IMF-货币政策对利率的传导：来自30个欧洲国家的风格化事实（英）-2024.1-34页_1mb

Key Findings:

• Heterogeneity in Pass-Through: The pass-through of policy rates to bank interest rates varies significantly across loan/deposit types and countries. Highest for loans to non-financial corporations (NFCs), weakest for overnight (O/N) deposits.
• Weaker Pass-Through in Post-Pandemic Cycle: Compared to past tightening cycles, pass-through was generally weaker in the post-pandemic period, except for NFC loan rates and NFC time deposits. The magnitude of rate hikes and their speed contributed to this.
• Factors Influencing Pass-Through: Higher banking sector concentration, ample household and NFC deposits, and high banking liquidity were associated with lower deposit rate pass-through. Lender competition and profitability influenced pass-through strength.
• Mortgage Pass-Through: The pass-through to outstanding mortgage rates weakened over time due to higher fixed-rate mortgage shares. Countries with high mortgage debt and strong pass-through could see large changes in household debt service costs, but overall economic effects vary.
• Implications: Slower and weaker pass-through may reduce the effectiveness of monetary policy transmission. Factors like low initial rates and anticipation effects partially explain this, but their impact is limited.

Methodology: Used bank interest rate betas, impulse response functions, and regression analysis for 30 European countries. Compared post-pandemic cycle to previous comparator cycles, controlling for confounding factors like economic activity and inflation.

Conclusions: The post-pandemic tightening cycle featured weaker and slower pass-through, with nuances by interest rate type and country. Factors like banking concentration and liquidity contributed to these effects. Future research should explore pass-through in combination with loan volumes and in partially euroized economies.