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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Measuring Financial Market Perception of Economic and Monetary Union Enlargement
von Terzi, Martina ; Holub, Tomáš (advisor) ; Fidrmuc, Jarko (referee) ; Dědek, Oldřich (referee) ; Šmídková, Kateřina (referee)
This thesis deals with assessing how financial markets perceive prospects of future euro area enlargement. Market views on such an enlargement are measured using two different approaches. The first approach, the static probability calculators method (SPC), is based on an existing method that was previously used for the old EU Member States. In order to overcome inherent shortcomings of this method, a second, completely new methodology with an indicator that is based on short-term dynamics of forward spreads was developed, further referred to as dynamic probability calculators (DPC). Both the SPC and DPC are applied to data from four Central Eastern European countries: the Czech Republic, Hungary, Poland, and Slovakia. In addition, data of other European countries were used to assess the robustness of the two approaches. The new methodology is conceptually based on the notion of ambiguity-averse agents. Specifically, it attempts to apply the framework of incomplete preferences, developing a general equilibrium framework, which allows for multiple equilibria supported by one set of fundamentals. This equilibrium indeterminacy offers a way to reconcile shortterm fluctuations of market prices with a relatively stable underlying economic environment and expectations. The thesis concludes with a...
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