Pass-through, expectations, and risks. What affect Chilean banks´ interest rates?


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.


Información adicional

  • Presentador: Michael Pedersen
  • Proveniente: Banco Central
  • Fecha: Miércoles, 07 Octubre 2015
  • Hora: 12:00
  • Lugar: Sala 788, FAE