scholarly journals Interest rate pass through in the deposit and loan products provided by Greek banks

2021 ◽  
Author(s):  
Panagiotis Lazaris ◽  
Anastasios Petropoulos ◽  
Vasileios Siakoulis ◽  
Evangelos Stavroulakis ◽  
Nikolaos Vlachogiannakis
Keyword(s):  
Interest Rates ◽  
Stress Test ◽  
Money Market ◽  
Credit Spread ◽  
Consumer Loans ◽  
Pass Through ◽  
Greek Banks ◽  
Corporate Customers ◽  
Very High

A core input in performing a regulatory stress test is the evolution of interest rates, as it affects the income generated from the assets’ side and the expenses from the liabilities’ side. In this work, we apply an autoregressive model with distributed lags (ADL) to quantify the pass through rates, that is, the degree and speed of incorporation of the changes of money market rates by banks into their customers deposit and loan rates. In doing so, for the liabilities’ side, we differentiate between open and term deposits, as well as between households and non-financial corporates. Our results indicate that for term deposits the long-term pass through rate is very high, exceeding 91% for non-financial corporate customers and 81% for households. For open deposits, the pass through rate dynamics appear less prevalent, amounting to 21% for non-financial corporate customers and 16% for households. When exploring the pass through rate dynamics in the assets’ side of the banks, we observe full long-term pass-through of money market rates, for mortgage and consumer loans. By contrast, the non-financial corporate loans rate is stickier and less reactive to money market rates changes, with long-term pass-through adjustment being approximately equal to 40%. Furthermore, our results provide evidence that the Greek sovereign spread movement has practically negligible pass through rate both for loan and deposit products. In particular, it hardly affects the pricing of new term deposits, with a pass through rate of around 5%. This finding can be attributed, among others factors, to the fact that the Greek sovereign credit spread has approached several times non-tradable territories, which makes it an insignificant variable in determining customer rates.

scholarly journals Interest rate pass-through estimates from error correction models ECM

2015 ◽  
Vol 5 (1) ◽  
Author(s):  
Le Phan Thi Dieu Thao ◽  
Nguyen Thi Thu Trang
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Commercial Banks ◽  
Money Market ◽  
Viet Nam ◽  
Short Term ◽  
Adjustment Speed ◽  
Lending Rates ◽  
Pass Through

This paper examines the degree of pass-through and adjustment speed of retail interest rates in response to changes in monetary policy rates in commercial banks of Viet Nam during the period 07/2004 to 06/2014. The results show that the degree of pass-through of retail interest rates is incomplete but high (0.7-0.93). The adjustment speed of money market rates & retail interest rates is relatively slow. It takes from 3 to 6 months for money market rates & retail interest rates to be adjusted to long-term equilibrium, except 1 month VNIBOR. 1 month VNIBOR is sensitive to changes of discount rate & refinancing rate in short-term, contrary to 3 month VNIBOR . The degree of pass-through from market rates to retail interest rates is fairly high in the long-term but low in the short-term. The degree of pass-through is different between various retail interest rates. Specifically, the degree of pass-through of deposit rates is higher than that of lending rates both in the short-term & long-term.

scholarly journals ANALISIS INTEREST RATE PASS-THROUGH PADA MEKANISME TRANSMISI KEBIJAKAN MONETER INDONESIA

2017 ◽  
Vol 1 (1) ◽  
pp. 125
Author(s):  
Risna Amalia Hamzah ◽  
Handri Handri
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Commercial Banks ◽  
Money Market ◽  
Bank Loans ◽  
Short Term ◽  
Consumer Loans ◽  
Pass Through ◽  
The Interest Rate

This reseach aimed to evaluate the performance of monetary policy, toexamine and test the magnitude of the response rates on deposits and bank loans to the money market interest rate, and how fast adjustment of the interest rate of deposits and loans in response to changes in money market interest rates. The performance evaluation of the level of adjustment of interest rate pass-through is done by testing the coefficient of adjustment of the interest rate deposits and loans in response to changes in money market interest rates. The object of this reseach is reported in interest rates interbank money market (rPUAB) and bank interest rates (loans and deposits) of all commercial banks in Indonesia, the data used in the form of a row of monthly time (monthly time series) of the annual report of Bank Indonesia and SEKI ( Economic and Financial statistics Indonesia), in the period 2005-2016. The method used in this research is the Autoregressive Distributed Lag (ARDL) for calculating the amount of long-term coefficients and Error Correction Model (ECM) -ARDL for calculating the amount of short-term coefficients. We find of the analysis indicate a change of monetary policy in the short term through the interest rate channel with its operational targets interest rates interbank money market (interbank) did not respond in full by the rates on deposits and loans in commercial banks in Indonesia, represented by the value of the degree of pass- through which less than 1 and there is a tendency that the longterm interest rates on loans and deposits experienced incomplete pass-through, then interest rates on consumer loans and deposits of 24 months has the speed of the slowest, which means consumer loans and deposits of 24 months in Indonesia unresponsive to changes in interbank rates. keywords: ARDL, ECM, Interest Rate pass-through, PUAB.

