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Měnová politika a predikce variability úrokových sazeb na peněžním trhu
[Monetary policy and prediction of variability]


  • Karel Brůna


This study presents an analysis of the sources of variability of interest rates in the money market in the context of Czech National Bank's (CNB) monetary policy. The factors in question are changes in the structural characteristics of economies in transition, changing perception of inflation risks, the inconsistency of central bank's monetary decisions and central bank's weakened credibility and uncertainty about the efficient transmission of monetary measures. The empirical analysis documents non-stationary variability of ultra short-term PRIBOR interest rates and stability of longer maturity PRIBOR interest rates. These results reflect the role of CNB in bank system liquidity management, the uncertainty about the timing of CNB's monetary policy at the changing speed of the appreciation of the crown, tendencies of overestimation of expected inflation and changing structural characteristics.

Suggested Citation

  • Karel Brůna, 2009. "Měnová politika a predikce variability úrokových sazeb na peněžním trhu
    [Monetary policy and prediction of variability]
    ," Politická ekonomie, University of Economics, Prague, vol. 2009(3), pages 361-382.
  • Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:689:p:361-382

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    More about this item


    monetary policy; GARCH; interest rates; variability;

    JEL classification:

    • 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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