IMF-货币政策对利率的传导：来自30个欧洲国家的风格化事实（英）-2024.1

Monetary

PolicyPass-Through

toInterestRates:StylizedFactsfrom30EuropeanCountriesRobertBeyer,RuoChen,ClaireLi,FlorianMisch,EzgiO.Ozturk,andLevRatnovskiWP/24/9IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2024JAN©2024

InternationalMonetaryFundWP/24/9IMFWorkingPaperEuropeanDepartmentMonetaryPolicyPass-ThroughtoInterestRates:

StylizedFactsfrom30European

CountriesPreparedbyRobertBeyer,RuoChen,ClaireLi,FlorianMisch*,EzgiO.Ozturk,andLevRatnovski**Authorizedfordistributionby

HelgeBergerJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.

TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Theextenttowhichchangesinmonetarypolicyratesleadtochangesinloananddepositratesforhouseholdsandfirms,referredtoas‘pass-through’,isanimportantingredientofmonetarypolicytransmissiontooutputandprices.Usingdataonsevendifferentbankinterestratesin30Europeancountries,differentapproaches,andthefullsampleaswellasasubsampleofeuroareacountries,weshowthata)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountries

andtypesofinterestrates;b)thepass-throughhasgenerallybeenweakerandslower,exceptforratesofnon-financialcorporationloansandtimedepositsineuroareacountries;c)differencesinpass-throughovertimeandacrosscountriesformostdepositratesarecorrelatedwithfinancialsectorconcentration,liquidity,andloanopportunities,andd)theeffectsofpass-throughtooutstandingmortgageratesonmonetarytransmission

onpricesandoutputareheterogenousacrosscountries.RECOMMENDEDCITATION:

Beyer,R.,Chen,R.,Li,C.,Misch,F.,Ozturk,E.,andRatnovski,L.(2024).MonetaryPolicyPass-ThroughtoInterestRates:StylizedFactsfrom30EuropeanCountries.IMFWorkingPaperWP/24/9JELClassificationNumbers:Keywords:E43;E52MonetaryPolicyTransmission;

MonetaryPolicy

Pass-Throughrbeyer@;rchen@;yli13@;fmisch@;eozturk@;lratnovski@Author’sE-MailAddress:*Correspondingauthor.**TheauthorswouldliketothankOya

Celasun,LuisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen,MahirBinici,OzgeEmeksiz,EzequielCabezon,SalvatoreDell'Erba,FazurinJamaludin,RuiMano,VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin,AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatesWORKINGPAPERSMonetary

PolicyPass-Through

toInterestRates:StylizedFactsfrom30EuropeanCountriesPreparedby

RobertBeyer,RuoChen,ClaireLi,FlorianMisch1,EzgiO.Ozturk,andLevRatnovski21

Correspondingauthor.2

Theauthorswouldliketothank

OyaCelasun,LuisBrandaoMarques,VincenzoGuzzo,SebastianWeber,PelinBerkmen,MahirBinici,OzgeEmeksiz,EzequielCabezon,SalvatoreDell'Erba,FazurinJamaludin,RuiMano,VinaNguyen,YuShiandECBstaffforusefulcomments.KaylaQin,AgnesaZalezakovaandWeiZhaoprovidedusefulassistance.INTERNATIONALMONETARYFUND3IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatesContents1.Introduction

.....................................................................................................................................................52.TheRoleofPolicyPass-ThroughforMonetaryPolicyTransmission

.......................................................63.Data

..................................................................................................................................................................84.StylizedFacts

..................................................................................................................................................84.1Inthepost-pandemichikingcycle,pass-throughhasbeenheterogeneousacrosssectors,loananddeposittypes,andcountries...........................................................................................................................84.2Thepass-throughhasbeenweakerthistime,excepttoNFCloanrates...............................................104.3Thepass-throughhasbeenslowerthistime,excepttoNFCloanrates................................................134.4Lowerbankingcompetition,amplehouseholdandNFCdeposits,andhighbankingliquidityaresometimesassociatedwithlowerdepositratepass-through.......................................................................174.5Pass-throughtoratesofexistingmortgagesweakenedovertimeastheshareoffixedratemortgagesincreased,withheterogeneouseffectsacrosscountries..............................................................................215.Conclusions...................................................................................................................................................22References.........................................................................................................................................................23AnnexI.DataDescription.................................................................................................................................26AnnexII.AdditionalChartsandResults.........................................................................................................30INTERNATIONALMONETARYFUND4IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRates1.IntroductionThepost-pandemicsurgeininflationhastriggeredthemostaggressivemonetarypolicytighteningindecades.Thishas,inturn,generatedrenewedinterestintheaggregateeffectsofmonetarypolicy.Thispaperanalyzesthepass-throughofpolicyratesinEuropeaneconomiestolendingand

