The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis

Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through

“…Unlike existing works, which examine banks from one country (e.g. De Graeve et al, 2007; Carpinelli and Crosignani, 2016), a small number of euro area banks , country-level aggregates (Ciccarelli et al, 2013;Hristov et al, 2014;Illes et al, 2015;Von Borstel et al, 2015) or lending volumes at a few points in time (Carpinelli and Crosignani, 2016), we employ two novel datasets providing monthly time series for lending rates and balance sheet characteristics of a large number of euro area banks for the 2007-2017 period. The datasets are rich in many dimensions: the sample covers over 80% of the euro area banking system, and we know the location, the legal status, the ownership structure and the business model of the banks, a number of balance sheet characteristics, and the lending and deposit rates o¤ered to their clientele.…”

The interest rate pass-through by loan size: Evidence for Mexico, 2011-2019

“…With regard to macroeconomic variables, increases in this rate are found when inflation volatility increases (Humala, 2005), when more domestic transactions are conducted in domestic rather than foreign currencies (Barquero et al, 2020) and when the variability of the central bank's policy rate decreases (Mojon, 2000). Several authors also report that pass-along declines during periods of financial crisis (Aristei et al, 2014 andBorstel et al, 2016). Finally, Gregor et al (2020) report that greater central bank independence has a positive effect on the magnitude of the pass-through, while greater transparency in the information they provide may have the opposite effect, as the result of commercial banks anticipating changes in the funds rate.…”