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Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky
[The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy]

Author

Listed:
  • Karel Brůna

Abstract

The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate risk during the disinflation monetary policy in the Czech Republic in 1999-2006. In theoretical part, main determinants of short-run and long-run equilibrium of client interest rates are discussed (market power, duration of credits and deposits, pricing mechanism, credit risk, operation efficiency). Using the error correction model, sensitivity of credit and deposit interest rates on market interest rates is tested. It is found out that in the short equilibrium client interest rates changes follow dynamics of CNB repo rate, the sensitivity of credit and deposit interest rates differs and banks face up the pressure on interest margin. The cointegration analysis confirms change of equilibrium interest rate margin in the long-run and supports hypothesis of consistency between Czech National Bank monetary policy and its expected outcomes by banks.

Suggested Citation

  • Karel Brůna, 2007. "Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky [The interest rate transmission mechanism and the management of interest margin in the," Politická ekonomie, Prague University of Economics and Business, vol. 2007(6), pages 829-851.
    • Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:626:p:829-851
    DOI: 10.18267/j.polek.626
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    References listed on IDEAS

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    More about this item

    Keywords

    monetary policy; bank; disinflation; interest rates; client interest rates;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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