Politická ekonomie 5/2004

ANALÝZA CITLIVOSTI REFERENČNÍCH ÚROKOVÝCH SAZEB PRIBOR NA ZMĚNY REPO SAZBY ČESKÉ NÁRODNÍ BANKY

AN ANALYSIS OF PRIBOR INTEREST RATES SENSITIVITY TO CHANGES IN CZECH NATIONAL BANK REPO RATE

Jaroslav BRADA, Karel Brůna, University of Economics, 4, W. Churchill Sq., CZ - 130 67 Praque 3 (e-mail: brada@vse.cz; bruna@vse.cz).

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.

Klíčová slova / Keywords: expectation, monetary policy, PRIBOR interest rate, repo rate, transmission mechanism

JEL klasifikace / JEL Classification: C22, E43, E52