Arbeitspapier
The Relation Between Banks' Funding Costs, Retail Rates and Loan Volumes: An Analysis of Norwegian Bank Micro Data
We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding costs affect retail loan rates and ii) how retail rate differences between banks affect market shares. The data set consist of quarterly data for 2002Q1-2011Q3 and include 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 clearly suggest incomplete pass-through: 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 demand from businesses.
- ISBN
-
978-82-7553-705-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2012/17
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
monopolistic competition
credit spread
pass-through
funding costs
bank micro data
dynamic factor model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Raknerud, Arvid
Vatne, Bjørn Helge
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Raknerud, Arvid
- Vatne, Bjørn Helge
- Norges Bank
Entstanden
- 2012
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