Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks

Mark J. Holmes, Ana María Iregui, Jesús Otero

Resultado de la investigación: Contribución a RevistaArtículo

7 Citas (Scopus)

Resumen

© 2015 Elsevier B.V.Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of monetary policy is limited. Further investigation reveals that the behaviour of retail deposit rates appears consistent with collusive behaviour between banks insofar as interest rates are more rapidly adjusted downwards than upwards. In the case of retail lending rates, it appears that banks more rapidly reduce than increase rates. This suggests that expansionary monetary policy in Colombia may be relatively more effective than contractionary policy.
Idioma originalEnglish (US)
Páginas (desde-hasta)270-277
Número de páginas8
PublicaciónEconomic Modelling
DOI
EstadoPublished - sep 1 2015

Huella dactilar

Lending
Deposits
Retail
Interest rate pass-through
Asymmetry
Interest rates
Monetary policy
Colombia
Deposit rate

Citar esto

@article{6fa2020d58f24132acbe1154508c437b,
title = "Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks",
abstract = "{\circledC} 2015 Elsevier B.V.Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of monetary policy is limited. Further investigation reveals that the behaviour of retail deposit rates appears consistent with collusive behaviour between banks insofar as interest rates are more rapidly adjusted downwards than upwards. In the case of retail lending rates, it appears that banks more rapidly reduce than increase rates. This suggests that expansionary monetary policy in Colombia may be relatively more effective than contractionary policy.",
author = "Holmes, {Mark J.} and Iregui, {Ana Mar{\'i}a} and Jes{\'u}s Otero",
year = "2015",
month = "9",
day = "1",
doi = "10.1016/j.econmod.2015.04.015",
language = "English (US)",
pages = "270--277",
journal = "Economic Modelling",
issn = "0264-9993",
publisher = "Elsevier",

}

Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks. / Holmes, Mark J.; Iregui, Ana María; Otero, Jesús.

En: Economic Modelling, 01.09.2015, p. 270-277.

Resultado de la investigación: Contribución a RevistaArtículo

TY - JOUR

T1 - Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks

AU - Holmes, Mark J.

AU - Iregui, Ana María

AU - Otero, Jesús

PY - 2015/9/1

Y1 - 2015/9/1

N2 - © 2015 Elsevier B.V.Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of monetary policy is limited. Further investigation reveals that the behaviour of retail deposit rates appears consistent with collusive behaviour between banks insofar as interest rates are more rapidly adjusted downwards than upwards. In the case of retail lending rates, it appears that banks more rapidly reduce than increase rates. This suggests that expansionary monetary policy in Colombia may be relatively more effective than contractionary policy.

AB - © 2015 Elsevier B.V.Using a sample of Colombian banks, we examine retail interest rate adjustment in response to changes in wholesale interest rates. Interest rate pass through running from wholesale to retail rates is found to be both partial and heterogeneous across banks. This suggests that the effectiveness of monetary policy is limited. Further investigation reveals that the behaviour of retail deposit rates appears consistent with collusive behaviour between banks insofar as interest rates are more rapidly adjusted downwards than upwards. In the case of retail lending rates, it appears that banks more rapidly reduce than increase rates. This suggests that expansionary monetary policy in Colombia may be relatively more effective than contractionary policy.

U2 - 10.1016/j.econmod.2015.04.015

DO - 10.1016/j.econmod.2015.04.015

M3 - Article

SP - 270

EP - 277

JO - Economic Modelling

JF - Economic Modelling

SN - 0264-9993

ER -