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1、INTERNATIONA1.MONETARYFUNDMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesRobertBeyer,RuoChen,Claire1.i,FlorianMisch5EzgiO.Ozturk5and1.evRatnovskiWP/24/9IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.Theviewse
2、xpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024JANWP/24/92024InternationalMonetaryFundIMFWorkingPaperEuropeanDepartmentMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPrepare
3、dbyRobertBeyer,RuoChen,Claire1.i,FlorianMisch*,EzgiO.Ozturk,and1.evRatnovski*AuthorizedfordistributionbyHelgeBergerJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotn
4、ecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Theextenttowhichchangesinmonetarypolicyratesleadtochangesinloananddepositratesforhouseholdsandfirms,referredtoas,pass-through,isanimportantingredientofmonetarypolicytransmissiontooutputandprices.Usingdataonsevendifferentb
5、ankinterestratesin30Europeancountries,differentapproaches,andthefullsampleaswellasasubsampleofeuroareacountries,weshowthata)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountriesandtypesofinterestrates;b)thepass-throughhasgenerallybeenweakerandslower,exceptforratesofnon-finan
6、cialcorporationloansandtimedepositsineuroareacountries;c)differencesinpass-throughovertimeandacrosscountriesformostdepositratesarecorrelatedwithfinancialsectorconcentration,liquidity,andloanopportunities,andd)theeffectsofpass-throughtooutstandingmortgageratesonmonetarytransmissiononpricesandoutputar
7、eheterogenousacrosscountries.RECOMMENDEDCITATION:Beyer,R.,Chen,R.,1.i,C.,Misch,F.,Ozturk,E.,andRatnovski,1.(2024).MonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountries.IMFWorkingPaperWP/24/9JE1.ClassificationNumbers:E43;E52Keywords:MonetaryPolicyTransmission;MonetaryPolicyPa
8、ss-ThroughAuthorsE-MailAddress:rbeyer(gimf.org;rchenimf.org;yli13imf.org;fmischimf.org;eozturkimf.org;lratnovskiimf.orgCorrespondingauthor.TheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen1MahirBinici,OzgeEmeksiz1EzequielCabezon.SalvatoreDeH1Erba1Fazu
9、rinJamaludin,RuiMano1VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin,AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.WORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPreparedbyRobertBeyer,RuoChen,Claire1.i,FlorianMischCorrespondingauthor.,EzgiO.Oztu
10、rk,and1.evRatnovskiTheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen,MahirBinici1OzgeEmeksiz,EzequielCabezon,SalvatoreDelErba,FazurinJamaludin1RuiMano,VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin.AgnesaZalezakovaandWeiZhaoprovidedusefulassist
11、ance.Contents1. Introduction52. TheRoleofPolicyPass-ThroughforMonetaryPolicyTransmission63. Data84. StylizedFacts84.1 Inthepost-pandemichikingcycle,pass-throughhasbeenheterogeneousacrosssectors,loananddeposittypes,andcountries84.2 Thepass-throughhasbeenweakerthistime,excepttoNFCloanrates104.3 Thepas
12、s-throughhasbeenslowerthistime,excepttoNFCloanrates134.4 1.owerbankingcompetition,amplehouseholdandNFCdeposits,andhighbankingliquidityaresometimesassociatedwithlowerdepositratepass-through174.5 Pass-throughtoratesofexistingmortgagesweakenedovertimeastheshareoffixedratemortgagesincreased,withheteroge
13、neouseffectsacrosscountries215. Conclusions22References23Annex I. DataDescription26Annex II. AdditionalChartsandResults301. IntroductionThepost-pandemicsurgeininflationhastriggeredthemostaggressivemonetarypolicytighteningindecades.Thishas,inturn,generatedrenewedinterestintheaggregateeffectsofmonetar
