El efecto traspaso de la tasa de interés de política monetaria en Perú: Evidencia reciente

This study estimates the effect of changes in the monetary policy interest rate on lending and deposit rates in the Peruvian banking sector, as well as the speed at which this effect is transmitted. To this end, linear and nonlinear error-correction models are estimated, assuming the existence of a long-run relationship between each bank interest rate and the monetary policy rate. The analysis covers lending rates for corporate loans, large and medium-sized enterprises, and deposit rates for time deposits, savings accounts, and checking accounts. The results for the period from August 2010 to May 2017 show that the pass-through effect: (i) is greater for lending rates than for deposit rates; (ii) is greater when loan maturities are less than one year; and (iii) is close to 1 when maturities are less than one year. Regarding the speed of transmission: (i) short-term lending rates adjust more quickly than long-term rates; and (ii) lending rates adjust more quickly than deposit rates.