Template-Type: ReDIF-Paper 1.0
Author-Name: Karlis Vilerts
Author-X-Name-First: Karlis
Author-X-Name-Last: Vilerts
Author-Workplace-Name: Latvijas Banka
Author-Name: Sofia Anyfantaki
Author-X-Name-First: Sofia
Author-X-Name-Last: Anyfantaki
Author-Workplace-Name: European Central Bank
Author-Name: Konstantins Benkovskis
Author-X-Name-First: Konstantins
Author-X-Name-Last: Benkovskis
Author-Workplace-Name: Latvijas Banka
Author-Name: Sebastian Bredl
Author-X-Name-First: Sebastian
Author-X-Name-Last: Bredl
Author-Workplace-Name: Deutsche Bundesbank
Author-Name: Massimo Giovannini
Author-X-Name-First: Massimo
Author-X-Name-Last: Giovannini
Author-Workplace-Name: Bank of Malta
Author-Name: Florian Matthias Horky
Author-X-Name-First: Florian
Author-X-Name-Last: Horky
Author-Workplace-Name: Narodna banka Slovenska
Author-Name: Vanessa Kunzmann
Author-X-Name-First: Vanessa
Author-X-Name-Last: Kunzmann
Author-Workplace-Name: Deutsche Bundesbank
Author-Name: Tibor Lalinsky
Author-X-Name-First: Tibor
Author-X-Name-Last: Lalinsky
Author-Workplace-Name: Narodna banka Slovenska
Author-Name: Athanasios Lampousis
Author-X-Name-First: Athanasios
Author-X-Name-Last: Lampousis
Author-Workplace-Name: Bank of Greece
Author-Name: Elizaveta Lukmanova
Author-X-Name-First: Elizaveta
Author-X-Name-Last: Lukmanova
Author-Workplace-Name: Central Bank of Ireland
Author-Name: Filippos Petroulakis
Author-X-Name-First: Filippos
Author-X-Name-Last: Petroulakis
Author-Workplace-Name: Bank of Greece
Author-Name: Klavs Zutis
Author-X-Name-First: Klavs
Author-X-Name-Last: Zutis
Author-Workplace-Name: Latvijas Banka
Title: Details Matter: Loan Pricing and Transmission of Monetary Policy in the Euro Area
Abstract: Does the maturity of the relevant risk-free rate influence the strength of monetary policy pass-through to interest rates on new loans? To address this question, we present novel empirical evidence on lending practices across all euro area countries, using AnaCredit data covering nearly seven million new loans issued to non-financial corporations in 2022-2023. We document substantial variation in (a) the prevalence of fixed- vs floating-rate loans, (b) rate fixation periods, and (c) reference rates. This variation results in lending rates being exposed to different segments of the risk-free rate yield curve which, in turn, influence their sensitivity to monetary policy changes. We show that loans linked to shorter-maturity risk-free rates experience more pronounced monetary pass-through. Importantly, this effect is not purely mechanical, as part of the effect is offset by adjustments in the premium, revealing previously less-explored heterogeneity in the pass-through to lending rates.
Creation-Date: 2025-07-25
File-URL: https://datnes.latvijasbanka.lv/papers/WP_4_2025.pdf
File-Format: Application/pdf
Number: 2025/04
Classification-JEL: E52, E43, G21, E58
Keywords: Lending Rates, Interest Rate Pass-Through, Fixed-Rate Loans, Floating-Rate Loans
Handle: RePEc:ltv:wpaper:202504