Transmission of Interest Rates: EU Leader Versus his Czech Neighbour
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Transmission of Interest Rates: EU Leader Versus his Czech Neighbour
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Transmission of Interest Rates: EU Leader Versus his Czech Neighbour
Popis výsledku anglicky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
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OECD FORD obor
50202 - Applied Economics, Econometrics
Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
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
Počet stran výsledku
11
Strana od-do
338-348
Název nakladatele
VŠB - Technical University of Ostrava
Místo vydání
Ostrava
Místo konání akce
Ostrava
Datum konání akce
17. 5. 2018
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
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