Lending rate sensitivity to monetary policy: a bank level empirical analysis

Luis Bendezu and Gabriel Rodriguez

Journal of Economics, Finance and Administrative Science, 2025, vol. 31, issue 61, 35-55

Abstract: PurposeThis paper evaluates how the monetary policy rate influences bank lending rates in Peru, focusing on various loan types from September 2010 to August 2022.Design/methodology/approachWe utilize the Bai and Perron (1998, 2003) methodology to account for structural changes in the pass-through effect of monetary policy on lending rates.FindingsFindings indicate a heterogeneous impact of monetary policy on lending rates, with larger effects during significant rate changes and heightened sensitivity post-2019 due to COVID-19.Originality/valueThis study is the first to investigate the effects of monetary policy on interest rates using segment and bank level data in Peru.

Keywords: Interest rates; Pass-through; Structural change; Peruvian economy (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jefasp:jefas-12-2024-0383

DOI: 10.1108/JEFAS-12-2024-0383

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