La transmission des taux de march aux taux bancaires: une estimation sur donn es individuelles fran aises

A. Barbier de la Serre, Sébastien Frappa, J. Montorn s and M. Murez
Authors registered in the RePEc Author Service: Anne Duquerroy () and Jérémi Montornes

Working papers from Banque de France

Abstract: The present paper investigates the pass-through mechanism between market interest rates and bank interest rates using a panel of French banks based on new ESCB harmonised bank interest rate statistics (MIR: Monetary Interest Rates). The data are extracted from new individual contracts on a monthly basis for the three main segments of the credit market (consumers loans, mortgage loans and loans to non-financial firms) from January 2003 to July 2007. The pass-through is estimated using two approaches: firstly a univariate approach for each bank and secondly a panel data approach. An evaluation of the adjustment lag at which market rates are passed through to retail bank rates is also carried out. Our results confirm an incomplete adjustment of bank rates to changes in market rates in the long-term for loans to non-financial firms and mortgage loans. In addition, our findings suggest significant heterogeneity in the pricing of loans depending on the type of credit, the size and the legal category of banks.

Keywords: Transmission Mechanism of Monetary Policy; Non-stationary Panel Data; Cross-section Dependance. (search for similar items in EconPapers)
JEL-codes: C22 C23 G21 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_194_2008.pdf (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:bfr:banfra:194

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().