depositratesofcreditinstitutions,referredtoasbankinterestrates,therebyprovidinginsightsintoanimportant(butnottheonly)aspectofmonetarypolicytransmission.Theimpactofmonetarypolicy-inducedchangesinloananddepositinterestratesforhouseholdsandnon-financialcorporations(NFCs)isoneofmanychannelsthroughwhichmonetarypolicyaffectsfinancialconditions,andtherebyoutputandprices.Bankinterestratescanaffectagents’investment,consumptionandsavingdecisions,debtservicecostsandsavingsincome,aswellasassetvalues,allofwhichaffectrealeconomicoutcomes.Theextentofpass-throughofmonetarypolicyratechangestobankinterestratesthereforeaffectsmonetarypolicytransmissionandeffectiveness.Inturn,pass-throughtobankinterestratescanbeinfluencedbyfinancialsectorconcentration,liquidity,andtheavailabilityofdepositsrelativetoprofitablelendingopportunities.Thesecharacteristicscanaffectincentivesforbankstocompetefordepositsandpotentiallyunderminepass-throughinhikingcycles.Methodologically,

analyzingpass-throughhasadvantages:theeffectsofmonetarypolicyonbankloananddepositrates

arearguablymoredirect,oftenwithshorterlagsandfewerconfoundingfactorscomparedtomonetarypolicytransmission

onoutputandprices.Focusingonmonetarypolicypass-throughinEuropeancountriesduringthe

post-pandemichikingcycle,thispapermakestwokeycontributionstothepreviousliterature.First,wecompiledataonsevendifferentinterestratesfor30Europeancountriesbothwithineuroareaandnon-euroareacountrieswithindependentmonetarypolicy(definedashavingnoofficialpegandnotbeingfullyeuroized).ThisdatasetcontainsinterestratesforkeytypesofnewloansanddepositsofbothhouseholdsandNFCs.Second,wepresentarangeof

earlyevidenceonstylizedfactsonmonetarypass-throughduringthepost-pandemichikingcycleusingamixofdescriptivestatisticsandregressionanalyses,bothforthefullsampleofcountriesandasubsetofeuroareacountries(EA-12countries).Inparticular,wedocumentthat:a)thepass-throughinthepost-pandemichikingcyclehasbeenheterogenousacrosscountriesandtypesofinterestrates;b)thepass-throughhasbeenweakerandslowerrelativetopasthikingcycles,

exceptforratesofnewloanstoNFCsandNFCtimedeposits(andcontrollingforthepeculiaritiesofthecurrentcycleincludingpossibleanticipationeffects

oflowinitialratesdoesnotalterthesefindingqualitatively);c)theweakeningofpass-throughtodepositratesisinpartassociatedwithhigherfinancialsectorconcentration,moreampledepositsrelativetoloanopportunities,andliquidity;andd)usingdataonoutstandingmortgagesasanexample,

theeffectsofpass-throughonaggregatemonetarypolicytransmissionareheterogenousacrosscountries.Takingaccountofthepeculiaritiesofthepost-pandemichikingcycleincludingpossibleanticipationeffectsandverylowinitialrates

doesnotchangethesestylizedfacts.Ourpapercontributestotheempiricalliteraturestudyingmonetarypolicypass-throughtobankinterestrates,includinginEurope.Onestrandofthisliteraturefocusesontheeuroareaandmostlycoversthe2000s.Forexample,SørensenandWerner(2006),BernhoferandvanTreeck(2013),

SanderandKleimeier(2006)documenthowpass-throughdiffersacrosscountries,interestratetypes,and

intheshortvs.longrun(seeforexampledeBondt,2005,forasurvey),andSaborowskiandWeber(2013)examinethedeterminantsofpass-throughtotheaggregatebanklendingrateinalargepanelofcountries.

