The Interest Rate Pass-Through in Austria – Effects of the Financial Crisis
Clemens Jobst () and
Claudia Kwapil ()
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Claudia Kwapil: Oesterreichische Nationalbank, Economic Analysis Division, http://www.oenb.at
Monetary Policy & the Economy, 2008, issue 4, 54–67
Lending rates are a key element in the transmission of monetary impulses to the real economy, even more so in bank-based financial systems such as the Austrian one. This article examines whether the turbulence in the financial markets and the – according to banks – resulting difficulties in raising funds in money and capital markets has led to a change in the passthrough of money market interest rates to retail interest rates. This study finds that there has been a statistically significant temporary change in the relationship between market and lending rates since July 2007 for some loan categories. However, contrary to expectations, lending rates (for business and housing loans with rate fixation periods of one to five years) were increased less than the historical correlation would have suggested. One possible explanation for this is the prevalence of relationship banking in Austria, which results in banks protecting their customers from too much volatility in interest rates. Overall, however, we do not ascertain any significant deviation from the historical pattern.
Keywords: interest rate pass-through; financial crisis; monetary policy transmission (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
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