How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F10%3A%230000447" target="_blank" >RIV/47813059:19520/10:#0000447 - isvavai.cz</a>
Alternative codes found
RIV/47813059:19520/10:#0000553
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries
Original language description
This paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F0067" target="_blank" >GA402/08/0067: Financial Integration of the EU New Member States with Eurozone</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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