OtherpapersfocusonEuropeanINTERNATIONALMONETARYFUND5IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatescountriesoutsideoftheeurozone.3

Ameta-datastudyoninterestratepass-through,basedonmorethanathousandestimatesfrom50studies,findsthattheaveragepass-throughfrommonetarypolicyratestobanklendingratesisaround0.8(GregorandMelecký,2021).Ourpaperisalsorelatedtoanotherstrandoftheliteraturewhichexploitsheterogeneityinthepass-throughacrossbankswithincountries.Forinstance,Wangetal.(2022)usedataonU.S.banksandshowthatbankmarketpoweraffectspass-through,andthattheeffectsdependonthelevelofthepolicyrate.Kho(2023)

usescountry-andbank-leveldatafrom13euroareacountriesfrombeforethe

post-pandemichikingcycleandshowsthatthedegreeofbankingsectorconcentrationhasasymmetriceffectsonpass-throughtoovernight(O/N)depositratesduringtighteningandlooseningcycles.López-Quiles(2021)estimatespass-throughtomoneymarketinterestratesusingtransaction-leveldataofthelargestbanksintheeuroarea.Importantly,ourpaperovercomesacritical

limitationoftheexistingliteraturebycoveringthepost-pandemichikingcycleandusesdataonindividualcountriesorcoveringonlyasubsetofeuroareacountries.Hence,ourpaperisrelatedtorecentstudiesanalyzingthepass-throughduringthepost-pandemichikingcycle,whichallreportfindingsthatareconsistentwithours.Forexample,fortheeuroarea,ByrneandFoster(2023)findthatpass-throughisgenerallyweakernowrelativetopreviouscycles,MesserandNiepmann(2023)findthatpass-throughtodepositrateshasbeenmoresluggishthaninthepast,Lane(2023aand2023d)reportsthatthepass-throughtoNFCloanshasbeenstrongandthatloanratesstartedtorisebeforetheECBhikeditspolicyratesinJuly2022,andLane(2023c)findsweakerpass-throughtoO/Ndepositratesthan

totimedepositratesinthepost-pandemichiking

cycle.ForotherEuropeaneconomies,

CabezonandKovachevska(2024)findsthatpass-throughinNorthMacedoniaisweakercomparedtoregionalpeersandtheeuroarea,andBinici(2024)attributesrelativelyweakpass-throughinMaltainthepost-pandemictighteningcycletoabundantliquidityinthebankingsystem.Thepaperisorganizedasfollows:Section2discussesconceptuallytheroleofpolicypass-throughinoverallmonetarypolicytransmission.Section3describesthedata.Section4

presentsstylizedfactsonmonetarypolicypass-through.Section5concludes.2.TheRoleofPolicyPass-ThroughforMonetaryPolicy

TransmissionMonetarypolicyusuallyusestheshort-termmoneymarketinterestrate

asitsoperationaltarget.Themoneymarketrateistransmitted

viafinancialmarketstodepositandlendingratesofcreditinstitutions(‘bankinterestrates’),andthroughthemtothebroadereconomy.Theabilityofthecentralbanktoachieve

itsultimateobjectives—price,financial,andoverallmacroeconomicstability—hingesinpartonthetransmissionofthepolicyratetootherinterestrates.Inturn,bankinterestratesaffectthemacroeconomythroughseveralrelatedchannels:1.Interestratechannel:Changesininterestratesalterfirminvestmentbehaviorandhouseholdconsumptionandsavingchoices.Higherrealinterestratesincreasethehurdle(break-even)ratesforinvestment,therebyreducingit,andtheymakesavingmoreattractive,whichinturnreduces3

Forexample,GregorandMelecký(2018)focusonpass-throughtolendingratesinCzechRepublic,Egertetal.(2007)studytheinterestratepass-throughinfivecentralandeasternEuropeancountries,Beckeretal.(2012)analyzethepass-throughtomortgageratesintheUK,andHansenandWelz(2011)analyzethepass-throughtolendinganddepositratesinSweden.INTERNATIONALMONETARYFUND6IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatesconsumption.

