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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/47813059:19520/10:#0000553

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F0067" target="_blank" >GA402/08/0067: Finanční integrace nových členských zemí EU s eurozónou</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název periodika

European Financial and Accounting Journal

ISSN

1802-2197

e-ISSN

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Svazek periodika

5

Číslo periodika v rámci svazku

3-4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

15

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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