Lending rate sensitivity to monetary policy: a bank level empirical analysis
Keywords:
Interest rates, Pass-through, Structural change, Peruvian economyAbstract
Purpose: This paper evaluates how the monetary policy rate influences bank lending rates in Peru, focusing on various loan types from September 2010 to August 2022.
Design/methodology/approach: We utilize the Bai and Perron (1998, 2003) methodology to account for structural changes in the pass-through effect of monetary policy on lending rates.
Findings: Findings indicate a heterogeneous impact of monetary policy on lending rates, with larger effects during significant rate changes and heightened sensitivity post-2019 due to COVID-19.
Originality/value: This study is the first to investigate the effects of monetary policy on interest rates using segment and bank level data in Peru.
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