14、ypolicy.Thispaperanalyzesthepass-throughofpolicyratesinEuropeaneconomiestolendinganddepositratesofcreditinstitutions,referredtoasbankinterestrates,therebyprovidinginsightsintoanimportant(butnottheonly)aspectofmonetarypolicytransmission.Theimpactofmonetarypolicy-inducedchangesinloananddepositinterest
15、ratesforhouseholdsandnon-financialcorporations(NFCs)isoneofmanychannelsthroughwhichmonetarypolicyaffectsfinancialconditions,andtherebyoutputandprices.Bankinterestratescanaffectagentsinvestment,consumptionandsavingdecisions,debtservicecostsandsavingsincome,aswellasassetvalues,allofwhichaffectrealecon
16、omicoutcomes.Theextentofpass-throughofmonetarypolicyratechangestobankinterestratesthereforeaffectsmonetarypolicytransmissionandeffectiveness.Inturn,pass-throughtobankinterestratescanbeinfluencedbyfinancialsectorconcentration,liquidity,andtheavailabilityofdepositsrelativetoprofitablelendingopportunit
17、ies.Thesecharacteristicscanaffectincentivesforbankstocompetefordepositsandpotentiallyunderminepass-throughinhikingcycles.Methodologically,analyzingpass-throughhasadvantages:theeffectsofmonetarypolicyonbankloananddepositratesarearguablymoredirect,oftenwithshorterlagsandfewerconfoundingfactorscompared
18、tomonetarypolicytransmissiononoutputandprices.Focusingonmonetarypolicypass-throughinEuropeancountriesduringthepost-pandemichikingcycle,thispapermakestwokeycontributionstothepreviousliterature.First,wecompiledataonsevendifferentinterestratesfor30Europeancountriesbothwithineuroareaandnon-euroareacount
19、rieswithindependentmonetarypolicy(definedashavingnoofficialpegandnotbeingfullyeuroized).ThisdatasetcontainsinterestratesforkeytypesofnewloansanddepositsofbothhouseholdsandNFCs.Second,wepresentarangeofearlyevidenceonstylizedfactsonmonetarypass-throughduringthepost-pandemichikingcycleusingamixofdescri
20、ptivestatisticsandregressionanalyses,bothforthefullsampleofcountriesandasubsetofeuroareacountries(EA-12countries).Inparticular,wedocumentthat:a)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountriesandtypesofinterestrates;b)thepass-throughhasbeenweakerandslowerrelativetopasth
21、ikingcycles,exceptforratesofnewloanstoNFCsandNFCtimedeposits(andcontrollingforthepeculiaritiesofthecurrentcycleincludingpossibleanticipationeffectsoflowinitialratesdoesnotalterthesefindingqualitatively);c)theweakeningofpass-throughtodepositratesisinpartassociatedwithhigherfinancialsectorconcentratio
22、n,moreampledepositsrelativetoloanopportunities,andliquidity;andd)usingdataonoutstandingmortgagesasanexample,theeffectsofpass-throughonaggregatemonetarypolicytransmissionareheterogenousacrosscountries.Takingaccountofthepeculiaritiesofthepost-pandemichikingcycleincludingpossibleanticipationeffectsandv
23、erylowinitialratesdoesnotchangethesestylizedfacts.Ourpapercontributestotheempiricalliteraturestudyingmonetarypolicypass-throughtobankinterestrates,includinginEurope.Onestrandofthisliteraturefocusesontheeuroareaandmostlycoversthe2000s.Forexample,SorensenandWerner(2006),BernhoferandvanTreeck(2013),San
24、derandKleimeier(2006)documenthowpass-throughdiffersacrosscountries,interestratetypes,andintheshortvs.longrun(seeforexampledeBondt12005,forasurvey),andSaborowskiandWeber(2013)examinethedeterminantsofpass-throughtotheaggregatebanklendingrateinalargepanelofcountries.OtherpapersfocusonEuropeancountrieso
25、utsideoftheeurozone.Forexample,GregorandMelecky(2018)focusonpass-throughtolendingratesinCzechRepublic,Egertetal.(2007)studytheinterestratepass-throughinfivecentralandeasternEuropeancountries,Beckeretal.(2012)analyzethepass-throughtomortgageratesintheUK,andHansenandWelz(2011)analyzethepass-throughtol
