The Determinants of Pass-Through of Market Conditions to Bank Retail Interest Rates in Belgium

Arbeitspapier

We analyse the pass-through of money market rates to retail interest rates at the disaggregate level in the Belgian banking market. First, we measure the extent of pass-through for a total of fourteen products. We find that the response varies over loans and deposits and depends positively on the maturity of the product. Second, the launch of EMU has generally not resulted in more competitive pricing by banks. Third, we assess the importance of several biases and find that heterogeneity in price-setting behaviour should be accounted for in analysing the pass-through. Fourth, we analyse bank-specific determinants of heterogeneous interest rate pass-through. We find a role for capital, liquidity and market share and we relate these results to the various channels in monetary policy transmission and to the structure-conduct-performance hypothesis in banking.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: NBB Working Paper ; No. 47

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Production, Pricing, and Market Structure; Size Distribution of Firms
• Subject: pass-through ; Heterogeneous panel ; aggregation bias ; panel cointegration ; retailbanking ; bank-level interest rates ; bank-level determinants ; Geldpolitik ; Geldpolitische Transmission ; Zinsstruktur ; Kredit ; Belgien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): De Graeve, Ferre ; De Jonghe, Olivier ; Vander Vennet, Rudi
• Event: Veröffentlichung
• (who): National Bank of Belgium
• (where): Brussels
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/144261
• Last update: 10.03.2025, 11:44 AM CET