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Heterogeneity in bank pricing policies: the Czech evidence
Horváth, Roman ; Podpiera, Anca
In this paper, writers estimate the interest rate pass-through from money market to bank interest rates using various heterogeneous panel cointegration techniques to address bank heterogeneity. Based on micro-level data from the Czech Republic, the results indicate that the nature of interest rate pass-through differs across banks in the short term (rendering estimators that constrain coefficients across groups to be identical inconsistent) and becomes homogeneous across banks only in the long term, supporting the notion of the law of one price.
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Granger Causality Evidence
Horváth, Roman ; Seidler, Jakub ; Weill, Laurent
This paper examines the relation between banks’ capital and liquidity creation. This issue is of interest to determine the potential impact of higher capital requirements for banks on their liquidity creation, which may have particular importance with new Basel III reform demanding from banks higher capital. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an exhaustive dataset of Czech banks from 2000 to 2010.
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ERM II membership - the view of the accession countries
Komárek, Luboš ; Čech, Zdeněk ; Horváth, Roman
This report examines the implications of membership in ERM2. The experience of the present eurozone members with ERM/ERM2 membership shows that none of them faced a significant challenge in the two-year “evaluation” period in terms of the exchange rate stability convergence criterion. This could also be attributable to the stability policies prescribed by the Maastricht Treaty.
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