Interest Rate Pass-Through and Asymmetries in Retail Deposit and Lending Rates: An Analysis using Data from Colombian Banks

Mark Holmes (mark.holmes@waikato.ac.nz), Ana Iregui and Jesus Otero

Working Papers in Economics from University of Waikato

Abstract: Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass-through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of monetary policy is limited. Further investigation reveals that the behaviour of retail deposit rates appears consistent with collusive behaviour between banks insofar as interest rates are more rapidly adjusted downwards than upwards. In the case of retail lending rates, it appears that banks more rapidly reduce than increase rates. This suggests that expansionary monetary policy in Colombia may be relatively more effective than contractionary policy.

Keywords: interest rate pass-through; asymmetries; M/TAR model (search for similar items in EconPapers)
JEL-codes: C33 E43 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2015-04-30
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Related works:
Journal Article: Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:wai:econwp:15/05

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