Politická ekonomie 2013, 61(3):299-320 | DOI: 10.18267/j.polek.899

Interpretace variability úrokových sazeb v rámci zprostředkovatelského modelu optimální úrokové marže

Karel Brůna, Jiří Korbel
1 Vysoká škola ekonomická v Praze.
2 Česká spořitelna, a.s., Vysoká škola ekonomická v Praze.

An Interpretation of Interest Rates Variability in Dealer´s Model of Optimal Interest Margin

The paper deals with interest rate volatility interpretation in the dealer's model of optimal interest margin. It defines main sources of interest rate volatility and studies how specific source of volatility influences optimal interest margin. Special attention is focused on unexpected shock in liquidity of banking system, actual central bank's decision on targeted level of interest rate, long-term deviation of inflation and output from central bank's targeted values and potential impact of these factors on term premium instability. Sources of interest rates are discussed in term of bank's refinancing/reinvestment risk with an attempt to formalize interest rate volatility for further empirical research. Our conclusion is that dealer's model of optimal interest margin is consistent with only permanent shocks to banking system liquidity and long-lasting central bank's surprises with its monetary policy that increase a level of refinancing/reinvestment risk faced up by banks. On the other hand it is not consistent with interest rate volatility caused by transitory liquidity shocks, expected current changes in central bank's targeted main policy rate and long run trends in main policy rate based on disinflation.

Keywords: monetary policy, interest margin, interest rate volatility
JEL classification: E43, E52, G21

Published: June 1, 2013  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Brůna, K., & Korbel, J. (2013). An Interpretation of Interest Rates Variability in Dealer´s Model of Optimal Interest Margin. Politická ekonomie, 61(3), 299-320. doi: 10.18267/j.polek.899
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. ALONSO, F.; BLANCO, R. 2005. Is the Volatility of the Eonia Transmitted to Longer-Term Euro Money Market Interest Rates? [Documentos de Trabajo No. 0541]. Madrid: Banco de Espana, 2005.
    2. 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, pp. 55-87. Go to original source...
    3. AYUSO, J.; HALDANE, A. G. RESTOY, F. 1997. Volatility Transmission Along the Money Market Yield Curve. Weltwirtschaftliches Archiv, 1997, Vol. 133, No. 1. Go to original source...
    4. BARTOLINI, L., GUDELL, S., HILTON, S., SCHWARTZ, K. 2005. Intra-Day Behavior of the Federal Funds Market. Current Issues in Economics and Finance, November 2005, pp. 1-31.
    5. BECH, M. L.; ATALAY, E. 2008. The Topology of the Federal Funds Market. [Working Paper Series No 986]. Frantkfurt am Main: ECB, 2008. Go to original source...
    6. BRŮNA, K. 2009. Dynamika úrokových sazeb v kontextu měnové politiky. Praha: Nakladatelství Oeconomica, 2009.
    7. COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. 1977. Theory of the Term Structure of Interest Rates and the Valuation of Interest Dependent Claims Analysis. Journal of Financial and Quantitative Analysis. 1977, Vol. 12, No. 4, pp. 661-681. Go to original source...
    8. FAVERO, C. A.; ROVELLI, R. 2000. Modeling and Identifying Central Bank Preferences. [Working Paper No. 148]. Bocconi: IGIER Universita Bocconi, 2000. Go to original source...
    9. GOODFRIEND, M. 1998. Using the Term Structure of Interest Rates for Monetary Policy. Federal Reserve Bank of Richmond Economic Quarterly, Summer 1998, pp. 1-30. Go to original source...
    10. HARTMANN, P.; MANNA, M.; MANZANARES, A. 2001. The Microstructure of the Euro Money Market. [Working Paper No. 80]. Frankfurt am Main, ECB, 2001. Go to original source...
    11. BUTTIGLIONE, L.; DEL GIOVANE, P.; TRISTANI, O. 1997. Monetary Policy Actions and the Term Structure of Interest Rates: A Cross-Country Analysis. Temi di discussione del Servizion Studi, Roma: Banca D'Italia, April 1997. Go to original source...
    12. 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, pp. 581-600. Go to original source...
    13. MCSHANE, R. W.; SHARPE, I. G. 1985. A Time Series/Cross Analysis of the Determinants of Australian Trading Bank Loan/Deposit Interest Margins: 1962-1981. Journal of Banking and Finance. 1985, Vol. 9, No. 1, pp. 115-136. Go to original source...
    14. MEHRA, Y. P. 1996. Monetary Policy and Long-Term Interest Rates. Federal Reserve Bank of Richmond Economic Quarterly, Summer 1996, pp. 27-49.
    15. MEHRLING, P. 2006. Monetary Policy Implemenation: A Microstructure Approach. Paris: EconomiX, 2006.
    16. NAUTZ, D.; OFFERMANNS, CH. J. 2008. Volatility Transmission in the European Money Market. North American Journal of Economics and Finance, March 2008, pp. 23-39. Go to original source...
    17. ROLEY, V. V.; SELLON, G. H. 1995. Monetary Policy Actions and Long-Term Interest Rates. Federal Reserve Bank of Kansas City Economic Review, Fourth Quarter 1995, pp. 73-89.
    18. SACK, B. 1998. Uncertainty, Learning, and Gradual Monetary Policy [Finance and Economic Discussion Series No. 1998-34]. Washington: Board of Governors of the Federal Reserve System, 1998 Go to original source...
    19. SVENSSON, L. E. 2000. Open Economy Inflation Targeting. Journal of International Economics. 2000, Vol. 50, No. 1, pp.155-183. AN INTERPRETATION OF INTEREST RATES VARIABILITY IN DEALER'S 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.


    Return to the content