Transmission of Interest Rates: EU Leader Versus his Czech Neighbour

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10239039" target="_blank" >RIV/61989100:27510/18:10239039 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/icei/.content/galerie-dokumentu/ICEI-2018_Proceedings.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/icei/.content/galerie-dokumentu/ICEI-2018_Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Transmission of Interest Rates: EU Leader Versus his Czech Neighbour
Original language description
Interest rate transmission reflects the efficiency of monetary policy. The adequate reaction of commercial banks to changes in the main monetary policy rate is highly important for central bankers. The paper focuses on the interest rate transmission in the Czech Republic and Germany during the period from January 2004 to November 2017. As an analytic tool, I use ARDL and NARDL modelling approach. The results show that in the Czech Republic, the interest rate pass-through is mostly complete for mortgage, SME and corporate lending rates. In Germany, however, I could not confirm any significant long run relationship between the monetary policy rate and commercial bank lending rates. The exception is the interest rate for consumer loans for which I found a weak long-run pass-through. Testing the asymmetry of interest rate pass-through, the results reveal that banks in the Czech Republic react stronger to contractionary monetary policy than expansionary, especially so in case of the mortgage loans' segment.
Czech name
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Czech description
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Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 4th International Conference on European Integration 2018 : ICEI 2018 : May 17-18, 2018, Ostrava, Czech Republic. 1st part
ISBN
978-80-248-4169-4
ISSN
2571-029X
e-ISSN
neuvedeno
Number of pages
11
Pages from-to
338-348
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 17, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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