Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144261
Authors: 
De Graeve, Ferre
De Jonghe, Olivier
Vander Vennet, Rudi
Year of Publication: 
2004
Series/Report no.: 
Working Paper Research 47
Abstract: 
We analyse the pass-through of money market rates to retail interest rates at the disaggregate level in the Belgian banking market. First, we measure the extent of pass-through for a total of fourteen products. We find that the response varies over loans and deposits and depends positively on the maturity of the product. Second, the launch of EMU has generally not resulted in more competitive pricing by banks. Third, we assess the importance of several biases and find that heterogeneity in price-setting behaviour should be accounted for in analysing the pass-through. Fourth, we analyse bank-specific determinants of heterogeneous interest rate pass-through. We find a role for capital, liquidity and market share and we relate these results to the various channels in monetary policy transmission and to the structure-conduct-performance hypothesis in banking.
Subjects: 
pass-through
Heterogeneous panel
aggregation bias
panel cointegration
retailbanking
bank-level interest rates
bank-level determinants
JEL: 
C23
E43
E52
G21
L11
Document Type: 
Working Paper

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