Thisisthestandardneo-classicalchannelofmonetarypolicy(GoodfriendandKing,1997).2.Cashflowchannel:Changesininterestratesaffectagents’incomeandcostsrelatingtoexistingassetsandliabilitiesthatcarryvariableinterestrates.Inotherwords,tightermonetarypolicycandirectlyincreaseinterestincomeanddebtservicecosts,butthecashfloweffectsdependonwhetherhouseholdsandfirmsarenetborrowersorsaversandtheirexposuretovariableratedebtanddeposits.Withdifferentpropensitiestoconsumeorinvest

acrosshouseholdsandfirms,thischannelcanaffectaggregatemacroeconomicoutcomes(see,e.g.,Auclert,2019).4

Lowpass-throughtodepositratesmaymatterinthiscontextgiventhatmanyhouseholdsinEuropearenetsavers.Balancesheetchannel:Higherinterestratesreducethevalueofassetsusedascollateral,therebytighteningagents’financialconstraints.Forfirms,thisamplifiestheneoclassicalimpactofinterestratesoninvestment,whileforhouseholdsthiscanaltertheconsumptionofdurablegoods(KiyotakiandMoore,1997).Additionally,wealtheffects(lower

assetvaluationsduetohigherinterestrates)reducethehouseholds’propensitytoconsume(LettauandLudvigson,2004).3.4.Bankingchannel:Higherinterestratestendtobeassociatedwithhigherbanknetinterestratemargins,therebyincreasing

bankprofits(Borioetal.,2017).Interestratesmayalsoaffectbankfundingconditions,ashigher

depositratesmayincrease

depositsupply.Higherbankprofitsandampledepositsmayincreasebanklendingcapacity(KashyapandStein,2000;Drechsleretal.,2017).5Table1:Effectsofmonetarypolicypass-throughtobankinterestratesontotherealeconomyChannelsthatdirectionallyweakentheeffectsofmonetarypolicytighteningshownin

orangeEffectsofhigherpass-throughduringMPtighteningChannelsofMPtransmissionMechanismofchannelduringMPtighteningEffectsofhigherpass-throughtoloanratesEffectsofhigherpass-throughtodepositratesMoresaving→InterestratechannelHigherhurdleratefornew

Lessinvestmentinvestment,andhigherLessconsumptionsavingsremunerationCashflowchannelHigherinterestincomeand

Lowercashflow→Highercashflow→moreconsumptionandinvestmentdebtservicescostforexistingexposuresLessconsumptionandinvestmentBalancesheetchannelBankingchannelLowervalueofcollateralTighternon-pricecreditconditions→LessinvestmentTighterbankfundingconditions→LesslendingLowerbanks’networthHighercostofbankfundingMoresupplyofdeposits→MorelendingOnbalance,ahigherpass-throughofmonetarypolicytointerestrates

tendstostrengthenmonetarypolicytransmissionthrougheachofthesechannels

(Table1).However,ahigherpass-throughtodepositratescan4

Thenon-financialsectorinagiveneconomymaypredominantlyconsistofeitherlosersorwinners,sothattheaggregateeffectsdonotnetoutevenifthemarginalpropensitiestoinvestandconsumeareidentical.Inthatcase,theaggregateconsumptionandinvestmenteffectscouldbeoffsetbychangesinthevolumeofloansthroughchangesincreditconditions.5

SeealsoLane(2023a)foradiscussionofthischannel.Obviously,thereareothermonetarypolicytransmissionchannelswhichdonotdirectlydependoninterestratepass-through;

see,forexample,Ceviketal.(2023),Lane(2023a),andMishkin(1996)formoredetailsontheinterestratechannelsdiscussedhereandacomprehensivelistofmonetarytransmissionchannelsmorebroadly.INTERNATIONALMONETARYFUND7IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatescreateambiguouseffectsinsomecases.Forinstance,higherpass-throughinahikingcyclereducesprivateinvestmentandconsumptionthroughahigherhurdleratefornewinvestmentandsavingsremuneration,butthiseffectisweakenedbyhighercashflowsfromtheexistingstockofsavings.3.DataWecompileadatasetonloananddepositinterestratesofcreditinstitutionsin30Europeaneconomiesusingdatafromcentralbanksandstatisticalagencies,referredtoasbankinterestrates.Ourdataincludessevendifferenttypesofinterestrates:interestratesonovernightdeposits

andtimedeposits,bothforhouseholdsandNFCs,consumerloans,mortgages,andloanstoNFCs.Theinterestratesgenerallyrefertonew

