Impact of Bank Al-Maghrib's conventional instruments on the lending rate: an empirical VAR study

Abstract

This article assesses the effect of the Moroccan Central Bank’s conventional policy instruments, the policy rate and the reserve requirement ratio, on the observed lending rate, using a VAR model applied to quarterly data from Q1 2018 to Q4 2025, thereby filling a gap in the national literature, which has not previously examined these two instruments jointly within a common VAR framework. The results indicate a significant but incomplete pass-through of the policy rate to lending rates, with a pass-through coefficient of 0.655 (t=6.38; p=0.01), with the peak not being reached until the third quarter. Reserve requirements have a positive but delayed effect, with no impact until the fifth or sixth quarter. The analysis reveals a structural gap between the policy rate and lending rates, as well as an asymmetry in transmission: increases are passed on more quickly than decreases, reflecting a strategy of maximizing banking intermediation margins. These results, obtained from a small sample of 32 quarters using a standard VAR framework, remain dependent on the model’s underlying assumptions and reflect statistical regularities rather than structural causal mechanisms, which limits the generalizability of the conclusions. The implications support strengthening banking competition and developing capital markets.

Classification JEL : E23, E31, D2, D24

Paper type: Empirical Research