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

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1、INTERNATIONA1.MONETARYFUNDMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesRobertBeyer,RuoChen,Claire1.i,FlorianMisch5EzgiO.Ozturk5and1.evRatnovskiWP/24/9IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.Theviewse

2、xpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024JANWP/24/92024InternationalMonetaryFundIMFWorkingPaperEuropeanDepartmentMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPrepare

3、dbyRobertBeyer,RuoChen,Claire1.i,FlorianMisch*,EzgiO.Ozturk,and1.evRatnovski*AuthorizedfordistributionbyHelgeBergerJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotn

4、ecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Theextenttowhichchangesinmonetarypolicyratesleadtochangesinloananddepositratesforhouseholdsandfirms,referredtoas,pass-through,isanimportantingredientofmonetarypolicytransmissiontooutputandprices.Usingdataonsevendifferentb

5、ankinterestratesin30Europeancountries,differentapproaches,andthefullsampleaswellasasubsampleofeuroareacountries,weshowthata)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountriesandtypesofinterestrates;b)thepass-throughhasgenerallybeenweakerandslower,exceptforratesofnon-finan

6、cialcorporationloansandtimedepositsineuroareacountries;c)differencesinpass-throughovertimeandacrosscountriesformostdepositratesarecorrelatedwithfinancialsectorconcentration,liquidity,andloanopportunities,andd)theeffectsofpass-throughtooutstandingmortgageratesonmonetarytransmissiononpricesandoutputar

7、eheterogenousacrosscountries.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;MonetaryPolicyPa

8、ss-ThroughAuthorsE-MailAddress:rbeyer(gimf.org;rchenimf.org;yli13imf.org;fmischimf.org;eozturkimf.org;lratnovskiimf.orgCorrespondingauthor.TheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen1MahirBinici,OzgeEmeksiz1EzequielCabezon.SalvatoreDeH1Erba1Fazu

9、rinJamaludin,RuiMano1VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin,AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.WORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountriesPreparedbyRobertBeyer,RuoChen,Claire1.i,FlorianMischCorrespondingauthor.,EzgiO.Oztu

10、rk,and1.evRatnovskiTheauthorswouldliketothankOyaCelasun,1.uisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen,MahirBinici1OzgeEmeksiz,EzequielCabezon,SalvatoreDelErba,FazurinJamaludin1RuiMano,VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin.AgnesaZalezakovaandWeiZhaoprovidedusefulassist

11、ance.Contents1. Introduction52. TheRoleofPolicyPass-ThroughforMonetaryPolicyTransmission63. Data84. StylizedFacts84.1 Inthepost-pandemichikingcycle,pass-throughhasbeenheterogeneousacrosssectors,loananddeposittypes,andcountries84.2 Thepass-throughhasbeenweakerthistime,excepttoNFCloanrates104.3 Thepas

12、s-throughhasbeenslowerthistime,excepttoNFCloanrates134.4 1.owerbankingcompetition,amplehouseholdandNFCdeposits,andhighbankingliquidityaresometimesassociatedwithlowerdepositratepass-through174.5 Pass-throughtoratesofexistingmortgagesweakenedovertimeastheshareoffixedratemortgagesincreased,withheteroge

13、neouseffectsacrosscountries215. Conclusions22References23Annex I. DataDescription26Annex II. AdditionalChartsandResults301. IntroductionThepost-pandemicsurgeininflationhastriggeredthemostaggressivemonetarypolicytighteningindecades.Thishas,inturn,generatedrenewedinterestintheaggregateeffectsofmonetar

14、ypolicy.Thispaperanalyzesthepass-throughofpolicyratesinEuropeaneconomiestolendinganddepositratesofcreditinstitutions,referredtoasbankinterestrates,therebyprovidinginsightsintoanimportant(butnottheonly)aspectofmonetarypolicytransmission.Theimpactofmonetarypolicy-inducedchangesinloananddepositinterest

15、ratesforhouseholdsandnon-financialcorporations(NFCs)isoneofmanychannelsthroughwhichmonetarypolicyaffectsfinancialconditions,andtherebyoutputandprices.Bankinterestratescanaffectagentsinvestment,consumptionandsavingdecisions,debtservicecostsandsavingsincome,aswellasassetvalues,allofwhichaffectrealecon

16、omicoutcomes.Theextentofpass-throughofmonetarypolicyratechangestobankinterestratesthereforeaffectsmonetarypolicytransmissionandeffectiveness.Inturn,pass-throughtobankinterestratescanbeinfluencedbyfinancialsectorconcentration,liquidity,andtheavailabilityofdepositsrelativetoprofitablelendingopportunities.Thesecharacteristicscanaffectincentivesforbankstocompetefordepo