Interest Rate Pass-Through : A Meta-Analysis of the Literature

Interest Rate Pass-Through : A Meta-Analysis of the Literature

The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systemati...

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Main Authors: Gregora, Jiri, Melecky, Ales, Melecky, Martin
Format: Working Paper
Language:English
Published: World Bank, Washington, DC 2019
Subjects:
INTEREST RATE
MONETARY POLICY
MONEY MARKET RATES
BANK LENDING RATES
META-ANALYSIS
PASS-THROUGH
CAPITAL MARKETS
Online Access:http://documents.worldbank.org/curated/en/785951547825420555/Interest-Rate-Pass-Through-A-Meta-Analysis-of-the-Literature
http://hdl.handle.net/10986/31181
id okr-10986-31181
recordtype oai_dc
spelling okr-10986-311812022-09-20T00:13:28Z Interest Rate Pass-Through : A Meta-Analysis of the Literature Gregora, Jiri Melecky, Ales Melecky, Martin INTEREST RATE MONETARY POLICY MONEY MARKET RATES BANK LENDING RATES META-ANALYSIS PASS-THROUGH CAPITAL MARKETS The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through. 2019-01-31T21:54:49Z 2019-01-31T21:54:49Z 2019-01 Working Paper http://documents.worldbank.org/curated/en/785951547825420555/Interest-Rate-Pass-Through-A-Meta-Analysis-of-the-Literature http://hdl.handle.net/10986/31181 English Policy Research Working Paper;No. 8713 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
topic INTEREST RATE
MONETARY POLICY
MONEY MARKET RATES
BANK LENDING RATES
META-ANALYSIS
PASS-THROUGH
CAPITAL MARKETS
spellingShingle INTEREST RATE
MONETARY POLICY
MONEY MARKET RATES
BANK LENDING RATES
META-ANALYSIS
PASS-THROUGH
CAPITAL MARKETS
Gregora, Jiri
Melecky, Ales
Melecky, Martin
Interest Rate Pass-Through : A Meta-Analysis of the Literature
relation Policy Research Working Paper;No. 8713
description The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through.
format Working Paper
author Gregora, Jiri
Melecky, Ales
Melecky, Martin
author_facet Gregora, Jiri
Melecky, Ales
Melecky, Martin
author_sort Gregora, Jiri
title Interest Rate Pass-Through : A Meta-Analysis of the Literature
title_short Interest Rate Pass-Through : A Meta-Analysis of the Literature
title_full Interest Rate Pass-Through : A Meta-Analysis of the Literature
title_fullStr Interest Rate Pass-Through : A Meta-Analysis of the Literature
title_full_unstemmed Interest Rate Pass-Through : A Meta-Analysis of the Literature
title_sort interest rate pass-through : a meta-analysis of the literature
publisher World Bank, Washington, DC
publishDate 2019
url http://documents.worldbank.org/curated/en/785951547825420555/Interest-Rate-Pass-Through-A-Meta-Analysis-of-the-Literature
http://hdl.handle.net/10986/31181
_version_ 1764473759696158720

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