A simple enquiry on heterogeneous lending rates and lending behaviour
This paper contain an empirical analysis on the most relevant determinants of heterogeneity in Italian banks' lending rate and lending behaviour, performed with descriptive statistics and dynamic panel data analysis on the basis of a "mesoeconomic" data set specifically acquired from the Bank of Italy, which contains the data on interest rates, bad debts and credit flows granted by different size categories of banks under the form of different size categories of loans in different geographic areas of the country, for the period 1990 QI -1998 QIV. The purpose of the econometric analyses is twofold: First, investigating the possible disturbances affecting the link between policy rate and interest rates on bank credit; second verify whether the behaviour of the largest bank loans is demand-determined. The results show that the spread between interest rate on the various classes of bank loans and the monetary policy rate is not influenced by the loan size, while it seems to be more affected by proxies for risk and competitive configuration of the banking sector. Furthermore, the behaviour of the largest size class of bank loans does show a pattern consistent with a "demand determined" behaviour.
|Date of creation:||May 2001|
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- Gambacorta, L., 1997.
"Heterogeneous "Credit Channels: and Optimal Monetary Policy in a Monetary Union,"
The Warwick Economics Research Paper Series (TWERPS)
492, University of Warwick, Department of Economics.
- Leonardo Gambacorta, 1998. "Heterogeneous "Credit Channels" and Optimal Monetary Policy in a Monetary Union," Temi di discussione (Economic working papers) 340, Bank of Italy, Economic Research and International Relations Area.
- Gambacorta, L., 1998. "Heterogeneous "Credit Channels" and Optimal Monetary Policy in a Monetary Union," Papers 340, Banca Italia - Servizio di Studi.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Forni, Mario & Lippi, Marco, 1997. "Aggregation and the Microfoundations of Dynamic Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198288008.
- Angeloni,I. & Buttiglione,L. & Ferri,G. & Gaiotti,E., 1995. "The Credit Channel of Policy Across Heterogeneous Banks:the Case of Italy," Papers 256, Banca Italia - Servizio di Studi.
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