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

Gregora, Jiri ; Melecky, Ales ; Melecky, Martin

World Bank, Washington, DC

关键词: INTEREST RATE;    MONETARY POLICY;    MONEY MARKET RATES;    BANK LENDING RATES;    META-ANALYSIS;   

DOI  :  10.1596/1813-9450-8713
RP-ID  :  WPS8713

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The interest rate pass-through describeshow changes in a reference rate (the monetary policy, moneymarket, or T-bill rate) transmit to bank lending rates. Thispaper reviews the empirical literature on the interest ratepass-through and systematizes it by means of meta-analysisand meta-regressions. The paper finds systematically lowerestimated pass-through coefficients in studies that focus ontransmission to long-term lending rates, consumer lendingrates, and average lending rates. The interest ratepass-through is significantly influenced by countrymacro-financial and institutional factors. The estimatedpass-through tends to be stronger for economies with deepercapital markets (measured by market capitalization).Interestingly, central bank independence rising from lowerlevels can reduce interest rate pass-through, while centralbank independence rising from already high levels can boostthe pass-through.