Czech Financial Market Efficiency in Light of Recent Interest Rate Cuts
AbstractThis article investigates the efficiency of the Czech financial market in view of the market?s reaction to a recent series of interest rate cuts implemented by the Czech central bank. An efficient market would, at least partially, anticipate interest rate cuts and rapidly adjust. While the domestic stock and foreign exchange markets generally do not react on the Czech National Bank?s interest rate changes, changes to the central bank?s key repo rate do affect Czech interest rates. In line with model expectations, the response of the shorter rates is relatively stronger. The reaction of Czech interest rates, however, appear to be grossly inefficient. Rate movements in anticipation of official rate changes are virtually absent. Moreover, adjustments to rate changes take several days?even in the case of shorter rates, which are influenced more directly by the central bank?s repurchase rate it takes up to five working days to fully adjust to a rate change.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 50 (2000)
Issue (Month): 5 (May)
market efficiency; interest rates;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Richard Podpiera, 2000.
"Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases,"
CERGE-EI Working Papers
wp156, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- Richard Podpiera, 2001. "Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases," Finance 0012005, EconWPA.
- David Navrátil & Viktor Kotlán, 2005.
"The CNB’s Policy Decisions – Are They Priced in by the Markets?,"
- David Navratil & Viktor Kotlan, 2005. "The CNB's Policy Decisions - Are They Priced in by the Markets?," Research and Policy Notes 2005/01, Czech National Bank, Research Department.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.