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Interest Rate Pass-Through : A Meta-Analysis of the Literature

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  • Gregora,Jiri
  • Melecky,Ales
  • Melecky,Martin
Abstract
The interest rate pass-through describes how changes in a reference rate (the monetary policy, money market, or T-bill rate) transmit to bank lending rates. This paper reviews the empirical literature on the interest rate pass-through and systematizes it by means of meta-analysis and meta-regressions. The paper finds systematically lower estimated pass-through coefficients in studies that focus on transmission to long-term lending rates, consumer lending rates, and average lending rates. The interest rate pass-through is significantly influenced by country macro-financial and institutional factors. The estimated pass-through tends to be stronger for economies with deeper capital markets (measured by market capitalization). Interestingly, central bank independence rising from lower levels can reduce interest rate pass-through, while central bank independence rising from already high levels can boost the pass-through.

Suggested Citation

  • Gregora,Jiri & Melecky,Ales & Melecky,Martin, 2019. "Interest Rate Pass-Through : A Meta-Analysis of the Literature," Policy Research Working Paper Series 8713, The World Bank.
    • Handle: RePEc:wbk:wbrwps:8713
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    6. Galindo, Arturo J. & Steiner, Roberto, 2022. "Asymmetric interest rate transmission in an inflation-targeting framework: The case of Colombia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).

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