An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate
Bibliographic Data
| ID | 6109648 |
|---|---|
| Authors | Jaroslav Brada (Zdravstveni dom dr. Adolfa Drolca Maribor), Karel Brůna (0000-0003-3690-1364, Zdravstveni dom dr. Adolfa Drolca Maribor) |
| Year | 2004 |
| Volume | 52 |
| Issue | 5 |
| Pages | 601-621 |
| Publication date | 2004-10-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Politická ekonomie (JOURNAL) |
| Journal identifiers | ISSN: 0032-3233 • E-ISSN: 2336-8225 |
| Publisher | Prague University of Economics and Business (PUBLISHER • CZ) |
| DOI | 10.18267/j.polek.478 |
| OpenAlex | W2313143792 |
| Language | EN |
| Citations received | 7 |
| References cited | 12 |
Since 1980's many central banks have been changing their monetary strategy to explicit inflation targeting. This new monetary concept is based on management of short-term interest rates in the context of relation between inflation prediction and central bank inflation target. Therefore we try to analyze the crucial problems of efficiency of the inflation targeting strategy - the causality and sensitivity between interest rates on Prague interbank market (PRIBOR) and Czech National Bank repo rate. For this purpose we use the framework of expectation theory with the term premium and simple deterministic regression models. We found out that as repo rate was sticky it led to higher volatility of PRIBOR before repo rate change and when the maturity of PRIBOR was increasing the sensitivity of PRIBOR to repo rate changes was strongly decreasing. In our opinion it's the result of at least partial adjustment of PRIBOR before repo rate changes
Central bank · Context (archaeology) · Econometrics · Economics · Inflation (cosmology) · Inflation targeting · Interbank lending market · Interest rate · Macroeconomics · Monetary economics · Monetary policy · National bank · Open market operation · Volatility (finance) · European Monetary and Fiscal Policies · Monetary Policy and Economic Impact · Stochastic processes and financial applications
Monetary policy and prediction of variability
The stabilization mechanism of ultra short-term interest rates in the context of Czech national bank's repo tenders
The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy
Is it Possible to Predict the CNB Repo Rate on the Basis of the Backward-Looking Monetary Rule
Monetary policy, trend inflation changes and volatility of interest rates relations
Central bank Losses. An Economic and Accounting Perspective Using the Example of the Czech National Bank
Modeling the CNB's Monetary Policy Interest Rate by Artificial Neural Networks
| Citations per year | 0.33 |
|---|---|
| Citation span | 2005 - 2012 (8) |
| Highly cited | No |