26、endinganddepositratesinSweden.Ameta-datastudyoninterestratepass-through,basedonmorethanathousandestimatesfrom50studies,findsthattheaveragepass-throughfrommonetarypolicyratestobanklendingratesisaround0.8(GregorandMelecky,2021).Ourpaperisalsorelatedtoanotherstrandoftheliteraturewhichexploitsheterogene
27、ityinthepass-throughacrossbankswithincountries.Forinstance,Wangetal.(2022)usedataonU.S.banksandshowthatbankmarketpoweraffectspass-through,andthattheeffectsdependonthelevelofthepolicyrate.Kho(2023)usescountry-andbank-leveldatafrom13euroareacountriesfrombeforethepost-pandemichikingcycleandshowsthatthe
28、degreeofbankingsectorconcentrationhasasymmetriceffectsonpass-throughtoovernight(ON)depositratesduringtighteningandlooseningcycles.1.dpez-Quiles(2021)estimatespass-throughtomoneymarketinterestratesusingtransaction-leveldataofthelargestbanksintheeuroarea.Importantly,ourpaperovercomesacriticallimitatio
29、noftheexistingliteraturebycoveringthepost-pandemichikingcycleandusesdataonindividualcountriesorcoveringonlyasubsetofeuroareacountries.Hence,ourpaperisrelatedtorecentstudiesanalyzingthepass-throughduringthepost-pandemichikingcycle,whichallreportfindingsthatareconsistentwithours.Forexample,fortheeuroa
30、rea,ByrneandFoster(2023)findthatpass-throughisgenerallyweakernowrelativetopreviouscycles,MesserandNiepmann(2023)findthatpass-throughtodepositrateshasbeenmoresluggishthaninthepast,1.ane(2023aand2023d)reportsthatthepass-throughtoNFCloanshasbeenstrongandthatloanratesstartedtorisebeforetheECBhikeditspol
31、icyratesinJuly2022,and1.ane(2023c)findsweakerpass-throughtoO/Ndepositratesthantotimedepositratesinthepost-pandemichikingcycle.ForotherEuropeaneconomies,CabezonandKovachevska(2024)findsthatpass-throughinNorthMacedoniaisweakercomparedtoregionalpeersandtheeuroarea,andBinici(2024)attributesrelativelywea
32、kpass-throughinMaltainthepost-pandemictighteningcycletoabundantliquidityinthebankingsystem.Thepaperisorganizedasfollows:Section2discussesconceptuallytheroleofpolicypass-throughinoverallmonetarypolicytransmission.Section3describesthedata.Section4presentsstylizedfactsonmonetarypolicypass-through.Secti
33、on5concludes.2. TheRoleofPolicyPass-ThroughforMonetaryPolicyTransmissionMonetarypolicyusuallyusestheshort-termmoneymarketinterestrateasitsoperationaltarget.Themoneymarketrateistransmittedviafinancialmarketstodepositandlendingratesofcreditinstitutions(bankinterestrates),andthroughthemtothebroaderecon
34、omy.Theabilityofthecentralbanktoachieveitsultimateobjectivesprice,financial,andoverallmacroeconomicstabilityhingesinpartonthetransmissionofthepolicyratetootherinterestrates.Inturn,bankinterestratesaffectthemacroeconomythroughseveralrelatedchannels:1. Interestratechannel:Changesininterestratesalterfi
35、rminvestmentbehaviorandhouseholdconsumptionandsavingchoices.Higherrealinterestratesincreasethehurdle(break-even)ratesforinvestment,therebyreducingit,andtheymakesavingmoreattractive,whichinturnreducesconsumption.Thisisthestandardneo-classicalchannelofmonetarypolicy(GoodfriendandKing,1997).2. Cashflow
36、channel:Changesininterestratesaffectagents*incomeandcostsrelatingtoexistingassetsandliabilitiesthatcarryvariableinterestrates.Inotherwords,tightermonetarypolicycandirectlyincreaseinterestincomeanddebtSerViCecosts,butthecashfloweffectsdependonwhetherhouseholdsandfirmsarenetborrowersorsaversandtheirex
37、posuretovariableratedebtanddeposits.Withdifferentpropensitiestoconsumeorinvestacrosshouseholdsandfirms,thischannelcanaffectaggregatemacroeconomicoutcomes(see,e.g.,Auclert,2019).Theno-financialsectorinagiveneconomymaypredominantlyconsistofeitherlosersorwinners,sothattheaggregateeffectsdonotnetouteven
