细节问题：欧元区贷款定价和货币政策传导

Details matter: loan pricing andtransmission of monetary policy inthe 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:Thispaper should not be reported as representing the views of the European Central Bank(ECB). The views expressed arethose of the authors and do not necessarily reflect those of the ECB. 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 aChanging WorldNetwork” (ChaMP). It consists of economists from the European Central Bank (ECB) and the national central banks (NCBs) of theEuropean System of Central Banks (ESCB). ChaMP is coordinated by a team chaired by Philipp Hartmann (ECB), and consisting of Diana Bonfim (Banco de Portugal), MargheritaBottero (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 advisersand 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 wellasthe recentsteep inflation wave and its reversal. More information is provided on itswebsite. Abstract Does 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, E58 Non-technical summary This study leverages unique loan-level information from the euro area’s credit dataset (Ana-Credit), encompassing nearly seven million newly issued loans to non-financial corporations(NFCs) in 2022–2023, to examine the lending practices across all euro area countries and inves-tigate how these can shape the transmission of monetary policy. The mere classification of loans into fixed- or floating-rate fails to fully capture their distinctsensitivity to monetary policy changes. This study shows that even within these two broad loancategories, other characteristics play a significant role in the transmission of monetary policy.First, the maturity of the reference rate for floating-rate loans can vary substantially.Loanswith shorter reference rate maturities are more exposed to changes in monetary policy, as theirinterest rates quickly reflect shifts in short-term rates. Similarly, for fixed-rate loans, the degreeof sensitivity depends on loan maturity. Newly issued fixed-rate loans with shorter maturities arepriced based on shorter-term reference rates, which tend to closely track changes in policy rates.By contrast, longer-maturity fixed-rate loans are less responsive, as the underlying reference ratereacts more moderately to monetary policy shifts. The fact-finding exercise of the study provides empirical evidence about previously less-explored variation in lending practices across euro area. Specifically, it documents the prevalenceof fixed- and floating-rate loans, the differences in duration of rate fixation periods as well asreference rates used in loan pricing. Building on this novel empirical evidence the study movesbeyond the binary classification of fixed- vs floating-rate loans and proposes a nuanced measureof loan sensitivity to short-term rate changes. The main advantage of the approach is that itaccounts for the maturity of the risk-free rate that is relevant for each loan. For fixed-rate loans,this corresponds to loan maturity at origination, while for floating-rate loans, to maturity ofthe underlying reference rate.Thus, the study identifies the specific segment of the risk-freerate yield curve that influences loan’s interest rate. A key insight of the paper is a decomposition of the