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La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises

Author

Listed:
  • Barbier de la Serre, A.
  • Frappa, S.
  • Montornès, J.
  • Murez, M.

Abstract

The present paper investigates the pass-through mechanism between market interest rates and bank interest rates using a panel of French banks based on new ESCB harmonised bank interest rate statistics (MIR: Monetary Interest Rates). The data are extracted from new individual contracts on a monthly basis for the three main segments of the credit market (consumers loans, mortgage loans and loans to non-financial firms) from January 2003 to July 2007. The pass-through is estimated using two approaches: firstly a univariate approach for each bank and secondly a panel data approach. An evaluation of the adjustment lag at which market rates are passed through to retail bank rates is also carried out. Our results confirm an incomplete adjustment of bank rates to changes in market rates in the long-term for loans to non-financial firms and mortgage loans. In addition, our findings suggest significant heterogeneity in the pricing of loans depending on the type of credit, the size and the legal category of banks.

Suggested Citation

  • Barbier de la Serre, A. & Frappa, S. & Montornès, J. & Murez, M., 2008. "La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises," Working papers 194, Banque de France.
    • Handle: RePEc:bfr:banfra:194
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    References listed on IDEAS

    as
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    Cited by:

    1. harraou, Khalid, 2019. "Analyse du pass-through du taux d’intérêt au Maroc [Analysis of the interest rate in Morocco]," MPRA Paper 94968, University Library of Munich, Germany.

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    More about this item

    Keywords

    Transmission Mechanism of Monetary Policy ; Non-stationary Panel Data ; Cross-section Dependance.;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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