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Interest rate pass-through in Morocco: Evidence from bank-level survey data

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  • Bennouna, Hicham

Abstract

We investigate the relationship between banks’ marginal cost and retail lending rates in Morocco. The data covers the rates of new business loans for four market segments broken down by institutional sector between 2006Q2 and 2016Q4. We examine the pass-through mechanism using recently developed heterogeneous panel cointegration framework. Our findings suggest that there is a high degree of pass-through heterogeneity over bank products. The weak adjustment for short-term credit facilities and consumption loans can be explained by credit risk compensation allowing banks to reduce their exposition to systemic risks. Corporate loans are priced more competitive than household and individual entrepreneur products, suggesting that negotiation power or the competition from the borrower side matters. Overall, our results indicate that banking market contestability has improved during the last decade.

Suggested Citation

  • Bennouna, Hicham, 2019. "Interest rate pass-through in Morocco: Evidence from bank-level survey data," Economic Modelling, Elsevier, vol. 80(C), pages 142-157.
  • Handle: RePEc:eee:ecmode:v:80:y:2019:i:c:p:142-157
    DOI: 10.1016/j.econmod.2018.11.003
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    More about this item

    Keywords

    Retail lending rates; Pass-through; Heterogeneity; Panel cointegration;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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