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The interest rate spreads in the Czech Republic: Different loans, different determinants?

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  • Hainz, Christa
  • Horváth, Roman
  • Hlaváček, Michal

Abstract

We analyze the determinants of interest rate spreads of different loan categories in the Czech Republic during 2004–2011. We employ a detailed bank supervisory dataset that allows us to construct the actual spreads for four loan categories, namely small and large corporate loans, consumer loans and mortgages, on a monthly basis. Our regression analysis shows that bank and macroeconomic characteristics matter more for setting the spreads for small corporate loans and mortgages rather than for large corporate loans and consumer loans. Interest rate risk determines the spreads for all loan categories. The global financial crisis has, to a certain extent, increased the responsiveness of spreads to interest rate risk and liquidity risk.

Suggested Citation

  • Hainz, Christa & Horváth, Roman & Hlaváček, Michal, 2014. "The interest rate spreads in the Czech Republic: Different loans, different determinants?," Economic Systems, Elsevier, vol. 38(1), pages 43-54.
    • Handle: RePEc:eee:ecosys:v:38:y:2014:i:1:p:43-54
    DOI: 10.1016/j.ecosys.2013.10.002
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    More about this item

    Keywords

    Interest rate spreads; Banks; Financial crisis; Czech Republic;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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