Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210016 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Working Paper No. 2012/17
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding costs affect retail loan rates and ii) how retail rate differences between banks affect market shares. The data set consist of quarterly data for 2002Q1-2011Q3 and include information on loan volumes and retail (interest) rates for loans to firms and households. The cost of market funding is represented in our analysis by the three-month money market rate and a proxy for market risk { the credit spread on unsecured senior bonds issued by Norwegian banks. Our estimates clearly suggest incomplete pass-through: a 10 basis points increase in the market rate leads to an approximately 8 basis points increase in retail loan rates. We also find that credit demand from households is more elastic with regard to the loan rate than demand from businesses.
Schlagwörter: 
monopolistic competition
credit spread
pass-through
funding costs
bank micro data
dynamic factor model
JEL: 
C33
E27
E43
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-705-6
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
595.96 kB





Publikationen in EconStor sind urheberrechtlich geschützt.