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Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities

Authors
Journal
Journal of Policy Modeling
0161-8938
Publisher
Elsevier
Publication Date
Volume
34
Issue
1
Identifiers
DOI: 10.1016/j.jpolmod.2011.07.010
Keywords
  • Interest Rate Pass-Through
  • Bank Interest Rates
  • Transmission Mechanism Of Monetary Policy
  • Asymmetric Adjustment
  • Portugal
Disciplines
  • Economics

Abstract

Abstract This study looks at and finds interactions—between lending, deposit, and interbank rates—and asymmetries in interactions, in the pass-through to retail bank interest rates in Portugal. We uncover heterogeneous adjustments of bank rates as between sectors, between loans and deposits, and across maturities—which include complete long-run pass-through to corporate lending rates but rigidities for the personal sector, and incomplete long-run adjustment of deposit rates which also adjust asymmetrically. The results shed new light into understanding the behaviour of banks and the transmission mechanism of monetary policy, which is of value to future policy.

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