As economists tip the Reserve Bank to cut the OCR below its record low of 1% later this year, ANZ warns it might not be all good news for borrowers.
The major lender's economists, including Sharon Zollner, say a deterioration in global financial markets could raise the cost of wholesale funding and force rates to rise in New Zealand.
ANZ warns the Reserve Bank would have limited scope to "offset the impact on retail interest rates", with rates at such low levels.
ANZ says the record low OCR "actually hobbles the most effective channel of monetary policy to some extent".
It adds: "It is likely that were global risk aversion and risk premiums to rise markedly, New Zealand bank funding costs would rise. And in theory, given how low the OCR is now, depending on the size of the move, we could even get to the point where the RBNZ does not have sufficient conventional ammunition to prevent retail interest rates rising."
Like most in the banking sector, ANZ expects the Reserve Bank's new capital proposals will lead to increased mortgage rates.
The bank believes lending rates could be "45-75bp higher in the transition period and anything from 20-120bp higher in the long run".
The bank's economists add: "Either of those could be tricky to fully offset with the OCR, given we are forecasting it to get so low with only a -25bp placeholder in there for the impact of the capital changes for now."