Libros

Resumen

Acknowledging that pass-through of the policy interest rate may be different amongst the private banks, this paper presents evidence of monetary pass-through conditional on different banks characteristics. A simple theoretical model is used to argue that the inflation rate also has to be taken into account when analyzing monetary pass-through. The focus is on nominal and real interest rates for commercial and consumer loans with different payback horizons. Taking a closer look at the construction of the interest rate data available, it becomes clear that short-term consumption rates are quite rigid and, thus, by construction react less to changes in the policy rate. Evidence from panel estimations with Chilean data for the period 2008 to 2014 suggests that short-term commercial rates react quite fast to changes in the monetary policy rate, while those at long-term seem to react more to inflation. Particularly size and deposit strength affect banks when fixing nominal commercial rates, while the determination of rates of consumer loans is particularly influenced by bank size and capital strength. With respect to real interest rates, commercial loans are affected by deposit strength, noninterest income and external obligations, while mortgages are affected by liquidity strength and provisions. The evidence provided in the present study reveals that the degree to which different bank characteristics affect pass-through of changes in the monetary policy rate and inflation depends to a great extent on the horizons of the loans.

Resumen

The analysis in this paper is focused on how pass-through of changes in the monetary policy rate (MPR), expectations to MPR changes, and different measures of risks affect  banks’ interest rates. Several bank rates are considered, nominal as well as real, rates  for lending as well as deposit, and nominal rates are separated among different horizons  for loans and deposits. A number of measures of risk are constructed and incorporated in the analysis to take into account credit risk, market risk, liquidity risk and interest rate risk. Evidence suggests that for the majority of the nominal rates, the pass-through of MPR  changes is symmetric and instantaneous complete, while it is symmetric but generally  not instantaneous complete for real rates. Liquidity risks seem to matter somewhat for  changes in banks’ interest rates, but market risk is more important. Credit risk is essential for explaining changes in interest rates, while the impact of interest rate risk and macroeconomic variables is rather limited. Surprises with respect to policy changes matters for some rates, but generally the impact is limited suggesting that banks do not alter rates based on MPR expectations.

Abstract:      

Lacking a market for a divisible asset, a seller faces a stream of buyers who arrive at random times with random limit orders. This paper uses search theory to understand how this liquidation sale optimally proceeds. We solve the dynamic programming exercise characterizing his optimal trading behavior. His behavior changes as the asset position falls, reflecting the endogenous time-varying value of the asset position.

Using recursive methods and duality theory, we uncover a new “diminishing returns to optionality” property: The Bellman value function is increasing and concave in the position. The seller therefore takes greater advantage of more generous offers, but his marginal value shifts up as he unwinds his position, making him less willing to trade. Deducing a convex marginal value, we then offer new insights on transactional liquidity in finance for trade size, depth and spreads. We also explore a new dimension of liquidity, namely, the waiting time between trades. Finally, the model is tractable enough to allow for price-quantity bargaining. We find that greater buyer bargaining power is tantamount to greater frictions, and so increases supply, decreases price, and leads to a more liquid induced market.