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Monetary Policy and Funding Spreads

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Abstract

Fluctuations in the margins banks paid (over risk-free interest rates) on their funding costs have been a significant factor since the financial crisis of 2008/09. This paper uses a model to analyse the response of New Zealand’s monetary policy to such fluctuations since 1993, On average, the 90 day bill rate moved seven times as much as the initial shock to funding cost margins.

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  • Anella Munro & Benjamin Wong, 2014. "Monetary Policy and Funding Spreads," Reserve Bank of New Zealand Analytical Notes series AN2014/07, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbans:2014/07
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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Analytical%20notes/2014/an2014-07.pdf
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    1. Professor Lars E O Svensson, 2001. "Independent review of the operation of monetary policy in New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 64, March.
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    Cited by:

    1. Bevan Cook & Daan Steenkamp, 2018. "Funding cost pass-through to mortgage rates," Reserve Bank of New Zealand Analytical Notes series AN2018/02, Reserve Bank of New Zealand.

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