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The Czech Crown Money Market as the Source for Pricing Customer Cash Products

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  • Dušan Staniek

Abstract

The paper examines the Czech crown money market in terms of products and volumes traded. The interest rate time series for the last 10 years are surveyed, and a parsimonious model is used to investigate to what extent the marketplace serves as the starting point for pricing customer cash products. Although satisfactory long-term relationships are observed, market disruptions are breaking up the assumed coherence. Special attention has to be paid to the decoupling of official fixing rates (PRIBOR) and real market rates in the current low interest rate environment.

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  • Dušan Staniek, 2016. "The Czech Crown Money Market as the Source for Pricing Customer Cash Products," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(3), pages 139-154.
    • Handle: RePEc:prg:jnlefa:v:2016:y:2016:i:3:id:168:p:139-154
    DOI: 10.18267/j.efaj.168
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    Cited by:

    1. Dušan Staniek, . "Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 0.

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    More about this item

    Keywords

    Interest rate pass-through; Money market; PRIBOR;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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