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Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities

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  • Rocha, Manuel Duarte
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    Abstract

    This study looks at and finds interactions—between lending, deposit, and interbank rates—and asymmetries in interactions, in the pass-through to retail bank interest rates in Portugal. We uncover heterogeneous adjustments of bank rates as between sectors, between loans and deposits, and across maturities—which include complete long-run pass-through to corporate lending rates but rigidities for the personal sector, and incomplete long-run adjustment of deposit rates which also adjust asymmetrically. The results shed new light into understanding the behaviour of banks and the transmission mechanism of monetary policy, which is of value to future policy.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Policy Modeling.

    Volume (Year): 34 (2012)
    Issue (Month): 1 ()
    Pages: 64-80

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    Handle: RePEc:eee:jpolmo:v:34:y:2012:i:1:p:64-80

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    Web page: http://www.elsevier.com/locate/inca/505735

    Related research

    Keywords: Interest rate pass-through; Bank interest rates; Transmission mechanism of monetary policy; Asymmetric adjustment; Portugal;

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    References

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    1. Egert, Balazs & Crespo-Cuaresma, Jesus & Reininger, Thomas, 2007. "Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away?," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 209-225.
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    7. Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    8. Claudio E. V. Borio & Wilhelm Fritz, 1995. "The response of short-term bank lending rates to policy rates: a cross-country perspective," BIS Working Papers 27, Bank for International Settlements.
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    14. Carlo Cottarelli & Angeliki Kourelis, 1994. "Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy," IMF Staff Papers, Palgrave Macmillan, vol. 41(4), pages 587-623, December.
    15. Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer, vol. 16(1), pages 5-26, September.
    16. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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    Cited by:
    1. Dilem Yildirim, 2012. "Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis," ERC Working Papers 1207, ERC - Economic Research Center, Middle East Technical University, revised Sep 2012.
    2. David ARISTEI & Manuela Gallo, 2012. "Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 107/2012, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
    3. Gaetano D’Adamo & Mariam Camarero & Cecilio Tamarit, 2013. "Wage leadership models: a country-by-country analysis of the EMU," Working Papers 1317, Department of Applied Economics II, Universidad de Valencia.

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