Pass-through du taux d’intérêt au Maroc: Enseignements à partir de l’enquête trimestrielle sur les taux débiteurs

Hicham Bennouna

No 2018-4, Document de travail from Bank Al-Maghrib, Département de la Recherche

Abstract: We investigate the relationship between monetary policy decisions and retail lending rates using retail bank interest rates extracted from the quarterly survey conducted by Bank Al-Maghrib. The data covers the rates of new business loans for four market segments (real estate, short-term credit facilities and overdrafts, investment and consumption) broken down by institutional sector (households, non-financial firms and individual entrepreneurs) between 2006Q2 and 2017Q2. We examine the interest rate pass-through mechanism and the speed of adjustment using heterogeneous panel cointegration framework. Our findings suggest that there is a high degree of pass-through heterogeneity over bank products. The long-term pass-through for real estate and investment loans is complete. We reject the completeness hypothesis for short-term credit facilities and consumption loans. Corporate loans are priced more competitive than household and individual entrepreneur products. We find evidence of a homogeneous pricing policy in the long-run, however, the speed of adjustment and the mark-up seem to be heterogeneous across banks depending on their financial structure.

Keywords: Taux d’intérêt de détail; Pass-through; Hétérogénéité; Modèle à correction d’erreur (search for similar items in EconPapers)
JEL-codes: E43 E52 G21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2018-12-11
New Economics Papers: this item is included in nep-ara and nep-mac
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Citations: View citations in EconPapers (1)

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s.loukili@bkam.ma

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Persistent link: https://EconPapers.repec.org/RePEc:ris:bkamdt:2018_004

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