Details Matter: Loan Pricing and Transmission of Monetary Policy in the Euro Area

Karlis Vilerts, Sofia Anyfantaki, Konstantins Benkovskis, Sebastian Bredl, Massimo Giovannini, Florian Horky, Vanessa Kunzmann, Tibor Lalinsky, Athanasios Lampousis, Elizaveta Lukmanova, Filippos Petroulakis and Klavs Zutis
Additional contact information
Karlis Vilerts: Latvijas Banka
Sofia Anyfantaki: European Central Bank
Konstantins Benkovskis: Latvijas Banka
Sebastian Bredl: Deutsche Bundesbank
Massimo Giovannini: Bank of Malta
Florian Horky: Narodna banka Slovenska
Vanessa Kunzmann: Deutsche Bundesbank
Tibor Lalinsky: Narodna banka Slovenska
Athanasios Lampousis: Bank of Greece
Elizaveta Lukmanova: Central Bank of Ireland
Filippos Petroulakis: Bank of Greece
Klavs Zutis: Latvijas Banka

No 2025/04, Working Papers from Latvijas Banka

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)
Date: 2025-07-25
References: Add references at CitEc
Citations:

Downloads: (external link)
https://datnes.latvijasbanka.lv/papers/WP_4_2025.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:ltv:wpaper:202504

Access Statistics for this paper

More papers in Working Papers from Latvijas Banka Contact information at EDIRC.
Bibliographic data for series maintained by Konstantins Benkovskis ().