Transmission of Interest Rates: the Case of the Czech Republic

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10240821" target="_blank" >RIV/61989100:27510/18:10240821 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.slu.cz/opf/cz/struktura/katedry/katedra-ekonomie-a-verejne-spravy/konference-kek-2018/Proceedings_Economic_Policy_in_EU_2018.pdf/" target="_blank" >https://www.slu.cz/opf/cz/struktura/katedry/katedra-ekonomie-a-verejne-spravy/konference-kek-2018/Proceedings_Economic_Policy_in_EU_2018.pdf/</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Transmission of Interest Rates: the Case of the Czech Republic

Popis výsledku v původním jazyce

The paper examines the interest rate pass-through in the Czech Republic. Specifically, I focus on the pass-through from the main monetary policy rate to consumer, mortgage, SME and corporate lending rates in period from January 2004 to September 2016. The empirical literature suggests that the pass-through varies across countries and across type of loans. After the global financial crisis, however, researchers mostly confirm a lesser pass-through. The goal of this paper is to find out whether spill-over effects of the global financial crisis have somehow influenced the interest rate pass-through in the Czech Republic. In addition, I test the role of credit risk and government bond yields in the setting of lending rates. To do so, I employ the Autoregressive Distributed Lag (ARDL) modelling approach. The baseline results suggest that the interest rate pass-through is complete for all lending rates. Those results, however, neglect the effect of the global financial crisis. In order to address this concern, I create a shift crisis dummy variable. The results of the model with the crisis dummy variable show that after the crisis, the efficiency of the pass-through significantly dropped for mortgage and SME lending rates but not for corporate lending rates, for which the pass-through remained complete.

Název v anglickém jazyce

Transmission of Interest Rates: the Case of the Czech Republic

Popis výsledku anglicky

The paper examines the interest rate pass-through in the Czech Republic. Specifically, I focus on the pass-through from the main monetary policy rate to consumer, mortgage, SME and corporate lending rates in period from January 2004 to September 2016. The empirical literature suggests that the pass-through varies across countries and across type of loans. After the global financial crisis, however, researchers mostly confirm a lesser pass-through. The goal of this paper is to find out whether spill-over effects of the global financial crisis have somehow influenced the interest rate pass-through in the Czech Republic. In addition, I test the role of credit risk and government bond yields in the setting of lending rates. To do so, I employ the Autoregressive Distributed Lag (ARDL) modelling approach. The baseline results suggest that the interest rate pass-through is complete for all lending rates. Those results, however, neglect the effect of the global financial crisis. In order to address this concern, I create a shift crisis dummy variable. The results of the model with the crisis dummy variable show that after the crisis, the efficiency of the pass-through significantly dropped for mortgage and SME lending rates but not for corporate lending rates, for which the pass-through remained complete.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

Economic policy in the european union member countries : proceedings of 16th international scientific conference : September 12-14, 2018, Čeladná, Czech Republic

ISBN

978-80-7510-289-8

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

11

Strana od-do

96-106

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Čeladná

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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