Interest rate pass-through in Poland since the global financial crisis
Mariusz Kapuściński and
No 247, NBP Working Papers from Narodowy Bank Polski, Economic Research Department
We analyse why loan rates in Poland have diverged from interbank interest rates since the beginning of the global financial crisis. Following Illes et al. (2015) we calculate a weighted average cost of liabilities, which might be considered as a more accurate proxy for a marginal cost of funding for banks than an interbank interest rate. Then, we investigate the interest rate pass-through on bank-level panel data using both measures. We find that an increase in the weighted average cost of liabilities, relative to interbank interest rates, explains some of the increase in credit spreads. However, deterioration of economic outlook, an increase in uncertainty and non-performing loans, as well as tightening of capital regulation have also been at play. That the cost of funding matters for loan rates has important implications for the current discussion on the potency of negative interest rates, as they rather cannot be transmitted to deposit rates, which are the main component of bank funding.
Keywords: interest rate pass-through; monetary policy; global financial crisis; lending spreads; panel data models (search for similar items in EconPapers)
JEL-codes: E43 E52 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:247
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