El traspaso de las tasas de interés en el sistema bancario uruguayo
AbstractBanking interest rates are closely related to monetary policy transmission than overnight interest rates. Since overnight interest rates are used as policy instrument since September 2007 by Uruguayan Central Bank, it is important to quantify the extent to which overnight interest rates are transmitted to banking interest rates. This paper quantifies the interest rate pass-through, both in the long and the short run, considering the structural changes observed in the underlying economic structure, and controlling for the fundamentals of financial intermediation margins. I find a significant pass-through from overnight interest rates to banking interest rates denominated in domestic currency but no significant passthrough to those denominated in foreign currency. I also find a notorious reduction in the level and the speed of the pass-through since the adoption of quantitative monetary target, and a positive correlation between financial margins and aggregate macroeconomic risk perception. The apparent reduction in the interest rate pass-through since 2004 represent a challenge for conducting monetary policy under a flexible inflation targeting regime.
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Bibliographic InfoPaper provided by Department of Economics - dECON in its series Documentos de Trabajo (working papers) with number 0411.
Length: 42 pages
Date of creation: Jan 2011
Date of revision:
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Monetary Policy; interest rate pass through;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
- NEP-CBA-2011-08-22 (Central Banking)
- NEP-LAM-2011-08-22 (Central & South America)
- NEP-MAC-2011-08-22 (Macroeconomics)
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