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The link between interest rates on interbank money and for credit lines: are asymmetric interest rate adjustments empirically evident?

机译：银行间货币和信贷额度利率之间的联系：是否存在经验明显的不对称利率调整？

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摘要

The paper investigates the behaviour of banks with regard to the pricing of commercial short term loans over the period from 1975 until 1997. Due to the inclusion of interest rate quotes by banks located in east Germany in 1991 we distinguished between the subperiods from 1975 u2013 1989 and 1991 u2013 1997. In the context of the price setting for credit lines we focus on the commonly held belief of asymmetric interest rate adjustments. In order to raise the markup on credit lines banks adjust rates on credit lines slower when refinance rates are decreasing. Estimating error correction models a longterm relation between the rate for interbank money and for credit lines is established. In order to test for asymmetric interest rate adjustments non-symmetric error correction models as well as error correction models with asymmetric short-term dynamics are estimated. The hypothesis of asymmetric interest rate adjustments is confirmed largely by the estimation results of the latter specification while in the former specification no asymmetry is found.
机译：本文调查了1975年至1997年期间银行在商业短期贷款定价方面的行为。由于将1991年位于德国东部的银行的利率报价包括在内，我们区分了1975年 u2013年的子周期1989年和1991年 u2013 1997年。在信贷额度价格设定的背景下，我们重点关注利率调整不对称的普遍看法。为了提高信贷额度的加价幅度，当再融资利率降低时，银行会降低信贷额度的利率。估计误差校正模型可建立银行同业拆借利率与信贷额度之间的长期关系。为了测试非对称利率调整，估计了非对称误差校正模型以及具有非对称短期动态的误差校正模型。不对称利率调整的假设在很大程度上由后一种规范的估计结果证实，而在前一种规范中则没有发现不对称性。

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    Kornduf6rfer Petra;

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  • 年度 1997
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  • 正文语种 eng
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