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Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances

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  • Chmielewski, Tomasz

Abstract

The purpose of this study is to assess the impact of disturbances in operation of the Polish banking sector on the effectiveness of monetary policy implementation. The pass-through mechanism from market interest rates to retail interest rates, offered by banks to their customers, is analysed in the context of a deterioration in quality of bank credit portfolios, a decrease in bank profitability (both related to a slowdown of the economy) and capital adequacy ratios. Main empirical findings are that the more profitable banks tend to adjust lending rates and rates for the longest deposits faster than the less profitable ones and that the banks with loans of lower quality tend to adjust corporate loan interest rates faster than banks with less risky credit portfolios, but the opposite is true for the most popular term deposit. These have some implications for interest rates spread dynamics that are analysed in the paper.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5133.

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Date of creation: 14 Nov 2003
Date of revision: 31 Jan 2004
Handle: RePEc:pra:mprapa:5133

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Keywords: interet rate pass-through; monetary policy; banks;

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References

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  1. de Bondt, Gabe, 2002. "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series 0136, European Central Bank.
  2. Mojon, Benoît, 2000. "Financial structure and the interest rate channel of ECB monetary policy," Working Paper Series 0040, European Central Bank.
  3. Scholnick, Barry, 1996. "Asymmetric adjustment of commercial bank interest rates: evidence from Malaysia and Singapore," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 485-496, June.
  4. Kit, Pong Wong, 1997. "On the determinants of bank interest margins under credit and interest rate risks," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 251-271, February.
  5. Paul Mizen & Boris Hofmann, 2002. "Base rate pass-through: evidence from banks' and building societies' retail rates," Bank of England working papers 170, Bank of England.
  6. 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.
  7. Ewa Wrobel & Malgorzata Pawlowska, 2002. "Monetary transmission in Poland: some evidence on interest rate and credit channels," National Bank of Poland Working Papers 24, National Bank of Poland, Economic Institute.
  8. Philip Lowe & Thomas Rohling, 1992. "Loan Rate Stickiness: Theory and Evidence," RBA Research Discussion Papers rdp9206, Reserve Bank of Australia.
  9. Angbazo, Lazarus, 1997. "Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking," Journal of Banking & Finance, Elsevier, vol. 21(1), pages 55-87, January.
  10. 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.
  11. Giovanni Ferri & Carlo Cottarelli & Andrea Generale, 1995. "Bank Lending Rates and Financial Structure in Italy," IMF Working Papers 95/38, International Monetary Fund.
  12. Peter Winker, 1999. "Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 267-277.
  13. 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.
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Cited by:
  1. Rustam Jamilov & Balázs Égert, 2013. "Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box," EconomiX Working Papers 2013-9, University of Paris West - Nanterre la Défense, EconomiX.
  2. Sander, Harald & Kleimeier, Stefanie, 2006. "Convergence of interest rate pass-through in a wider euro zone?," Economic Systems, Elsevier, vol. 30(4), pages 405-423, December.
  3. Kleimeier,Stefanie & Sander,Harald, 2004. "Interest Rate Pass-through in an Enlarged Europe: The Role of Banking Market Structure for Monetary Policy Transmission in Transition Countries," Research Memorandum 045, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  4. 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.
  5. Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers 2006/5, Magyar Nemzeti Bank (the central bank of Hungary).
  6. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission in Central and Eastern Europe: Gliding on a Wind of Change," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 44-87.
  7. Bystrov, Victor, 2013. "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper 49683, University Library of Munich, Germany.
  8. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
  9. Coricelli, Fabrizio & Égert, Balázs & MacDonald, Ronald, 2006. "Monetary transmission mechanism in Central and Eastern Europe: Gliding on a wind of change," BOFIT Discussion Papers 8/2006, Bank of Finland, Institute for Economies in Transition.
  10. Jane BOGOEV, 2010. "Investigation Of The Determinants Of The Adjustment Of Lending Rates In Macedonia – A Sur Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 89-116, December.

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