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...
| Main Authors: | , , |
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| Language: | English |
| Published: |
World Bank, Washington, DC
2019
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| Subjects: | |
| 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 |
| Summary: | 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. |
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