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Bank interest rates pass-through: new evidence from French panel data

Sébastien Frappa, Michèle Murez, Jérémi Montornes and Anne Barbier de la Serre
Authors registered in the RePEc Author Service: Anne Duquerroy ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the pass-through mechanism from market interest rates to bank interest rates using a panel of French banks based on new interest rates statistics. The data are extracted from new individual contracts, on a monthly basis for the three main sectors of the credit market (consumers loans, mortgage loans and loans to enterprises) from January 2003 to July 2007. The pass-through is estimated using recent econometric methods on non-stationary panel data. In contrast to previous studies, cross-sectional dependence among banks is allowed. Our results confirm that bank rates for loans to enterprises and mortgage loans do not adjust completely to changes in market rates, even in the long run. The model also captures the narrowing of the intermediation margin during the period considered.

Keywords: transmission mechanism of monetary policy; nonstationary panel data; cross-section dependence (search for similar items in EconPapers)
JEL-codes: C23 C22 G21 (search for similar items in EconPapers)
Date: 2008-08-20
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