Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/bdi/opques/qef_170_13.html
   My bibliography  Save this paper

The impact of the sovereign debt crisis on bank lending rates in the euro area

Author

Listed:
  • Stefano Neri

    (Banca d'Italia)

Abstract
Since the early part of 2010 tensions in the sovereign debt markets of some euro-area countries have progressively distorted monetary and credit conditions, hindering the ECB monetary policy transmission mechanism and raising the cost of loans to non-financial corporations and households. This paper makes an empirical assessment of the impact of the tensions on bank lending rates in the main euro-area countries, concluding that they have had a significant impact on the cost of credit in the peripheral countries. A counterfactual exercise indicates that if the spreads had remained constant at the average levels recorded in April 2010, the interest rates on new loans to non-financial corporations and on residential mortgage loans to households in the peripheral countries would have been, on average, lower by 130 and 60 basis points, respectively, at the end of 2011. These results are robust to alternative measures of the cost of credit and econometric techniques.

Suggested Citation

  • Stefano Neri, 2013. "The impact of the sovereign debt crisis on bank lending rates in the euro area," Questioni di Economia e Finanza (Occasional Papers) 170, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_170_13
    as

    Download full text from publisher

    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2013-0170/QEF_170_ITA.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08101, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    3. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2018. "Unconventional Monetary Policy in Theory and in Practice," World Scientific Book Chapters, in: Douglas D Evanoff & George G Kaufman & A G Malliaris (ed.), Innovative Federal Reserve Policies During the Great Financial Crisis, chapter 1, pages 1-36, World Scientific Publishing Co. Pte. Ltd..
    4. Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, June.
    5. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    6. Favero, Carlo A & Giavazzi, Francesco & Spaventa, Luigi, 1997. "High Yields: The Spread on German Interest Rates," Economic Journal, Royal Economic Society, vol. 107(443), pages 956-985, July.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Marotta, Giuseppe, 2009. "Structural breaks in the lending interest rate pass-through and the euro," Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January.
    9. Albertazzi, Ugo & Ropele, Tiziano & Sene, Gabriele & Signoretti, Federico Maria, 2014. "The impact of the sovereign debt crisis on the activity of Italian banks," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 387-402.
    10. Ms. Edda Zoli, 2013. "Italian Sovereign Spreads: Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions," IMF Working Papers 2013/084, International Monetary Fund.
    11. Carlo Cottarelli & Angeliki Kourelis, 1994. "Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy," IMF Staff Papers, Palgrave Macmillan, vol. 41(4), pages 587-623, December.
    12. Ms. Angeliki Kourelis & Mr. Carlo Cottarelli, 1994. "Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy," IMF Working Papers 1994/039, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Albertazzi, Ugo & Ropele, Tiziano & Sene, Gabriele & Signoretti, Federico Maria, 2014. "The impact of the sovereign debt crisis on the activity of Italian banks," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 387-402.
    2. Aristei, David & Gallo, Manuela, 2014. "Interest rate pass-through in the Euro area during the financial crisis: A multivariate regime-switching approach," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 273-295.
    3. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08101, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    4. Illes, Anamaria & Lombardi, Marco J. & Mizen, Paul, 2019. "The divergence of bank lending rates from policy rates after the financial crisis: The role of bank funding costs," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 117-141.
    5. repec:hal:spmain:info:hdl:2441/7o52iohb7k6srk09mgkspa0q9 is not listed on IDEAS
    6. repec:spo:wpmain:info:hdl:2441/7o52iohb7k6srk09mgkspa0q9 is not listed on IDEAS
    7. Marotta, Giuseppe, 2009. "Structural breaks in the lending interest rate pass-through and the euro," Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January.
    8. Milind Sathye, 2013. "Financial Crisis and Interest Rate Pass-Through in Australia," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-22.
    9. Putkuri, Hanna, 2010. "Housing loan rate margins in Finland," Research Discussion Papers 10/2010, Bank of Finland.
    10. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 74-94.
    11. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Heterogeneity and monetary policy 0612, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    12. repec:dau:papers:123456789/15030 is not listed on IDEAS
    13. Andries, Natalia & Billon, Steve, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Economic Systems, Elsevier, vol. 40(1), pages 170-194.
    14. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    15. repec:zbw:bofrdp:2010_010 is not listed on IDEAS
    16. Stephen McKnight & Marco Robles Sánchez, 2014. "Is a monetary union feasible for Latin America? Evidence from real effective exchange rates and interest rate pass-through levels," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 29(2), pages 225-262.
    17. Bertrand Groslambert & Raphaël Chiappini & Olivier Bruno, 2015. "Bank Output Calculation in the Case of France: What Do New Methods Tell About the Financial Intermediation Services in the Aftermath of the Crisis?," GREDEG Working Papers 2015-32, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    18. Christophe Blot & Fabien Labondance, 2021. "Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound," Working Papers hal-04221606, HAL.
    19. Elena Giarda & Gloria Moroni, 2018. "The Degree of Poverty Persistence and the Role of Regional Disparities in Italy in Comparison with France, Spain and the UK," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 136(1), pages 163-202, February.
    20. Liu, Kerry, 2019. "The determinants of China's lending rates and interest rates pass-through: A cointegration analysis," Research in Economics, Elsevier, vol. 73(1), pages 66-71.
    21. Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014. "Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
    22. Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
    23. Elisabetta Gualandri & Mario Noera, 2014. "Towards A Macroprudential Policy In The Eu: Main Issues," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 14110, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    24. Hens, Thorsten & Jean-Jacques Herings, P. & Predtetchinskii, Arkadi, 2006. "Limits to arbitrage when market participation is restricted," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 556-564, August.

    More about this item

    Keywords

    sovereign debt crisis; bank lending rates; seemingly unrelated regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdi:opques:qef_170_13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdigvit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.