The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances
| Authors | |
|---|---|
| Year of publication | 2022 |
| Type | Article in Periodical |
| Magazine / Source | EASTERN EUROPEAN ECONOMICS |
| MU Faculty or unit | |
| Citation | |
| Web | https://www.webofscience.com/wos/woscc/full-record/WOS:000744420600001 |
| Doi | http://dx.doi.org/10.1080/00128775.2021.2019057 |
| Keywords | Commercial lending rates; exchange rate interventions; impulse response function; interest rate pass-through; money market rate; official policy rate; structural vector autoregressive model; variance decomposition |
| Attached files | |
| Description | This paper investigates the interest rate pass-through in Czechia during different monetary policy stances from April 2005 to February 2020. The results suggest functioning pass-through in the initial stage of transmission, but responsiveness of the money market rate to the official rate differed during different monetary policy settings. The signaling role of the policy rate is important for loan pricing when policy is loosened, and the role of the money market is suppressed. Results also indicate a lowered responsiveness of PRIBOR to shocks in EURIBOR. When focusing on the exchange-rate interventions effect, we cannot confirm any significant impact on loan pricing. |
| Related projects: |