Timing matters: Seasonal anomalies in interest rate pass-through

Zuzana Fungáčová, Eeva Kerola and Laurent Weill

No 12/2026, Bank of Finland Research Discussion Papers from Bank of Finland

Abstract: We investigate the existence of calendar effects in the interest rate pass-through in the euro area by examining how changes in the money market rate are transmitted to bank lending rates within quarters. Using monthly data on the interest rates of new loans for a large sample of euro area banks from January 2010 to April 2024, we find that this short-term pass-through to non-financial corporation and consumption lending rates is weaker in the fourth quarter of the year during periods of policy tightening. We obtain limited evidence that the pass-through is stronger in the fourth quarter for housing and consumption loans during periods of policy easing. We interpret these findings as consistent with trade loading behavior, whereby banks inflate their loan volumes at the end of the year to meet annual targets. Our work highlights the importance of considering seasonal effects when assessing interest rate pass-through in the euro area.

Keywords: bank; monetary policy; monetary transmission mechanism; calendar effects; euro area (search for similar items in EconPapers)
JEL-codes: E52 G21 (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/344221/1/1985987139.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:zbw:bofrdp:344221

Access Statistics for this paper

More papers in Bank of Finland Research Discussion Papers from Bank of Finland Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().