A bank-level analysis of interest rate pass-through in South Africa

被引:0
|
作者
Greenwood-Nimmo, Matthew [1 ,2 ,3 ,4 ]
Steenkamp, Daan [5 ]
van Jaarsveld, Rossouw [6 ]
机构
[1] Univ Melbourne, Fac Business & Econ, Melbourne, Australia
[2] Univ Melbourne, Melbourne Ctr Data Sci, Melbourne, Australia
[3] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT, Australia
[4] Codera Analyt, Johannesburg, South Africa
[5] Stellenbosch Univ, Dept Econ, Stellenbosch, South Africa
[6] Stellenbosch Univ, Ctr competit law & econ, Econ Dept, Stellenbosch, South Africa
关键词
Interest rate pass-through; Monetary policy transmission mechanism; Bank funding costs; Sign asymmetry; MONETARY-POLICY; LENDING RATES; EURO AREA; UNIT-ROOT; HYPOTHESIS; MARKET; TRANSMISSION; RIGIDITY;
D O I
10.1016/j.jmacro.2024.103639
中图分类号
F [经济];
学科分类号
02 ;
摘要
We study the pass-through of policy rate hikes and cuts to household and corporate lending and deposit interest rates in South Africa over the period January 2009 to December 2020. We show that rate hikes are typically passed through to mortgage interest rates completely while rate cuts are not. This asymmetry is more prevalent for household than corporate mortgages. Pass-through to household and corporate call deposit interest rates is typically complete, but cheque account interest rates are highly sticky and experience weak pass-through. Our results indicate that banks' pass-through decisions often impose greater costs on households than firms, and may blunt the stimulatory effect of rate cuts by weakening their impact on debt servicing costs and the remuneration of deposit balances.
引用
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页数:26
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