Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?
IMF Working Papers, July 1, 2011
Source details
- Canonical URL
- Determinants of Interest Rate Pass-Through: Do Macroeconomic Conditions and Financial Market Structure Matter?
Other formats
Bibliographic details
- Authors: Nikoloz Gigineishvili
- Published: July 1, 2011
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781462312313.001
Summary
- Scope: Cross-sectional study covering 70 countries from all regions, including low income, emerging and developed countries.
- Objective: Uncover structural determinants of interest rate pass-through using a wide range of macroeconomic and financial market structure variables.
- Methodological note: Expands coverage beyond small groups of mostly developed and emerging markets in the same region.
Principal empirical findings
- Macroeconomic determinants:
- Per capita GDP has a positive effect on pass-through.
- Inflation has a positive effect on pass-through.
- Market volatility has a negative effect on pass-through.
- Financial market and banking-structure determinants:
- Exchange rate flexibility strengthens pass-through.
- Credit quality strengthens pass-through.
- Overhead costs strengthen pass-through.
- Banking competition strengthens pass-through.
- Excess banking liquidity impedes pass-through.
Subjects and keywords (as listed)
- Subjects: Banking, Credit, Financial institutions, Financial markets, Financial services, Inflation, Loans, Market interest rates, Money, Money markets, Prices
- Keywords: Credit, exchange regime, Inflation, interest rate, interest rate channel, Interest rate pass-through, Loans, Market interest rates, Middle East, Middle East and Central Asia, monetary policy, money market rate, Money markets, pass-through, pass-through coefficient, transmission mechanism, unit interest rate elasticity, WP