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This is a Quantitative Study study.

October 17, 2025

Lending rate sensitivity to monetary policy: a bank level empirical analysis

LBLuis BendezuPontifical Catholic University of Peru GRGabriel Rodrı́guezPontifical Catholic University of Peru

Key Points

Monetary policy significantly influences bank lending rates in Peru, with variations seen across loan types.
During major rate changes, the impact on lending rates is larger, indicating heightened sensitivity.
The Bai and Perron methodology uncovers structural changes in the relationship between policy rates and lending rates.
The analysis covers the period from September 2010 to August 2022, an important timeframe for understanding these dynamics.

Abstract

Purpose This paper evaluates how the monetary policy rate influences bank lending rates in Peru, focusing on various loan types from September 2010 to August 2022. Design/methodology/approach We utilize the Bai and Perron (1998, 2003) methodology to account for structural changes in the pass-through effect of monetary policy on lending rates. Findings Findings indicate a heterogeneous impact of monetary policy on lending rates, with larger effects during significant rate changes and heightened sensitivity post-2019 due to COVID-19. Originality/value This study is the first to investigate the effects of monetary policy on interest rates using segment and bank level data in Peru.

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