Monetary Conditions and Banks' Behaviour in the Czech Republic
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 banksâ€™ 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.
|Date of creation:||Jan 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 00420 2 2442 1111
Fax: 00420 2 2421 8522
Web page: http://www.cnb.cz/en/research/research_intro/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:dgr:kubcen:200931s is not listed on IDEAS
- Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
- Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010.
"Does monetary policy affect bank risk-taking?,"
BIS Working Papers
298, Bank for International Settlements.
- Alex Stomper, 2006. "A Theory of Banks' Industry Expertise, Market Power, and Credit Risk," Management Science, INFORMS, vol. 52(10), pages 1618-1633, October.
- Keith Finlay & Leandro M. Magnusson, 2009.
"Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models,"
0901, Tulane University, Department of Economics.
- Keith Finlay & Leandro M. Magnusson, 2009. "Implementing weak-instrument robust tests for a general class of instrumental-variables models," Stata Journal, StataCorp LP, vol. 9(3), pages 398-421, September.
- Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank, Research Department.
- Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
When requesting a correction, please mention this item's handle: RePEc:cnb:wpaper:2012/02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jan Babecky)
If references are entirely missing, you can add them using this form.