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Monetary Conditions and Banks' Behaviour in the Czech Republic

  • Adam Gersl
  • Petr Jakubik
  • Dorota Kowalczyk
  • Steven Ongena
  • Jose-Luis Peydro Alcalde

This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At the same time, a lower interest rate during the life of a loan reduces its riskiness. While seeking to assess the association between banks’ appetite for risk and the short-term interest rate we answer a set of questions related to the difference between higher liquidity versus credit risk and the effect of the policy rate conditioned on bank and borrower characteristics.

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File URL: http://www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2012_02.pdf
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Paper provided by Czech National Bank, Research Department in its series Working Papers with number 2012/02.

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Date of creation: Jan 2012
Handle: RePEc:cnb:wpaper:2012/02
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