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Interest Rate Pass-Through in Colombia: a Micro-Banking Perspective

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Author Info
Rocío Betancourt
Hernando Vargas
Norberto Rodríguez.

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Abstract

Banks and other credit institutions are key players in the transmission of monetary policy, especially when the responses of deposit and loan interest rates to shifts in policy rates are among the most important channels. This pass-through depends on the conditions prevailing in the loan and deposit markets, which are, in turn, affected by macroeconomic factors. Hence, when setting their policy, monetary authorities must take into account those conditions and the behavior of banks. This paper shows this point using a micro-banking model and presents supporting empirical evidence based on monthly data for Colombia between 1999 and 2006.

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Publisher Info
Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 45 (2008)
Issue (Month): 131 ()
Pages: 29-58
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ioe:cuadec:v:45:y:2008:i:131:p:29-58

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Related research
Keywords: Monetary Transmission Mechanisms; Interest Rate Pass-Through; Banking.;

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Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Gabe J. de Bondt, 2005. "Interest Rate Pass-Through: Empirical Results for the Euro Area," German Economic Review, Blackwell Publishing, vol. 6(1), pages 37-78, 02. [Downloadable!] (restricted)
  2. Winker, Peter, 1999. "Sluggish Adjustment of Interest Rates and Credit Rationing: An Application of Unit Root Testing and Error Correction Modelling," Applied Economics, Taylor and Francis Journals, vol. 31(3), pages 267-77, March. [Downloadable!] (restricted)
  3. J. Rodrigo Fuentes & Luis Antonio Ahumada, 2003. "Banking Industry and Monetary Policy: an Overview," Working Papers Central Bank of Chile 240, Central Bank of Chile. [Downloadable!]
  4. Florin Ovidiu Bilbiie & André Meier & Gernot J. Müller, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 582, European Central Bank. [Downloadable!]
  5. Weth, Mark A., 2002. "The pass-through from market interest rates to bank lending rates in Germany," Discussion Paper Series 1: Economic Studies 2002,11, Deutsche Bundesbank, Research Centre. [Downloadable!]
  6. Carlo Cottarelli & Angeliki Kourelis, 1994. "Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy," IMF Working Papers 94/39, International Monetary Fund.
  7. Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Money Macro and Finance (MMF) Research Group Conference 2006 65, Money Macro and Finance Research Group. [Downloadable!]
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  8. Jesús Crespo-Cuaresma & Balázs Égert & Thomas Reininger, 2004. "Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series 2004-671, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  9. Gabe de Bondt, 2002. "Retail bank interest rate pass-through: new evidence at the Euro area level," Working Paper Series 136, European Central Bank. [Downloadable!]
  10. Christoffer Kok Sorensen & Thomas Werner, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 580, European Central Bank. [Downloadable!]
  11. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Bernanke, Ben S & Blinder, Alan S, 1988. "Credit, Money, and Aggregate Demand," American Economic Review, American Economic Association, vol. 78(2), pages 435-39, May. [Downloadable!] (restricted)
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  13. Michael Ehrmann & Andreas Worms, 2001. "Interbank lending and monetary policy transmission - evidence for Germany," Working Paper Series 073, European Central Bank. [Downloadable!]
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  14. Benoît Mojon, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 40, European Central Bank. [Downloadable!]
  15. Carlos Andrés Amaya G., 2005. "Interest Rate Setting And The Colombian Monetary Transmission Mechanism," BORRADORES DE ECONOMIA 002910, BANCO DE LA REPÚBLICA. [Downloadable!]
  16. Solange Berstein & Rodrigo Fuentes, 2003. "Is There Lending Rate Stickiness in the Chilean Banking Industry?," Working Papers Central Bank of Chile 218, Central Bank of Chile. [Downloadable!]
  17. Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-45, September. [Downloadable!] (restricted)
  18. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June. [Downloadable!] (restricted)
  19. Juan Manuel Julio, . "Relación entre la Tasa de Intervención del Banco de la República y las Tasas del Mercado: Una Exploración Empírica," Borradores de Economia 188, Banco de la Republica de Colombia. [Downloadable!]
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Óscar Reinaldo Becerra & Luis Fernando Melo Velandia., 2009. "Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 107-134. [Downloadable!]
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  2. Luis Eduardo Arango & Andrés González & Jhon Jairo León & Luis Fernando Melo, 2006. "Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo," BORRADORES DE ECONOMIA 002425, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
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