Politická ekonomie 2007, 55(6):829-851 | DOI: 10.18267/j.polek.626

Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky

Karel Brůna
Vysoká škola ekonomická v Praze.

The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy

The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate risk during the disinflation monetary policy in the Czech Republic in 1999-2006. In theoretical part, main determinants of short-run and long-run equilibrium of client interest rates are discussed (market power, duration of credits and deposits, pricing mechanism, credit risk, operation efficiency). Using the error correction model, sensitivity of credit and deposit interest rates on market interest rates is tested. It is found out that in the short equilibrium client interest rates changes follow dynamics of CNB repo rate, the sensitivity of credit and deposit interest rates differs and banks face up the pressure on interest margin. The cointegration analysis confirms change of equilibrium interest rate margin in the long-run and supports hypothesis of consistency between Czech National Bank monetary policy and its expected outcomes by banks.

Keywords: monetary policy, bank, disinflation, interest rates, client interest rates
JEL classification: E43, E44, G12

Published: December 1, 2007  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Brůna, K. (2007). The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy. Politická ekonomie55(6), 829-851. doi: 10.18267/j.polek.626
Download citation

References

  1. ANGBAZO, L. 1997. Commercial Bank Net Interest Margins, Default Risk, Interest-rate Risk, and Off-balance Sheet Banking. Journal of Banking and Finance. 1997, vol. 21, no. 1, s. 55-87. Go to original source...
  2. BERLIN, M.; MESTER, L. J. 1998. Deposits and Relationship Lending [Working Paper No. 98-22]. Philadelphia : Federal Reserve Bank of Philadelphia, November 1998. Go to original source...
  3. BRADA, J.; BRůNA, K. 2004. Analýza citlivosti referenčních úrokových sazeb PRIBOR na změny repo sazby České národní banky. Politická ekonomie. 2004, roč. 52, č. 5, s. 601-22. Go to original source...
  4. BRůNA, K. 2005. Mechanismus stabilizace ultrakrátkých úrokových sazeb prostřednictvím repo operací České národní banky. Politická ekonomie. 2005, roč. 53, č. 4, s. 459-76. Go to original source...
  5. BRůNA, K. 2007, Měnová politika, změny trendové inflace a nestabilita úrokových relací: analýza dynamiky dlouhodobých úrokových sazeb v kontextu změn repo sazby. Politická ekonomie. 2007, roč. 55, č. 1, s. 3-22. Go to original source...
  6. COTTARELLI, C.; KOURELIS, A. 1994. Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy [IMF Working Paper]. Washington : International Monetary Fund, March 1994. Go to original source...
  7. DE BONDT, G.; MOJON, B.; VALLA, N. 2005. Term Structure and the Sluggishness of Retail Bank Interest Rates in Euro Area Countries [Working Paper Series No. 518]. Frankfurt am Main : European Central Bank, 2005. Go to original source...
  8. DVORNÝ, Z. 2002. Transmise klíčových úrokových sazeb v České ekonomice. Politická ekonomie. 2002, roč. 50, č. 6, s. 780-92. Go to original source...
  9. ENGLISH, W. B. 2002. Interest Rate Risk and Bank Net Interest Margins. BIS Quarterly Review. December 2002, s. 67-82.
  10. FLANNERY, M. J. 1981. Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation. The Journal of Finance. 1981, vol. 36, no. 6, s. 1085-101. Go to original source...
  11. GAMBACORTA, L. 2005. How Do Banks Set Interest Rates? [Temi di discussione No. 542]. Rome : Bank of Italy, February 2005. Go to original source...
  12. HANWECK, G. A.; KILCOLLIN, T. E. 1984. Bank Profitability and Interest Rate Risk. Journal of Economics and Business. 1984, vol. 34, no. 1, s. 77-84. Go to original source...
  13. HO, T. S. Y.; SAUNDERS, A. 1981. The Determinants of Bank Interest Margin: Theory and Empirical Evidence. The Journal of Financial and Quantitative Analysis. 1981, vol. 16, no. 4, s. 581-600. Go to original source...
  14. IZÁK, V. 1998. Transmisní mechanismus měnové politiky - úvěrový kanál. Politická ekonomie. 1998, roč. 46, č. 6, s. 755-71. Go to original source...
  15. MAUDOS, J.; FERNÁNDEZ DE GUEVARA, J. 2004. Factors Explaining the Interest Margin in the Banking Sectors of the European Union. Journal of Banking and Finance. 2004, vol. 28, no. 5, s. 2259-81. Go to original source...
  16. MOJON, B. 2000. Financial Structure and the Interest Rate Channel of ECB Monetary Policy [ECB Working Paper Series No. 40]. Frankfurt am Main : European Central Bank, 2000. Go to original source...
  17. SANDER, H.; KLEIMEIER, S. 2004. Convergence in Euro-zone Retail Banking? What Interest Rate Pass-through Tells Us about Monetary Policy Transmission, Competition and Integration. Journal of International Money and Finance. 2004, vol. 23, no. 2, s. 461-92. Go to original source...
  18. SAUNDERS, A.; SCHUMACHER, L. 2000. The Determinants of Bank Interest Margins: An International Study. Journal of International Money and Finance. 2000, vol. 19, no. 4, s. 813-32. Go to original source...
  19. SORENSEN, C. K.; WERNER, T. 2006. Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison [Working Paper Series No. 580]. Frankfurt am Main : European Central Bank, 2006.
  20. WETH, M. A. 2002. The Pass-through from Market Interest Rates to Bank Lending Rates in Germany [Discussion paper No. 11/02]. Frankfurt am Main : Deutsche Bundesbank, March 2002. Go to original source...

This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.