IMF-货币政策对利率的传导：来自30个欧洲国家的风格化事实（英）-2024.1.docx

INTERNATIONA1.MONETARYFUNDMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesRobertBeyer,RuoChen,Claire1.i,FlorianMisch5EzgiO.Ozturk5and1.evRatnovskiWP/24/9IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024JANWP/24/9©2024InternationalMonetaryFundIMFWorkingPaperEuropeanDepartmentMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPreparedbyRobertBeyer,RuoChen,Claire1.i,FlorianMisch*,EzgiO.Ozturk,and1.evRatnovski*AuthorizedfordistributionbyHelgeBergerJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Theextenttowhichchangesinmonetarypolicyratesleadtochangesinloananddepositratesforhouseholdsandfirms,referredtoas,pass-through,isanimportantingredientofmonetarypolicytransmissiontooutputandprices.Usingdataonsevendifferentbankinterestratesin30Europeancountries,differentapproaches,andthefullsampleaswellasasubsampleofeuroareacountries,weshowthata)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountriesandtypesofinterestrates;b)thepass-throughhasgenerallybeenweakerandslower,exceptforratesofnon-financialcorporationloansandtimedepositsineuroareacountries;c)differencesinpass-throughovertimeandacrosscountriesformostdepositratesarecorrelatedwithfinancialsectorconcentration,liquidity,andloanopportunities,andd)theeffectsofpass-throughtooutstandingmortgageratesonmonetarytransmissiononpricesandoutputareheterogenousacrosscountries.RECOMMENDEDCITATION:Beyer,R.,Chen,R.,1.i,C.,Misch,F.,Ozturk,E.,andRatnovski,1.(2024).MonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountries.IMFWorkingPaperWP/24/9JE1.ClassificationNumbers:E43;E52Keywords:MonetaryPolicyTransmission;MonetaryPolicyPass-ThroughAuthor'sE-MailAddress:rbeyer(g>imf.org;rchenimf.org;yli13imf.org;fmischimf.org;eozturkimf.org;lratnovskiimf.orgCorrespondingauthor.TheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen1MahirBinici,OzgeEmeksiz1EzequielCabezon.SalvatoreDeH1Erba1FazurinJamaludin,RuiMano1VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin,AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.WORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPreparedbyRobertBeyer,RuoChen,Claire1.i,FlorianMischCorrespondingauthor.,EzgiO.Ozturk,and1.evRatnovskiTheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen,MahirBinici1OzgeEmeksiz,EzequielCabezon,SalvatoreDelErba,FazurinJamaludin1RuiMano,VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin.AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.Contents1. Introduction52. TheRoleofPolicyPass-ThroughforMonetaryPolicyTransmission63. Data84. StylizedFacts84.1 Inthepost-pandemichikingcycle,pass-throughhasbeenheterogeneousacrosssectors,loananddeposittypes,andcountries84.2 Thepass-throughhasbeenweakerthistime,excepttoNFCloanrates104.3 Thepass-throughhasbeenslowerthistime,excepttoNFCloanrates134.4 1.owerbankingcompetition,amplehouseholdandNFCdeposits,andhighbankingliquidityaresometimesassociatedwithlowerdepositratepass-through174.5 Pass-throughtoratesofexistingmortgagesweakenedovertimeastheshareoffixedratemortgagesincreased,withheterogeneouseffectsacrosscountries215. Conclusions22References23Annex I. DataDescription26Annex II. AdditionalChartsandResults301. IntroductionThepost-pandemicsurgeininflationhastriggeredthemostaggressivemonetarypolicytighteningindecades.Thishas,inturn,generatedrenewedinterestintheaggregateeffectsofmonetarypolicy.Thispaperanalyzesthepass-throughofpolicyratesinEuropeaneconomiestolendinganddepositratesofcreditinstitutions,referredtoasbankinterestrates,therebyprovidinginsightsintoanimportant(butnottheonly)aspectofmonetarypolicytransmission.Theimpactofmonetarypolicy-inducedchangesinloananddepositinterestratesforhouseholdsandnon-financialcorporations(NFCs)isoneofmanychannelsthroughwhichmonetarypolicyaffectsfinancialconditions,andtherebyoutputandprices.Bankinterestratescanaffectagents'investment,consumptionandsavingdecisions,debtservicecostsandsavingsincome,aswellasassetvalues,allofwhichaffectrealeconomicoutcomes.Theextentofpass-throughofmonetarypolicyratechangestobankinterestratesthereforeaffectsmonetarypolicytransmissionandeffectiveness.Inturn,pass-throughtobankinterestratescanbeinfluencedbyfinancialsectorconcentration,liquidity,andtheavailabilityofdepositsrelativetoprofitablelendingopportunities.Thesecharacteristicscanaffectincentivesforbankstocompetefordepo