The relations between bank-funding costs, retail rates, and loan volumes. Evidence form Norwegian microdata

Arvid Raknerud () and Bjørn Helge Vatne
Additional contact information
Bjørn Helge Vatne: Statistics Norway, https://www.ssb.no/en/forskning/ansatte

Discussion Papers from Statistics Norway, Research Department

Abstract: In this paper, we examine two questions: i) how changes in the funding costs of banks affect retail loan rates and ii) how changes in relative loan rates between banks affect their market shares. To do so, we estimate a simultaneous system of equations model using panel data for six Norwegian bank groups. The data set consists of quarterly data for the period 2002Q1-2011Q3 and includes information on loan volumes and retail (interest) rates for loans to firms and households. The cost of market funding is represented in our analysis by the three-month money market rate and a proxy for market risk; the credit spread on unsecured senior bonds issued by Norwegian banks. Our estimates suggest that a 10 basis points increase in the market rate leads to an approximately 8 basis points increase in retail loan rates. We also find that credit demand from households is more elastic with regard to the loan rate than credit demand from businesses.

Keywords: Credit demand; Pass-through; Funding costs; Monopolistic competition; Panel data; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: C33 E27 E43 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-ban and nep-com
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.ssb.no/nasjonalregnskap-og-konjunkture ... r/_attachment/115028 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:ssb:dispap:742

Access Statistics for this paper

More papers in Discussion Papers from Statistics Norway, Research Department P.O.Box 8131 Dep, N-0033 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by L Maasø ().