Explaining the Czech Interbank Market Risk Premium
AbstractThis paper focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk.
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Bibliographic InfoPaper provided by Czech National Bank, Research Department in its series Working Papers with number 2013/01.
Date of creation: Jul 2013
Date of revision:
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More information through EDIRC
counterparty risk; interbank market; liquidity risk; risk premium.;
Find related papers by JEL classification:
- G19 - Financial Economics - - General Financial Markets - - - Other
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
- NEP-FMK-2013-10-18 (Financial Markets)
- NEP-TRA-2013-10-18 (Transition Economics)
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