Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities

• Type: Article in International Scientific Journal
• Date: 2012

Authors

Manuel Duarte Rocha (Author) FEP

Journal

Title: Journal of Policy Modeling

Vol. 34 No. 1

Pages: 64-80

ISSN: 0161-8938

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 23 Citations

ISI Web of Science

Scopus - 24 Citations

Econlit

Scientific classification

FOS: Social sciences > Economics and Business

CORDIS: Social sciences > Economics

Other information

Authenticus ID: P-002-H0R

DOI: 10.1016/j.jpolmod.2011.07.010

Abstract (EN): This study looks at and finds interactions between lending, deposit, and interbank rates-and asymmetries in interactions, in the pass-through to retail bank interest rates in Portugal. We uncover heterogeneous adjustments of bank rates as between sectors, between loans and deposits, and across maturities-which include complete long-run pass-through to corporate lending rates but rigidities for the personal sector, and incomplete long-run adjustment of deposit rates which also adjust asymmetrically. The results shed new light into understanding the behaviour of banks and the transmission mechanism of monetary policy, which is of value to future policy.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 17