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How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries

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  • Tomáš HERYÁN
  • Daniel STAVÁREK

Abstract

This paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal European Financial and Accounting Journal.

Volume (Year): 2010 (2010)
Issue (Month): 3 ()
Pages: 42-55

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Handle: RePEc:prg:jnlefa:v:2010:y:2010:i:3:id:54:p:42-55

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Related research

Keywords: Cointegration; Granger Causality; Interbank Interest Rates; Lending Interest Rates; European Union;

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References

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  1. Kasman, Adnan & Tunc, Gokce & Vardar, Gulin & Okan, Berna, 2010. "Consolidation and commercial bank net interest margins: Evidence from the old and new European Union members and candidate countries," Economic Modelling, Elsevier, vol. 27(3), pages 648-655, May.
  2. Lucjan T. Orlowski, 2008. "Monetary Policy Rules for Convergence to the Euro," CASE Network Studies and Analyses 0358, CASE-Center for Social and Economic Research.
  3. Gerlach-Kristen, Petra & Rudolf, Barbara, 2010. "Financial shocks and the maturity of the monetary policy rate," Economics Letters, Elsevier, vol. 107(3), pages 333-337, June.
  4. Arghyrou, Michael G. & Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Do real interest rates converge? Evidence from the European union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 447-460, July.
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