Politická ekonomie 2007, 55(1):3-22 | DOI: 10.18267/j.polek.587

Měnová politika, změny trendové inflace a nestabilita úrokových relací: analýza dynamiky dlouhodobých úrokových sazeb v kontextu změn repo sazby české národní banky

Karel Brůna

Monetary policy, trend inflation changes and volatility of interest rates relations: an analysis of long-term interest rate dynamics in the context of changes in czech national bank repo rate

The paper deals with theoretical and empirical aspects of the interactions between monetary policy and swap rates in the Czech Republic in 1999 through to 2005. In the theoretical part main sources of volatility of swap and forward rates on changes of repo rate are studied (actual stage of business cycle and changing level of monetary restriction, investor's misunderstanding of future main policy rate dynamics or inconsistency between expected monetary policy outcomes and actual dynamics of real level of repo rate). The empirical analysis proved low sensitivity of Czech crowns swap and forward rates to CNB repo rate changes, high volatility of interest rates relations in case of long-lasting repo rate changes and also problems with CNB's credibility at the beginning of 2000's. It was also found out that investor's mid-term and long-term inflation expectation could differ substantially due to expected convergence of economy to low inflation economic system.

Keywords: monetary policy, inflation, interest rates, swap rates, forward rates
JEL classification: E43, E44, G12

Published: February 1, 2007  Show citation

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Brůna, K. (2007). Monetary policy, trend inflation changes and volatility of interest rates relations: an analysis of long-term interest rate dynamics in the context of changes in czech national bank repo rate. Politická ekonomie, 55(1), 3-22. doi: 10.18267/j.polek.587
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