38、ifthemarginalpropensitiestoinvestandconsumeareidentical.Inthatcase,theaggregateconsumptionandinvestmenteffectscouldbeoffsetbychangesinthevolumeofloansthroughchangesincreditconditions.1.owpass-throughtodepositratesmaymatterinthiscontextgiventhatmanyhouseholdsinEuropearenetsavers.3. Balancesheetchanne
39、l:Higherinterestratesreducethevalueofassetsusedascollateral,therebytighteningagentsfinancialconstraints.Forfirms,thisamplifiestheneoclassicalimpactofinterestratesoninvestment,whileforhouseholdsthiscanaltertheconsumptionofdurablegoods(KiyotakiandMoore,1997).Additionally,wealtheffects(lowerassetvaluat
40、ionsduetohigherinterestrates)reducethehouseholdspropensitytoconsume(1.ettauand1.udvigson12004).4. Bankingchannel:Higherinterestratestendtobeassociatedwithhigherbanknetinterestratemargins,therebyincreasingbankprofits(Borioetal.,2017).Interestratesmayalsoaffectbankfundingconditions,ashigherdepositrate
41、smayincreasedepositsupply.Higherbankprofitsandampledepositsmayincreasebanklendingcapacity(KashyapandStein,2000;Drechsleretal.,2017).Seealso1.ane(2023a)foradiscussionofthischannel.Obviously,thereareothermonetarypolicytransmissionchannelswhichdonotdirectlydependoninterestratepass-through;see,forexampl
42、e,Ceviketal.(2023),1.ane(2023a),andMishkin(1996)formoredetailsontheinterestratechannelsdiscussedhereandacomprehensivelistofmonetarytransmissionchannelsmorebroadly.Table1:Effectsofmonetarypolicypass-throughtobankinterestratesontotherealeconomyChannelsthatdirectionallyweakentheeffectsOfmonetarypolicyt
43、ighteningshowninorangeChanneIsofMPtransmissionMechanismofchannelduringMPtighteningEffectsofhigherpass-throughduringMPtighteningEffectsofhigherpass-throughtoloanratesEffectsofhigherpass-throughtodepositratesInterestratechannelHigherhurdleratefornewinvestment,andhighersavingsremuneration1.essinvestmen
44、tMoresaving1.essconsumptionCashflowchannelHigherinterestincomeanddebtservicescostforexistingexposures1.owercashflow1.essconsumptionandinvestmentHighercashflowmoreconsumptionandinvestmentBalancesheetchannel1.owervalueofcollateralTighternon-pricecreditconditions1.essinvestmentBankingchannel1.owerbanks
45、networthTighterbankfundingconditions1.esslendingHighercostofbankfundingMoresupplyofdeposits-MorelendingOnbalance,ahigherpass-throughofmonetarypolicytointerestratestendstostrengthenmonetarypolicytransmissionthrougheachofthesechannels(Table1).However,ahigherpass-throughtodepositratescancreateambiguous
46、effectsinsomecases.Forinstance,higherpass-throughinahikingcyclereducesprivateinvestmentandconsumptionthroughahigherhurdleratefornewinvestmentandsavingsremuneration,butthiseffectisweakenedbyhighercashflowsfromtheexistingstockofsavings.3. DataWecompileadatasetonloananddepositinterestratesofcreditinsti
47、tutionsin30Europeaneconomiesusingdatafromcentralbanksandstatisticalagencies,referredtoasbankinterestrates.Ourdataincludessevendifferenttypesofinterestrates:interestratesonovernightdepositsandtimedeposits,bothforhouseholdsandNFCs,consumerloans,mortgages,andloanstoNFCs.Theinterestratesgenerallyreferto
48、newdepositsandloans,butwealsocollectdataoninterestratesofoutstandingmortgages.Insometimeseries,thereisthedistinctionbetweenpurenewbusinessandnewbusinesscombinedwithrenegotiations.Wegenerallyusepurebanksratesfornewbusiness,butforNFCloanratesinCzechRepublic,Cyprus,Estonia,FinlandandRomaniacountries,we
49、useinformationfrombothseriestocompiledataserieswithfewergaps.Ourdataisatmonthlyfrequencyandconstitutesanunbalancedpanel,spanning30Europeancountriesthatareeitherpartoftheeuroareaorhaveindependentmonetarypolicy(inthesensethattheydonothavehardpegsorarecompletelyeuroized).Twothirdsofcountrieshavedataonallseventypesofinterestrates(AnnexTableA2).Someseriesrea
