Provided by Research Papers in Economics
A simple enquiry on heterogeneous lending rates and lending
behaviour
Marco Mazzoli*
Department of Economics
University of Modena and Reggio Emilia
Via Berengario 51 - 27100 Modena - Italy
Phone: (+) 39 059 2056833
Fax: (+) 39 059 2056947
e-mail: [email protected]
May 30, 2001
Abstract
This paper contain an empirical analysis on the most relevant determinants of heterogeneity in
Italian banks’ lending rate and lending behaviour, performed with descriptive statistics and dynamic panel
data analysis on the basis of a “mesoeconomic” data set specifically acquired from the Bank of Italy,
which contains the data on interest rates, bad debts and credit flows granted by different size categories of
banks under the form of different size categories of loans in different geographic areas of the country, for
the period 1990 QI -1998 QIV. The purpose of the econometric analyses is twofold: First, investigating
the possible disturbances affecting the link between policy rate and interest rates on bank credit; second
verify whether the behaviour of the largest bank loans is demand-determined. The results show that the
spread between interest rate on the various classes of bank loans and the monetary policy rate is not
influenced by the loan size, while it seems to be more affected by proxies for risk and competitive
configuration of the banking sector. Furthermore, the behaviour of the largest size class of bank loans
does show a pattern consistent with a “demand determined” behaviour.
Keywords: credit; monetary policy.
JEL Classification: E51, E52.
9906 words
* I am very grateful to Giuseppe Marotta, Giovanni Ferri and Giancarlo Bertocco for their helpful
comments and suggestions at different stages of this research. All mistakes are mine. Financial support
from the Italian Ministry for University and Scientific Research (MURST) is gratefully acknowledged.