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The pass-through from market interest rates to bank lending rates in Germany

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  • Weth, Mark A.
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    Abstract

    The terms and conditions on which bank loans are made to non-financial firms and households play a key role in the transmission of monetary policy. This paper analyses the relationship between German bank lending rates and both money market and capital market rates in the 1990s. This study reveals evidence of structural differences in the interest rate pass-through across German banks. The speed at which bank lending rates adjust to changes in market rates is related to a credit institution's size, its refinancing conditions and the extent of its business with non-banks. Large banks and banks with few savings deposits adjust their lending rates to market terms more quickly than other banks, possibly because their scope for setting interest rates is comparatively narrow. A fairly small amount of long-term business with non-bank customers, indicating the importance of relationship banking, also leads to a faster lending rate pass-through. In the short run, lending rates are stickier for banks that are largely able to cover their long-term loans to non-banks by corresponding deposits from such clients. Finally, the lending rates charged on corporate loans at a number of banks – especially those for current account credit – respond only gradually to changes in market rates. By smoothing their rates, banks appear to accept temporary fluctuations in their loan mark-up. This, in turn, tends to retard monetary policy transmission via bank rates. In the long-run relationship between lending and market rates, however, apart from a constant bank-specific mark-up, there are, in most cases, no differences across banks. This suggests that a similar long-run pass-through obtains for all interest rate reporting banks, irrespective of the adjustment process. -- Den Kreditkonditionen von Banken kommt eine bedeutende Rolle im geldpolitischen Transmissionsprozess zu. Die vorliegende empirische Studie untersucht den Zusammenhang zwischen Kreditzinsen deutscher Banken und den Bedingungen am Geld- und Kapitalmarkt in den neunziger Jahren. Die präsentierten Schätzungen unterstreichen, dass sich die Zinsreaktionen verschiedener Kreditinstitute strukturell unterscheiden. Die Studie zeigt, dass das Anpassungstempo der Kreditzinsen an veränderte Marktzinsen von der Größe der Banken, ihren Refinanzierungsbedingungen und der Bedeutung ihres Nichtbankengeschäfts abhängt. Große Institute und Banken mit einer geringen Refinanzierung durch Spareinlagen passen ihre Kreditzinsen schneller als andere Institute an Marktzinsen an, was auf einen geringeren Zinssetzungsspielraum zurückgeführt werden kann. Sind die langfristigen Einlagen- und Kreditgeschäfte mit Nichtbanken, die als Indikator für das Relationship Banking des Instituts herangezogen werden, vergleichsweise moderat, so geht dies ebenfalls mit einer zügigen Zinsreaktion einher. Bestehen dagegen starke Beziehungen zwischen der Bank und ihren Kunden, so kann sich die Bank eine verzögerte Zinsanpassung eher leisten. Schließlich reagieren Kreditzinsen derjenigen Banken in der kurzen Frist träger auf Marktzinsänderungen, die ihre längerfristigen Nichtbankenkredite großenteils durch entsprechende Nichtbankeneinlagen finanzieren können. Vor allem bei Unternehmenskrediten und hierunter besonders bei Kontokorrentkrediten reagieren die Kreditzinsen einer Reihe von Banken nur schrittweise auf veränderte Marktzinsen. Durch die Zinsglättung nehmen diese Institute vorübergehende Schwankungen ihres Zinsabstands zum Marktzins in Kauf. Dadurch verzögert sich der geldpolitische Transmissionsprozess über Bankzinsen. Sieht man von einem bankspezifischen, zeitkonstanten Zinsabstand ab, so bestätigen sich Unterschiede in der langfristigen Beziehung zwischen Kredit- und Marktzinsen in den meisten Fällen nicht. Das spricht dafür, dass alle zinsmeldenden Banken trotz unterschiedlicher Anpassungsverläufe langfristig ein ähnliches Anpassungsniveau erreichen.

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    Bibliographic Info

    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2002,11.

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    Date of creation: 2002
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    Handle: RePEc:zbw:bubdp1:4176

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