Working Papers

Working Paper 149
Expected Monetary Policy and the Dynamics of Bank Lending Rates

Claudia Kwapil and Johann Scharler

January 30, 2009

 

The opinions are strictly those of the authors and in no way commit the OeNB.


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In this paper the authors explore empirically to what extent expected monetary policy matters for the dynamics of bank lending rates in the U.S., the U.K. and Germany. The authors find that banks have increasingly behaved in a forward-looking fashion by taking expected changes in monetary policy rates into account when setting lending rates. They document that along with the shifts in monetary policy regimes towards inflation targeting, expected monetary policy has become more important as a determinant of bank lending rates. Overall, their results provide support for the hypothesis that monetary policy has become more effective by successfully influencing private sector expectations.



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