理解利率调整对货币政策的异质性:哥伦比亚的证据

IF 4.2 2区 经济学 Q1 ECONOMICS Economic Modelling Pub Date : 2024-07-23 DOI:10.1016/j.econmod.2024.106829
Julian Benavides-Franco , Jaime Carabali , Luis Angel Meneses , Alex Perez
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引用次数: 0

摘要

宏观经济学的一个基本问题是了解一国中央银行对其利率所做的调整如何影响人们和企业实际体验到的利率。在本研究中,我们利用 2010 年至 2019 年哥伦比亚银行层面的贷款和存款利率数据,汇集了 35,000 个观测值的面板数据,分析当中央银行改变利率时,银行如何调整其利率。我们运用基于产业组织理论的模型来估算每家银行的战略互补性,这是衡量银行市场力量的一个指标。我们发现,银行倾向于将其利率调整分为两种,一种是直接对中央银行的变化做出反应,另一种是对竞争对手银行的反应做出反应。与贷款利率相比,银行存款利率的调整幅度较小。这些利率因银行的特点而异,国内大型银行的战略互补性最强,小型银行或外资银行的战略互补性最小。我们的研究结果表明,政策利率每增加 1%,银行利润率(利润)就会增加 0.2%。
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Understanding the heterogeneity of interest rate adjustments to monetary policy: Evidence for Colombia

A fundamental problem in macroeconomics is understanding how changes made by a country's central bank to its interest rate affect the rates that people and businesses actually experience. In this study, we used Colombian bank-level interest rate data from loans and deposits between 2010 and 2019 to assemble panel data of 35,000 observations to analyze how banks adjust their rates when the central bank changes its rate. We applied a model based on industrial organization theory to estimate each bank's strategic complementarity, a measure of the bank's market power. We found that banks tend to split their rate adjustments into one that directly responds to the central bank's changes and another that responds to how rival banks react. The rates offered by banks for deposits adjust less steeply than those applied to loans. These rates vary heterogeneously depending on the bank's characteristics, with large domestic banks showing the most significant strategic complementarity and small or foreign banks showing the least. Our results showed that bank margins (profits) increase by 0.2% for every 1% increase in the policy rate.

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来源期刊
Economic Modelling
Economic Modelling ECONOMICS-
CiteScore
8.00
自引率
10.60%
发文量
295
期刊介绍: Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.
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