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

Jiri Gregora, Ales Melecky and Martin Melecký

No 8713, Policy Research Working Paper Series from The World Bank

Abstract: The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through.

Keywords: Macroeconomic Management; Inflation; Financial Structures; Financial Crisis Management&Restructuring; International Trade and Trade Rules (search for similar items in EconPapers)
Date: 2019-01-18
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: INTEREST RATE PASS‐THROUGH: A META‐ANALYSIS OF THE LITERATURE (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:wbk:wbrwps:8713

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