欧洲央行-细节问题：欧元区贷款定价和货币政策传导（英）

Working Paper Series Details matter: loan pricing and transmission of monetary policy in the euro area Kārlis Vilerts, Sofia Anyfantaki, Konstantīns Beņkovskis, Sebastian Bredl, Massimo Giovannini, Florian Matthias Horky, Vanessa Kunzmann, Tibor Lalinský, Athanasios Lampousis, Elizaveta Lukmanova, Filippos Petroulakis, Klāvs Zutis Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3078 Challenges for Monetary Policy Transmission in a Changing World Network (ChaMP) This paper contains research conducted within the network “Challenges for Monetary Policy Transmission in a Changing World Network” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of the European System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), Margherita Bottero (Banca d’Italia), Emmanuel Dhyne (Nationale Bank van België/Banque Nationale de Belgique) and Maria T. Valderrama (Oesterreichische Nationalbank), who are supported by Melina Papoutsi and Gonzalo Paz-Pardo (both ECB), 7 central bank advisers and 8 academic consultants. ChaMP seeks to revisit our knowledge of monetary transmission channels in the euro area in the context of unprecedented shocks, multiple ongoing structural changes and the extension of the monetary policy toolkit over the last decade and a half as well as the recent steep inflation wave and its reversal. More information is provided on its website. ECB Working Paper Series No 30781AbstractDoes the maturity of the relevant risk-free rate influence the strength of monetary policypass-through to interest rates on new loans? To address this question, we present novelempirical evidence on lending practices across all euro area countries, using AnaCredit datacovering nearly seven million new loans issued to non-financial corporations in 2022–2023.We document substantial variation in (a) the prevalence of fixed- vs floating-rate loans, (b)rate fixation periods, and (c) reference rates. This variation results in lending rates beingexposed to different segments of the risk-free rate yield curve which, in turn, influence theirsensitivity to monetary policy changes. We show that loans linked to shorter-maturity risk-free rates experience more pronounced monetary pass-through. Importantly, this effect isnot purely mechanical, as part of the effect is offset by adjustments in the premium, revealingpreviously less-explored heterogeneity in the pass-through to lending rates.Keywords: Lending Rates, Interest Rate Pass-Through, Fixed-Rate Loans, Floating-RateLoansJEL Codes: E52, E43, G21, E58ECB Working Paper Series No 30782Non-technical summaryThis study leverages unique loan-level information from the euro area’s credit dataset (Ana-Credit), encompassing nearly