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Retail Credit Premiums and Macroeconomic Developments

In: CNB Financial Stability Report 2010/2011

Author

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  • Jan Bruha

Abstract

This article sets out to contribute to the understanding of the dynamics of retail credit premiums (i.e. the difference between reference interest rates and rates on retail loans with comparable maturities) in the Czech economy. The text documents the history of the credit premium. A model that investigates the relationship between this premium and the business cycle is then proposed, and it is shown that the current premium level can be explained to a large extent by the cyclical position of the economy. This model can be used not only as a tool for explaining the observed premium, but also to forecast the future premium, as it is linked to the variables used in the CNB’s core forecasting model.

Suggested Citation

  • Jan Bruha, 2011. "Retail Credit Premiums and Macroeconomic Developments," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 133-140, Czech National Bank.
    • Handle: RePEc:cnb:ocpubc:fsr1011/4
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    File URL: https://www.cnb.cz/en/financial-stability/thematic-articles-on-financial-stability/
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    References listed on IDEAS

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    1. Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006. "What does the yield curve tell us about GDP growth?," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
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    10. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010. "The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies," Working Papers 025, COMISEF.
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    Cited by:

    1. Dominika Ehrenbergerová & Martin Hodula & Zuzana Gric, 2022. "Does capital-based regulation affect bank pricing policy?," Journal of Regulatory Economics, Springer, vol. 61(2), pages 135-167, April.
    2. Vaclav Broz & Michal Hlavacek, 2018. "What Drives the Distributional Dynamics of Client Interest Rates on Consumer Loans in the Czech Republic? A Bank-level Analysis," Working Papers 2018/6, Czech National Bank.

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