Details matter: loan pricing and transmission of monetary policy in the euro area

KÄ rlis Vilerts, Sofia Anyfantaki, KonstantÄ«ns Beņkovskis, Sebastian Bredl, Massimo Giovannini, Florian Horky, Vanessa Kunzmann, Tibor Lalinský, Athanasios Lampousis, Elizaveta Lukmanova, Filippos Petroulakis and KlÄ vs Zutis
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KÄ rlis Vilerts: Latvijas Banka
Sofia Anyfantaki: European Central Bank and Bank of Greece
Konstantīns Beņkovskis: Latvijas Banka
Massimo Giovannini: Bank of Malta
Vanessa Kunzmann: Bank of Malta and Deutsche Bundesbank
Tibor Lalinský: Národná banka Slovenska
Athanasios Lampousis: Bank of Greece
Elizaveta Lukmanova: Central Bank of Ireland
KlÄ vs Zutis: Latvijas Banka
Authors registered in the RePEc Author Service: Tibor Lalinsky and Konstantins Benkovskis

No 345, Working Papers from Bank of Greece

Abstract: Does the maturity of the relevant risk-free rate influence the strength of monetary policy pass-through to interest rates on new loans? To address this question, we present novel empirical evidence on lending practices across all euro area countries, using AnaCredit data covering nearly seven million new loans issued to non-financial corporations in 2022–2023. We document substantial variation in (a) the prevalence of fixed- vs floating-rate loans, (b) rate fixation periods, and (c) reference rates. This variation results in lending rates being exposed to different segments of the risk-free rate yield curve which, in turn, influence their sensitivity to monetary policy changes. We show that loans linked to shorter-maturity risk-free rates experience more pronounced monetary pass-through. Importantly, this effect is not purely mechanical, as part of the effect is offset by adjustments in the premium, revealing previously less-explored heterogeneity in the pass-through to lending rates.

Keywords: Lending Rates; Interest Rate Pass-Through; Fixed-Rate Loans; Floating-Rate Loans (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G21 (search for similar items in EconPapers)
Pages: 62
Date: 2025-07
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Related works:
Working Paper: Details Matter: Loan Pricing and Transmission of Monetary Policy in the Euro Area (2025)
Working Paper: Details matter: loan pricing and transmission of monetary policy in the euro area (2025)
Working Paper: Details Matter: Loan Pricing and Transmission of Monetary Policy in the Euro Area (2025)
Working Paper: Details matter: Loan pricing and transmission of monetary policy in the euro area (2025)
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