changes in policy rate to market interest rates. This impacts the lending and deposit rates (retail rates) of the banking system. Incomplete and slow pass-through impairs the effectiveness of monetary policy transmission mechanism. This study estimates the degree and the speed of interest rate pass-through in the case of Pakistan. Monthly data on State Bank of Pakistan (SBP) policy rate, money market rates and banks' retail lending/deposit rates from July 2001 to August 2011 is used to estimate an unrestricted autoregressive distributed lag (ARDL) model. The standard ARDL model allows for the estimation of an error correction model, which helps in differentiating short run impact of changes in policy rate from its long run impact on the banks' lending rates.The results indicate that while there is a swift pass-through from the policy rate (T-bill rates and overnight rate) to money market rate, the impact of changes in money market rates on the bank deposit rates is not only sluggish, but also incomplete. However, banks' lending rates on fresh loans are more responsive to changes in money market rates as the banks have the luxury to take into account the changes in opportunity cost of funding.

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Interest Rate Pass-Through in Romania and Other Central European Economies

Cited by 30 publications

References 11 publications

Bank efficiency and interest rate pass-through: Evidence from Czech loan products

Bank efficiency and interest rate pass-through: Evidence from Czech loan products

The Industrial Organization of Banking

Pass-Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation

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