The Interest Rate Pass-Through in Austria – Effects of the Financial Crisis
AbstractLending rates are a key element in the transmission of monetary impulses to the real economy, even more so in bank-based financial systems such as the Austrian one. This article examines whether the turbulence in the financial markets and the – according to banks – resulting difficulties in raising funds in money and capital markets has led to a change in the passthrough of money market interest rates to retail interest rates. This study finds that there has been a statistically significant temporary change in the relationship between market and lending rates since July 2007 for some loan categories. However, contrary to expectations, lending rates (for business and housing loans with rate fixation periods of one to five years) were increased less than the historical correlation would have suggested. One possible explanation for this is the prevalence of relationship banking in Austria, which results in banks protecting their customers from too much volatility in interest rates. Overall, however, we do not ascertain any significant deviation from the historical pattern.
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Bibliographic InfoArticle provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Monetary Policy & the Economy.
Volume (Year): (2008)
Issue (Month): 4 ()
Postal: Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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