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Details matter: loan pricing and transmission of monetary policy in the euro area

Author

Listed:
  • KÄ rlis Vilerts

    (Latvijas Banka)

  • Sofia Anyfantaki

    (European Central Bank and Bank of Greece)

  • KonstantÄ«ns Beņkovskis

    (Latvijas Banka)

  • Sebastian Bredl

    (Deutsche Bundesbank)

  • Massimo Giovannini

    (Bank of Malta)

  • Florian Matthias Horky

    (Národná banka Slovenska and Zeppelin University)

  • Vanessa Kunzmann

    (Bank of Malta and Deutsche Bundesbank)

  • Tibor Lalinský

    (Národná banka Slovenska)

  • Athanasios Lampousis

    (Bank of Greece)

  • Elizaveta Lukmanova

    (Central Bank of Ireland)

  • Filippos Petroulakis

    (Bank of Greece)

  • KlÄ vs Zutis

    (Latvijas Banka)

Abstract

Does the maturity of the relevant risk-free rate influence the strength of monetary policy pass-through to interest rates on new loans? To address this question, we present novel empirical evidence on lending practices across all euro area countries, using AnaCredit data covering nearly seven million new loans issued to non-financial corporations in 2022–2023. We document substantial variation in (a) the prevalence of fixed- vs floating-rate loans, (b) rate fixation periods, and (c) reference rates. This variation results in lending rates being exposed to different segments of the risk-free rate yield curve which, in turn, influence their sensitivity to monetary policy changes. We show that loans linked to shorter-maturity risk-free rates experience more pronounced monetary pass-through. Importantly, this effect is not purely mechanical, as part of the effect is offset by adjustments in the premium, revealing previously less-explored heterogeneity in the pass-through to lending rates.

Suggested Citation

  • KÄ rlis Vilerts & Sofia Anyfantaki & KonstantÄ«ns Beņkovskis & Sebastian Bredl & Massimo Giovannini & Florian Matthias Horky & Vanessa Kunzmann & Tibor Lalinský & Athanasios Lampousis & Elizaveta Lu, 2025. "Details matter: loan pricing and transmission of monetary policy in the euro area," Working Papers 345, Bank of Greece.
    • Handle: RePEc:bog:wpaper:345
    DOI: 10.52903/wp2025345
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    Cited by:

    1. Olivier De Jonghe & Konstantins Benkovskis & Karolis Bielskis & Diana Bonfim & Margherita Bottero & Tamas Briglevics & Martin Cesnak & Mantas Dirma & Marina Emiris & Palma Filep-Mosberger & Valentin J, 2025. "Household borrowing and monetary policy transmission: post-pandemic insights from nine European credit registers," Temi di discussione (Economic working papers) 1509, Bank of Italy, Economic Research and International Relations Area.
    2. Kerola, Eeva & Norring, Anni, 2025. "Effect of the countercyclical capital buffer on firm loans: Evidence from Germany," Bank of Finland Research Discussion Papers 8/2025, Bank of Finland.
    3. Vilerts, Kārlis & Anyfantaki, Sofia & Benkovskis, Konstantins & Bredl, Sebastian & Giovannini, Massimo & Horky, Florian Matthias & Kunzmann, Vanessa & Lalinsky, Tibor & Lampousis, Athanasios & Lukmano, 2025. "Details matter – how loan pricing affects monetary policy transmission in the euro area," Research Bulletin, European Central Bank, vol. 135.

    More about this item

    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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