European Financial and Accounting Journal
European Financial and Accounting Journal
European Financial and Accounting Journal
Faculty of Finance and Accounting, University of Economics, Prague

European Financial and Accounting Journal 2016/3

The Czech Crown Money Market as the Source for Pricing Customer Cash Products

DOI: https://doi.org/10.18267/j.efaj.168

[full text (PDF)]

Dušan Staniek

The paper examines the Czech crown money market in terms of products and volumes traded. The interest rate time series for the last 10 years are surveyed, and a parsimonious model is used to investigate to what extent the marketplace serves as the starting point for pricing customer cash products. Although satisfactory long-term relationships are observed, market disruptions are breaking up the assumed coherence. Special attention has to be paid to the decoupling of official fixing rates (PRIBOR) and real market rates in the current low interest rate environment.

Keywords: Interest rate pass-through, Money market, PRIBOR

JEL Classification: C20, E43, E50, G21

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