depositsandloans,butwealsocollectdataoninterestratesofoutstandingmortgages.6Ourdataisatmonthlyfrequencyandconstitutesanunbalancedpanel,spanning30Europeancountriesthatareeitherpartoftheeuroareaorhaveindependentmonetarypolicy(inthesensethattheydonothave

hardpegsorarecompletelyeuroized).Twothirdsofcountrieshave

dataonallseventypesofinterestrates(AnnexTableA2).Someseriesreachbackto2003,butforsomecountriesthetimecoverageisconsiderablyshorter.Theaveragenumberofyearspercountryis17.8.Wecomplementthisdatawithinformationonthemonetarypolicyrate,prices(HICPandcoreHICPinflation)andeconomicactivity(industrialproduction).Toexaminetheroleofpotentialdeterminants

ofpass-through,wealsocollectlongertimeseriesonbankingsectorconcentration(Herfindahl–Hirschmanindexusingbankassets)andtheloan-to-depositratioasaproxyoffinancialsectorliquidity.AnnexTables

A2,A3andA4containdetailsaboutthecountrycoverageofbankinterestratesandthecompletelistofvariableswithbroaddefinitionsandsources.Therearesomeminordifferencesintheexactdefinitionofinterestrates.Forinstance,someinterestratesarecollectedusing

theuniverseofcreditinstitutions,whereasothersreferto

alloronlyasubsetofbanks.Inaddition,in

somecountries,thehouseholdsectorencompassesnon-profitorganizationservinghouseholds,butinothersitdoesnot.Whilethesedifferencesimplythattheinterestrateseriesarenotperfectlycomparableacrosscountries,theyaretoosmalltomateriallyaffectourresults.

Reassuringly,theresultfortheeuroarea,whichshouldbe

perfectlycomparableacrosscountries,arequalitativelysimilartotheresultsbasedontheoverallsample.4.StylizedFacts4.1Inthepost-pandemichikingcycle,pass-throughhasbeenheterogeneousacrosssectors,loananddeposittypes,andcountriesWedocumentthepass-throughtoeachofthesevenbankinterestrates(timeandO/NdepositratesforbothhouseholdsandNFCs,andratesformortgages,consumerloansandNFCloans)inthepost-pandemicmonetarypolicytighteningcycle.Wecomputebankinterestratebetas,definedastheratioofthecumulativeincreaseinbankinterestratestothecumulativeincreaseinthepolicyrate.Forthepurposeofthisexercise,weonlyusedatafromthepost-pandemichikingcycleandtruncatethedatafor6

Insometimeseries,thereisthedistinctionbetweenpurenewbusinessandnewbusinesscombinedwithrenegotiations.Wegenerallyusepurebanksratesfornewbusiness,butforNFCloanratesinCzechRepublic,Cyprus,Estonia,FinlandandRomaniacountries,weuseinformationfrombothseriestocompiledataserieswithfewergaps.INTERNATIONALMONETARYFUND8IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRateseachcountryinthemonthofthefirstratehikeuntilthreemonthsafterthelasthike(orthefirstratecutortheendofoursample,whateverisshorter);seeAnnexTableA1forthestartandenddatesofthepost-pandemichikingcycleofeachcountry.

Theresultsareasfollows.First,thereisheterogeneityacrossdifferenttypesofloansanddeposits(Figure1).Wefindthatthepass-throughisonaveragehighestforloanstoNFCs,followedby

timedeposits,andweakestforovernight(O/N)deposits.Theresponseofmortgageratestochangesinthepolicyrateliesinbetweenthem.Inpart,thisheterogeneityinpass-throughcouldbelinkedtodifferencesinthematurityoftheunderlyingloansanddeposits,wherebyalongermaturitycanweakenthelinkbetweenpolicyratesandbankrates.Forinstance,comparedtoNFCloans,whichoftenhaveshortermaturities,itisplausiblethatmortgageratesrespondlesstopolicyratechanges,astermpremiaandotherfactorsaffectlonger-maturityloans(thematurityofmortgagesdifferssignificantlyacrosscountries

–seeSection4.5).Thesefindingsarebroadlyconsistentwiththeexistingliterature.Therelativelyweakpass-throughtodepositrates,especiallyovernightdepositrates,isconsistentwiththenotionthat

highswitchingcostsgivebanksmarketpowerindepositmarketsbutrunscounterthehypothesisthatlongerdurationweakensthelinkbetweenpolicyandbankrates(seePolo,

