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Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 22 [Issue:] 1 [Year:] 2022 [Pages:] 27-47
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
This paper investigates the degree of dispersion in the loan pricing of commercial banks and its association with competitive conditions in the banking industry of a large emerging economy. To quantify the lending rate variability in consumer loans, we utilize a new indexation mechanism exploiting a detailed bank-level dataset for the period January 2007-April 2020. With panel convergence methods, we show the existence of heterogeneity in long-term co-movements among banks' loan pricing, while periods following the tightening in financial conditions display short-term deviations from general tendencies as demonstrated by dispersion indices. Our empirical design also entails the construction of competition indicators for aggregated and consumer segment-based credit market developments. Quantile regression results validate that the improvements in industry competition are related to the lower level of lending rate dispersion in housing and vehicle segments in a statistically significant manner, whereas an opposite relationship is evident for general-purpose loans.
Schlagwörter: 
Loan rate dispersion
Competition
Log-t convergence test
Quantile regression
JEL: 
C31
C33
G21
D40
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