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Analýza citlivosti referenčních úrokových sazeb PRIBOR na změny repo sazby České národní banky
[An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate]

Author

Listed:
  • Jaroslav Brada
  • Karel Brůna

Abstract

Since 1980's many central banks have been changing their monetary strategy to explicit inflation targeting. This new monetary concept is based on management of short-term interest rates in the context of relation between inflation prediction and central bank inflation target. Therefore we try to analyze the crucial problems of efficiency of the inflation targeting strategy - the causality and sensitivity between interest rates on Prague interbank market (PRIBOR) and Czech National Bank repo rate. For this purpose we use the framework of expectation theory with the term premium and simple deterministic regression models. We found out that as repo rate was sticky it led to higher volatility of PRIBOR before repo rate change and when the maturity of PRIBOR was increasing the sensitivity of PRIBOR to repo rate changes was strongly decreasing. In our opinion it's the result of at least partial adjustment of PRIBOR before repo rate changes.

Suggested Citation

  • Jaroslav Brada & Karel Brůna, 2004. "Analýza citlivosti referenčních úrokových sazeb PRIBOR na změny repo sazby České národní banky [An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate]," Politická ekonomie, Prague University of Economics and Business, vol. 2004(5), pages 601-621.
    • Handle: RePEc:prg:jnlpol:v:2004:y:2004:i:5:id:478:p:601-622
    DOI: 10.18267/j.polek.478
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    References listed on IDEAS

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    Cited by:

    1. Josef Arlt & Martin Mandel, 2014. "The Reaction Function of Three Central Banks of Visegrad Group," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(3), pages 269-289.
    2. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    3. 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.

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    More about this item

    Keywords

    monetary policy; transmission mechanism; repo rate; PRIBOR interest rate; expectation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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