An evaluation of the transmission of the policy interest rate to the financial system’s interest rates in Colombia
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Resumen
This paper studies monetary policy transmission using several statistical tools. We find that the relationships between the policy interest rate and the financial system’s interest rates are positive and statistically significant, and transmission is complete eight months after policy shocks occur. The speed of transmission varies according to the type of interest rates. Transmission is faster for interest rates on loans provided to households, and is particularly rapid and complete for rates on preferential commercial loans. Transmission is slower for credit card and mortgage rates, due to regulatory issues (interest rate ceilings).
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Referencias
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Betancourt, R., Vargas, H., & Rodriguez, N. (2008). Interest rate pass-through in Colombia: a micro-banking perspective. Cuadernos de economía, 45(131), 28-58. http://dx.doi.org/10.4067/S0717-68212008000100002
De Bondt, G. (2002). Retail bank interest rate pass-through: new evidence at the euro area level. Working Paper Series - European Central Bank, (0136), 1-42.
Gambacorta, L. (2008). How do banks set interest rates? European Economic Review, 52(5), 792-819. http://dx.doi.org/10.1016/j.euroecorev.2007.06.022
Gómez-Gonzalez, J., & Grosz, F. (2007). Evidence of a bank lending channel for Argentina and Colombia. Cuadernos de economía, 44(129), 109-126.
Hannan, T. H., & Berger, A. N. (1991). The rigidity of prices: Evidence from the banking industry. The American Economic Review, 81(4), 938-945.
Hofmann, B., & Mizen, P. (2004). Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates. Economica, 71(281), 99-123. http://dx.doi.org/10.1111/j.0013-0427.2004.00359.x
Horváth, C., Krekó, J., & Naszódi, A. (2004). Interest rate pass-through in Hungary. MNB Working Papers 2004/8, Magyar Nemzeti Bank.
Huertas, C., Jalil, M., Olarte, S., & Romero, J. V. (2005). Algunas consideraciones sobre el canal del crédito y la transmisión de tasas de interés en Colombia. Borradores de Economía, 351. Banco de la República de Colombia.
Julio, J. M. (2001). Relación entre la Tasa de Intervención del Banco de la República y las Tasas del Mercado: Una Exploración Empírica. Borradores de Economía 188, Banco de la Republica de Colombia.
Mester, L. J., & Saunders, A. (1995). When does the prime rate change? Journal of Banking & Finance, 19(5), 743-764. http://dx.doi.org/10.1016/0378-4266(94)00090-P
Mizen, P., & Hofmann, B. (2002). Base rate pass-through: evidence from banks' and building societies' retail rates. Bank of England working papers 170, Bank of England.
Reyes, N. R., Gómez-González, J. E., & Ojeda-Joya, J. (2015). Bank lending, risk taking, and the transmission of monetary policy: new evidence for an emerging economy. Macroeconomics and Finance in Emerging Market Economies, 8(1-2), 67-80. http://dx.doi.org/10.1080/17520843.2014.930059
Stock, J. H., & Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American statistical association, 97(460), 1167-1179. http://dx.doi.org/10.1198/016214502388618960
Betancourt, R., Vargas, H., & Rodriguez, N. (2008). Interest rate pass-through in Colombia: a micro-banking perspective. Cuadernos de economía, 45(131), 28-58. http://dx.doi.org/10.4067/S0717-68212008000100002
De Bondt, G. (2002). Retail bank interest rate pass-through: new evidence at the euro area level. Working Paper Series - European Central Bank, (0136), 1-42.
Gambacorta, L. (2008). How do banks set interest rates? European Economic Review, 52(5), 792-819. http://dx.doi.org/10.1016/j.euroecorev.2007.06.022
Gómez-Gonzalez, J., & Grosz, F. (2007). Evidence of a bank lending channel for Argentina and Colombia. Cuadernos de economía, 44(129), 109-126.
Hannan, T. H., & Berger, A. N. (1991). The rigidity of prices: Evidence from the banking industry. The American Economic Review, 81(4), 938-945.
Hofmann, B., & Mizen, P. (2004). Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates. Economica, 71(281), 99-123. http://dx.doi.org/10.1111/j.0013-0427.2004.00359.x
Horváth, C., Krekó, J., & Naszódi, A. (2004). Interest rate pass-through in Hungary. MNB Working Papers 2004/8, Magyar Nemzeti Bank.
Huertas, C., Jalil, M., Olarte, S., & Romero, J. V. (2005). Algunas consideraciones sobre el canal del crédito y la transmisión de tasas de interés en Colombia. Borradores de Economía, 351. Banco de la República de Colombia.
Julio, J. M. (2001). Relación entre la Tasa de Intervención del Banco de la República y las Tasas del Mercado: Una Exploración Empírica. Borradores de Economía 188, Banco de la Republica de Colombia.
Mester, L. J., & Saunders, A. (1995). When does the prime rate change? Journal of Banking & Finance, 19(5), 743-764. http://dx.doi.org/10.1016/0378-4266(94)00090-P
Mizen, P., & Hofmann, B. (2002). Base rate pass-through: evidence from banks' and building societies' retail rates. Bank of England working papers 170, Bank of England.
Reyes, N. R., Gómez-González, J. E., & Ojeda-Joya, J. (2015). Bank lending, risk taking, and the transmission of monetary policy: new evidence for an emerging economy. Macroeconomics and Finance in Emerging Market Economies, 8(1-2), 67-80. http://dx.doi.org/10.1080/17520843.2014.930059
Stock, J. H., & Watson, M. W. (2002). Forecasting using principal components from a large number of predictors. Journal of the American statistical association, 97(460), 1167-1179. http://dx.doi.org/10.1198/016214502388618960