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

Brůna, Karel - In: Politická ekonomie 2007 (2007) 6, pp. 829-851

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...

Persistent link: https://www.econbiz.de/10005036706

The impact of fresh releases on the yield curve

Pikora, Vladimir - In: Politická ekonomie 2007 (2007) 6, pp. 809-828

The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures....

Persistent link: https://www.econbiz.de/10005036606

Vield curve construction using government bonds in the Czech republic

Málek, Jiří; Radová, Jarmila; Štěrba, Filip - In: Politická ekonomie 2007 (2007) 6, pp. 792-808

The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do...

Persistent link: https://www.econbiz.de/10005036582

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

The stabilization mechanism of ultra short-term interest rates in the context of Czech national bank's repo tenders

Brůna, Karel - In: Politická ekonomie 2005 (2005) 4, pp. 459-476

the main sources of temporal gaps between the demand for and the supply of the reserves and their impact on the volatility … - undershooting of non-stability of excess liquidity and decline of overnight interest rates volatility due to new possibility of …

Persistent link: https://www.econbiz.de/10005036651

An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate

Brůna, Karel; Brada, Jaroslav - In: Politická ekonomie 2004 (2004) 5, pp. 601-622

regression models. We found out that as repo rate was sticky it led to higher volatility of PRIBOR before repo rate change and …

Persistent link: https://www.econbiz.de/10005036676

Systematic part of CNB's monetary policy in inflation targeting regime

Navrátil, David - In: Politická ekonomie 2004 (2004) 5, pp. 623-636

In the inflation targeting regime the central bank makes a decision about interest rate adjustment based on a forecast, primarily of inflation. Thus a big part of the decisions on interest rate adjustments corresponds to systematic response of central bank to expected economic development. The...

Persistent link: https://www.econbiz.de/10005036683

Monetary policy and prediction of variability

Brůna, Karel - In: Politická ekonomie 2009 (2009) 3, pp. 361-382

This study presents an analysis of the sources of variability of interest rates in the money market in the context of Czech National Bank's (CNB) monetary policy. The factors in question are changes in the structural characteristics of economies in transition, changing perception of inflation...

Persistent link: https://www.econbiz.de/10005103167

The Impact of the Regime-Shift Premium on Forward Interest Rates and Inflation Expectations in the Czech Republic (in Czech)

Holinka, Tomáš; Stiller, Vladimír - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 5-6, pp. 190-201

The article analyzes the factors leading to the fall of forward interest rates in the Czech Republic between 1999 and 2003. A key point in this regard is the existence of a term and a regime-shift premium associated with the country’s anticipated entry into the eurozone. The paper suggests...

Persistent link: https://www.econbiz.de/10008549915

Central Bank´s Foreign Exchange Reserves Accumulation and Dynamics of Banking System Liquidity Absorption: The Case of the Czech Republic, Poland and Hungary

Brůna, Karel - In: Politická ekonomie 2010 (2010) 6, pp. 723-746

analyzed how monetary policy instruments (on outright or repo basis) enable central bank to react on volatility of banking … focuses on main differences in the level of liquidity surplus, cost of sterilization, volatility of spread between O …

Persistent link: https://www.econbiz.de/10008802572