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La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises

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  • Barbier de la Serre, A.
  • Frappa, S.
  • Montornès, J.
  • Murez, M.

Abstract

The 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 Info

Paper provided by Banque de France in its series Working papers with number 194.

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Length: 55 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:bfr:banfra:194

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Related research

Keywords: Transmission Mechanism of Monetary Policy ; Non-stationary Panel Data ; Cross-section Dependance.;

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  1. Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
  2. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  3. de Bondt, Gabe, 2002. "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series 0136, European Central Bank.
  4. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
  5. Gabe J. de Bondt, 2005. "Interest Rate Pass-Through: Empirical Results for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 6(1), pages 37-78, 02.
  6. de Bondt, Gabe & Mojon, Benoît & Valla, Natacha, 2005. "Term structure and the sluggishness of retail bank interest rates in euro area countries," Working Paper Series 0518, European Central Bank.
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