Publication: Interest Rate Pass-Through: A Meta-Analysis of the Literature
The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through.
Link to Data Set
“Gregora, Jiri; Melecky, Ales; Melecky, Martin. 2019. Interest Rate Pass-Through: A Meta-Analysis of the Literature. Policy Research Working Paper;No. 8713. © World Bank, Washington, DC. http://hdl.handle.net/10986/31181 License: CC BY 3.0 IGO.”
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