2021,foradiscussion).MesserandNiepmann(2023)alsodocumentthatpass-throughtoO/Ndepositrateshasbeenweakerthantotimedepositratesinthepost-pandemiccycle.Second,thereissignificantheterogeneityacrosscountries,bothinthedispersionofthepass-throughacrossdifferentratesandthelevelofthepass-through(Figure2).Someofthesecross-countrydifferencescanreflectdifferencesinfinancialsectorconcentration,liquidity,andprofitablelendingopportunitiesrelativetosavingsaswediscussbelow.Inaddition,publicpoliciesthatcaplendingratesorimposefloorsondepositratescouldalsoplayarole.Forinstance,Hungaryintroducedtemporarymortgageinterestratecaps,withthestatedrationaleofhelpinghouseholdswithrisingdebtservicepayments(Valderrama,2023).77

TheIMF'sintegratedmacroprudentialpolicy(iMaPP)database

containscomparablecross-countrydataontheuseofsuchtools.However,atthetimeofwriting,themostrecentdatarefersto2021anddoesnotcontainmeasuresthatwereintroducedsincethebeginningofthepost-pandemichikingcycle.INTERNATIONALMONETARYFUND9IMFWORKINGPAPERSMonetaryPolicyPass-ThroughtoInterestRatesFigure1:BankInterestRateBetasFigure2:BankInterestRateBetasbyCountryHUCZNO*SE*RS*SKROPL*ITNFC

loansNFCtimedepositsAL*UKATHHtimedepositsFRDEBELTMortgagesPTESEELV*IE*FIConsumerloansNFC

O/NdepositsSILUNL*GR*MT*CYMK*CH*HH

O/Ndeposits00.20.40.60.81-0.6-0.4-0.200.20.40.60.811.21.4Sources:ECB;Haveranalytics;countryauthorities;andIMFstaffcalculations.Note:Ratioofcumulativechangeininterestratesrelativetocumulativechangesinthepolicyrate

frommonthoffirstrateincreasetothreemonthsafterlastrateincrease(or

thefirstratecutortheendofthesample,whicheverisshorter)inthepost-pandemictighteningcycle.Figure1representstheunweightedaverageofupto30countries.

CountrieswithashadedareafortherangeofinterestratebetasinFigure2indicatethatatleastonebankrateisnotavailable.Thus,Figure2doesnotimplyacross-countryrankingofthecombinedpass-throughtoallbankrates,notallofwhichareavailableforallcountries.Forexample,forSwitzerland,theNFCandhouseholdtimedepositrates,theaggregatemortgagerateand

theaggregateNFCloanratearenotavailable,butevidencesuggeststhatthepass-throughtoflexibleratemortgages

hasbeenstrong(seeAnnexTableA2fordetailsondata).ForNorway,theendmonthhasbeenshiftedbackonemonthinordertohavemorethanonerateavailable.Third,therearedifferencesacrosscustomertypes(orsectors):thepass-throughtoNFCdepositratesgenerallyexceedsthepass-throughtohouseholddepositrates(Figures3and4).Thisfindingholdsfornearlyallcountries,

whichcouldsuggestgreatermarketpowerof

creditinstitutionsvis-à-vishouseholdsrelativetoNFCsandreflectlowerstickinessofNFCdeposits.Figure3:

OvernightDepositRateBetasFigure4:TimeDepositRateBetas0.60.50.40.30.20.101.41.21SEUKHUITFRCZDEATUKBEPLSILVESLUEENLFIEENLPTSK

FILTRO0.80.60.40.20GRNon-CESEELUCESEEDECZPLCYITATFRSKHUNon-CESEECESEELTES

ROLVMTCYBEALGRPTIECH

SI-0.10MT0.10.20.30.40.50.600.20.40.6HHtimedeposits0.811.2HH

O/N

depositsNote:RatioofcumulativechangeinO/Nandtimedepositinterestratesrelativetocumulativechangesinthepolicyrate

frommonthoffirstrateincreasetothreemonthsafterlastrateincrease(orthefirstratecutortheendofthesample,whicheverisshorter)inthepost-pandemictighteningcycle.4.2Thepass-throughhasbeenweakerthistime,excepttoNFCloanratesWenowcomparethemagnitudeofthepass-throughduringthepost-pandemictigh