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Bank Interest Rates Pass-Through: New Evidence From French Panel Data

This paper investigates the pass-through mechanism from market interest rates to bank interest rates using a panel of French banks based on new interest rates statistics. The data are extracted from new individual contracts, on a monthly basis for the three main sectors of the credit market (consumers loans, mortgage loans and loans to enterprises) from January 2003 to July 2007. The pass-through is estimated using recent econometric methods on non-stationary panel data. In contrast to previous studies, cross-sectional dependence among banks is allowed. The results confirm that bank rates for loans to enterprises and mortgage loans do not adjust completely to changes in market rates, even in the long run. The model also captures the narowing of the intermediation margin during the period considered.

Provided by: Munich Personal Repec Archive Topic: Big Data Date Added: Nov 2010 Format: PDF

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