L'andamento del tasso interbancario e dei margini dell'attività di impiego e di raccolta delle banche

The paper examines the response of the average rate on short term lending and on deposits to the three-month interbank rate shocks in Italy in the period 1988 - 2004. The way in which a change of the monetary interest rate is transmitted to bank rates is important for its consequences on profit margins. Author’s major findings: a) there is a high correlation between the bank interest rates and the three-month interbank rate; b) banks adjust very differently their loan and deposit prices in the short run, because of a higher degree of stickiness in deposits interest rates ; consequently , in a period of monetary easing ( or tightening) , the profit margin diminishes (increases); c) in the long run the mark-up on short term lending doesn’t seem to change; on the other hand the mark-down on deposits declined from 3,89 p.p. to 1,28 p.p.