La determinación y el traspaso de las tasas de interés. Una aproximación macro bancaria

The aim of this work is to set the determinants of banks loans and deposit interest rates in local currency, estimate the pass-through to banks interests rates and its speed. The analysis is conducted to loan interest rates at an aggregate level and for time, sectors and agents interest rates loans; for deposit interest rates it is made at an aggregate level and for time deposits. On the one hand, the approach of the determination of banks interests rates take into account factors related with macroeconomics theory, and on the other hand, banks industry specific factors also play a key role. In section 2 there are references to theoretical models of interest rate determination from macroeconomic theory and banking economics. An outstanding hypothesis refers to the causes of the sluggishness of interest rates when its determinants change. In section 3, a review of theoretical and empirical literature is made, distinguishing different empirical streams used to analyze this issue. In section 4, variables which measure the determinants of interest rates in the econometric models are identified and a statistical analysis is made with dynamic correlations and Granger causality test is performed between explanatory variables and dependent variables. In section 5, symmetric and asymmetric error correction models are specified for time series data in order to find interest rates determinants, estimate the interest rate pass-though and its speed. The pass-through from interbank interest rate to loan interest rates is 1,14 and to deposit interest rates is 1,42. In section 6, panel data model are used, which enables test the previous determinants of interest rates and add variables related with the behavior of banks, such as type of founding, liquidity, leverage, capital stock, size of the bank and changes in the market share of credit flow. Lastly section 7 concludes, which refers to interest rate formation and its own dynamic, as well as the relationship between interest rates, monetary policy, and financial stability policy.