La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises
AbstractThe present paper investigates the pass-through mechanism between market interest rates and bank interest rates using a panel of French banks based on new ESCB harmonised bank interest rate statistics (MIR: Monetary Interest Rates). The data are extracted from new individual contracts on a monthly basis for the three main segments of the credit market (consumers loans, mortgage loans and loans to non-financial firms) from January 2003 to July 2007. The pass-through is estimated using two approaches: firstly a univariate approach for each bank and secondly a panel data approach. An evaluation of the adjustment lag at which market rates are passed through to retail bank rates is also carried out. Our results confirm an incomplete adjustment of bank rates to changes in market rates in the long-term for loans to non-financial firms and mortgage loans. In addition, our findings suggest significant heterogeneity in the pricing of loans depending on the type of credit, the size and the legal category of banks.
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Bibliographic InfoPaper provided by Banque de France in its series Working papers with number 194.
Length: 55 pages
Date of creation: 2008
Date of revision:
Transmission Mechanism of Monetary Policy ; Non-stationary Panel Data ; Cross-section Dependance.;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
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