El traspaso de las tasas de interés en el sistema bancario uruguayo

Diego Gianelli ()
Additional contact information
Diego Gianelli: Banco Central del Uruguay

No 411, Documentos de Trabajo (working papers) from Department of Economics - dECON

Abstract: Banking interest rates are closely related to monetary policy transmission than overnight interest rates. Since overnight interest rates are used as policy instrument since September 2007 by Uruguayan Central Bank, it is important to quantify the extent to which overnight interest rates are transmitted to banking interest rates. This paper quantifies the interest rate pass-through, both in the long and the short run, considering the structural changes observed in the underlying economic structure, and controlling for the fundamentals of financial intermediation margins. I find a significant pass-through from overnight interest rates to banking interest rates denominated in domestic currency but no significant passthrough to those denominated in foreign currency. I also find a notorious reduction in the level and the speed of the pass-through since the adoption of quantitative monetary target, and a positive correlation between financial margins and aggregate macroeconomic risk perception. The apparent reduction in the interest rate pass-through since 2004 represent a challenge for conducting monetary policy under a flexible inflation targeting regime.

Keywords: Monetary Policy; interest rate pass through (search for similar items in EconPapers)
JEL-codes: C01 E44 G12 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2011-01
New Economics Papers: this item is included in nep-cba, nep-lam and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hdl.handle.net/20.500.12008/2194 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ude:wpaper:0411

Access Statistics for this paper

More papers in Documentos de Trabajo (working papers) from Department of Economics - dECON Contact information at EDIRC.
Bibliographic data for series maintained by Andrea Doneschi () and ().