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Monetary Policy Pass-Through to Interest Rates: Stylized Facts from 30 European Countries
Author:
Robert C. M. Beyer https://isni.org/isni/0000000404811396 International Monetary Fund

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,
Ruo Chen
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https://orcid.org/0000-0003-0619-9076
,
Florian Misch
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Claire Li
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Ezgi O. Ozturk https://isni.org/isni/0000000404811396 International Monetary Fund

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, and
Lev Ratnovski
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Series:
IMF Working Papers
Volume/Issue:
Volume 2024: Issue 009
Language:
English
Publication Date:
12 Jan 2024
DOI:
https://doi.org/10.5089/9798400263613.001
ISBN:
9798400263613
ISSN:
1018-5941
Pages:
34
Keywords:
Monetary Policy Transmission; Monetary Policy Pass-Through; NFC loan rate; pass-through to rate; transmission to output; Deposit rates; Central bank policy rate; Mortgages; Loans; Financial sector; Europe
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund