European Financial and Accounting Journal 2010, 5(3):42-55 | DOI: 10.18267/j.efaj.54

How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries

Tomáą Heryán1, Daniel Stavárek2
1 Ing. Tomáą Heryán - internal Ph.D. student; Department of Finance at Silesian University, School of Business Administration in Karvina, Univerzitní náměstí 1934/3, 733 40, Karviná, Czech Republic; .
2 Doc. Ing. Daniel Stavárek, Ph.D. - Associate Professor; Department of Finance at Silesian University, School of Business Administration in Karvina, Univerzitní náměstí 1934/3, 733 40, Karviná, Czech Republic; .

This paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.

Keywords: Cointegration, European Union, Granger Causality, Interbank Interest Rates, Lending Interest Rates
JEL classification: C32, E40, E43, E52, F36

Published: October 1, 2010  Show citation

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Heryán, T., & Stavárek, D. (2010). How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries. European Financial and Accounting Journal, 5(3), 42-55. doi: 10.18267/j.efaj.54
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