The hysteresis erosion of the discount rate control potential in CR conditions ? behavioral solution

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077131" target="_blank" >RIV/00216224:14560/14:00077131 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

čeština

Original language name

The hysteresis erosion of the discount rate control potential in CR conditions ? behavioral solution

Original language description

The paper of interdisciplinary nature is focused to the modeling of interest rate risk at the strategic level of the banking system of the Czech Republic, taking into account the relations between the central bank (discount rate) and commercial banks (market interest rates). The aim of this paper is to present and explain the loss mechanism of control potential of the discount rate as the manipulated variable (u(t)) in process of the market interest rate regulation. The cause of the discussed loss is hysteresis-type nonlinearity, which the Czech banking system has exhibited, while the commercial banks themselves act as linear subsystem (static characteristics). The novelty of the paper consist mainly in the fact, that primarily cybernetic problem (failure of feedback control system) is solved by using the methodology of the behavioral finance.

Czech name

The hysteresis erosion of the discount rate control potential in CR conditions ? behavioral solution

Czech description

The paper of interdisciplinary nature is focused to the modeling of interest rate risk at the strategic level of the banking system of the Czech Republic, taking into account the relations between the central bank (discount rate) and commercial banks (market interest rates). The aim of this paper is to present and explain the loss mechanism of control potential of the discount rate as the manipulated variable (u(t)) in process of the market interest rate regulation. The cause of the discussed loss is hysteresis-type nonlinearity, which the Czech banking system has exhibited, while the commercial banks themselves act as linear subsystem (static characteristics). The novelty of the paper consist mainly in the fact, that primarily cybernetic problem (failure of feedback control system) is solved by using the methodology of the behavioral finance.

Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Managing and Modelling of Financial Risks (Řízení a modelování finančních rizik)

ISBN

9788024836317

ISSN

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e-ISSN

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Number of pages

7

Pages from-to

329-335

Publisher name

VŠB - Technická universita Ostrava

Place of publication

Ostrava, ČR

Event location

Ostrava

Event date

Sep 8, 2014

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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