Monetary Policy Pass-Through to Interest Rates: Stylized Facts from 30 European Countries
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Summary:
The extent to which changes in monetary policy rates lead to changes in loan and deposit rates for households and firms, referred to as ‘pass-through’, is an important ingredient of monetary policy transmission to output and prices. Using data on seven different bank interest rates in 30 European countries, different approaches, and the full sample as well as a subsample of euro area countries, we show that a) the pass-through in the post-pandemic hiking cycle has been heterogenous across countries and types of interest rates; b) the pass-through has generally been weaker and slower, except for rates of non-financial corporation loans and time deposits in euro area countries; c) differences in pass-through over time and across countries for most deposit rates are correlated with financial sector concentration, liquidity, and loan opportunities, and d) the effects of pass-through to outstanding mortgage rates on monetary transmission on prices and output are heterogenous across countries.
Series:
Working Paper No. 2024/009
Subject:
Central bank policy rate Deposit rates Economic sectors Financial institutions Financial Sector Financial services Loans Mortgages
Frequency:
regular
English
Publication Date:
January 12, 2024
ISBN/ISSN:
9798400263613/1018-5941
Stock No:
WPIEA2024009
Format:
Paper
Pages:
34
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