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Timing matters: Seasonal anomalies in interest rate pass-through

Author

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  • Fungáčová, Zuzana
  • Kerola, Eeva
  • Weill, Laurent

Abstract

We investigate the existence of calendar effects in the interest rate pass-through in the euro area by examining how changes in the money market rate are transmitted to bank lending rates within quarters. Using monthly data on the interest rates of new loans for a large sample of euro area banks from January 2010 to April 2024, we find that this short-term pass-through to non-financial corporation and consumption lending rates is weaker in the fourth quarter of the year during periods of policy tightening. We obtain limited evidence that the pass-through is stronger in the fourth quarter for housing and consumption loans during periods of policy easing. We interpret these findings as consistent with trade loading behavior, whereby banks inflate their loan volumes at the end of the year to meet annual targets. Our work highlights the importance of considering seasonal effects when assessing interest rate pass-through in the euro area.

Suggested Citation

  • Fungáčová, Zuzana & Kerola, Eeva & Weill, Laurent, 2026. "Timing matters: Seasonal anomalies in interest rate pass-through," Bank of Finland Research Discussion Papers 12/2026, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:344221
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    JEL classification:

    • 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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