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Explaining the Czech Interbank Market Risk Premium

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  • Adam Gersl
  • Jitka Lesanovska

Abstract

This paper focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk.

Suggested Citation

  • Adam Gersl & Jitka Lesanovska, 2013. "Explaining the Czech Interbank Market Risk Premium," Working Papers 2013/01, Czech National Bank.
  • Handle: RePEc:cnb:wpaper:2013/01
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    References listed on IDEAS

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    Cited by:

    1. Geršl, Adam & Lešanovská, Jitka, 2014. "Explaining the Czech interbank market risk premium," Economic Systems, Elsevier, vol. 38(4), pages 536-551.
    2. Anna Sznajderska, 2016. "Wpływ sposobu zarządzania płynnością, premii za ryzyko i oczekiwań na stopy rynku międzybankowego w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(1), pages 61-90.

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    More about this item

    Keywords

    counterparty risk; interbank market; liquidity risk; risk premium.;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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