scholarly journals Long-Run Retail Interest Rate Pass-Through In The Euro Area: The Effect Of The Financial Crisis

2015 ◽  
Vol 31 (5) ◽  
pp. 147
Author(s):  
Manel Mansour ◽  
David Heller ◽  
Moez Labidi ◽  
Amine Lahiani
Keyword(s):  
Financial Crisis ◽  
Interest Rates ◽  
Euro Area ◽  
Time Horizon ◽  
Monthly Basis ◽  
Adjustment Mechanism ◽  
Long Run ◽  
Banking Market ◽  
Pass Through

This paper analyzes the long-run pass-through of money market rates to retail interest rates (both lending and deposit rates). We rely on fully harmonized data from MIR statistics (MFI Interest Rates) for 8 countries of the euro area. From January 2003 to February 2014, interest rates are observed on a monthly basis on new contracts related to the three largest segments of the banking market (consumer, mortgage, and Non-Financial Corporations - NFCs). The long-term pass-through is measured following the Phillips and Loretan (PL) approach which is proved to be more effective than the Engle-Granger OLS (EG-OLS) approach. We also investigate the effect of the financial crisis on the degree of the long-run pass-through. Results suggest that the financial crisis deepens the heterogeneity of the speed and degree of the bank rates adjustment mechanism. Moreover, within the same country, the characteristics of long-run pass-through differ both among banking products and time horizon.

The effect of negative policy rates on the interest-rate pass-through mechanism in the eurozone

2019 ◽  
Vol 7 (2) ◽  
pp. 247-262 ◽  
Author(s):  
Yannis Panagopoulos ◽  
Ekaterini Tsouma
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Money Market ◽  
Negative Interest Rates ◽  
Time Period ◽  
Pass Through ◽  
The Interest Rate ◽  
The Impact ◽  
The Relationship

This paper examines the impact of the June 2014 switch to negative interest rates (NIRs) by the European Central Bank (ECB) on the operation of the eurozone interest-rate pass-through (IRPT) mechanism. We focus on the relationship between major central-bank policy rates and selected money-market rates. That link is identified as the first stage of the IRPT mechanism and its dynamics are analysed using Granger causality and cointegration techniques for the time period January 2000–June 2017. Our empirical findings indicate a feedback relationship between the ECB policy and the money-market rates in the period prior to June 2014, but that relationship is non-operative when considering only the period of NIRs.

scholarly journals Nominal Interest Rate, Inflation Money and Market Link in Bangladesh: An Econometric Analysis

2020 ◽  
Vol 7 (1) ◽  
pp. 59-68
Author(s):  
Sanjida Akter Chowdhury ◽  
Md. Yousuf ◽  
Md. Nezum Uddin ◽  
Mohammed Jashim Uddin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Time Series Data ◽  
Money Market ◽  
Nominal Interest Rate ◽  
Series Data ◽  
Short Term ◽  
Nominal Interest Rates ◽  
Fisher Hypothesis

This paper pursues to establish a connection among the nominal interest rate, the money market, and the inflation rate in Bangladesh using monthly time series data from June 2005 to March 2019. Because some data are stationary at the level and others are stationary at the 1st difference, the ARDL model is applicable for checking the link. There is a strong positive short-term and long-term relationship between inflation and nominal interest rates, suggesting that Bangladeshi data support the Fisher hypothesis for that time. For this study, the T bill, the call money rate is used as a measure of the money market. The research indicates that regulators should concentrate on call money rates in short-term and T-bill and call money rates in the long-term to control Bangladesh's nominal interest rate.

scholarly journals Transmission Mechanism of Monetary Policy: Case Study of Interest Rate Channel in India

2018 ◽  
Vol 4 (02) ◽  
Author(s):  
Prakash Anant Salvi ◽  
Davinder Kaur Suri
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Real Economy ◽  
Policy Transmission ◽  
Pass Through ◽  
The Interest Rate ◽  
Interest Rate Channel

In India, prior to 1991, the tightly controlled interest rates caused impediments in the functioning of the interest rate channel of monetary policy transmission while after 1991, the RBI undertook various measures to strengthen the market-determination of interest rates. This paper has examined the evolution of the interest channel in India across the period 1985 to 2014 firstly by studying the interest rate pass-through using the Correlation matrix and the OLS technique and secondly, by studying the transmission of policy rates to the real economy using the reduced VAR model. The results show that the transmission of interest rates pass-through from policy rates to market interest rates (both - short-term as well as long-term) has strengthened while desired impact of long term market interest rates on industrial production and inflation appears to be weak.

The influence of inflation targeting on the pass-through effect of the exchange rate

2018 ◽  
pp. 70-84
Author(s):  
Ph. S. Kartaev ◽  
Yu. I. Yakimova
Keyword(s):  
Developing Countries ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Targeting ◽  
Policy Regime ◽  
Short And Long Term ◽  
The Exchange Rate ◽  
Pass Through ◽  
The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

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