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Interest rate pass-through : Does it change with financial distress? : the Czech experience
Kazaziová, Gledis ; Horváth, Roman (advisor) ; Krištoufek, Ladislav (referee)
The aim of this thesis is to investigate the behavior of the interest rate transmission from money market rates to bank retail rates on the Czech banking market during the period from January 2004 to January 2010, and to detect potential changes occurred as a result of current financial crisis. Using Ordinary Least Squares, Recursive Coefficients estimates and Impulse Response analysis we explore that bank retail rates reflect Pribor rate changes more strongly than changes in Euribor rates. We reveal that interest rate pass-through is rather incomplete and sluggish in the majority of cases and the adjustment level decreases noticeably during the period influenced by the financial crises.
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Asset price bubbles and monetary policy reactions
Kazaziová, Gledis ; Dědek, Oldřich (advisor) ; Vošvrda, Miloslav (referee)
This thesis' intent is to analyze stock market bubbles - to bring forward their causes, characteristics and possible aftermath. Hereinafter is this work aimed at presentation of possible monetary policy reactions, its influence on bubble development and impact. I will also present arguments in relation to central bank interventions. The principal point of this thesis is an application of theoretical framework onto actual examples. Therefore have I selected 17th century Tulipmania, Black Monday (October 1987) and Japanese Bubble in the '80s? Closing part is focusing on Black Monday and Japanese Bubble comparison, which are considered to be typical benign and malign crash examples, and on evaluation of relevant monetary policy reactions. Powered by TCPDF (www.tcpdf.org)
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Interest Rate Pass-Through: Does It Change with Financial Distress? The Czech Experience
Kazaziová, Gledis ; Horváth, Roman (advisor) ; Krištoufek, Ladislav (referee)
The aim of this thesis is to investigate the behavior of the interest rate transmission from money market rates to bank retail rates on the Czech banking market during the period from January 2004 to November 2010, and to detect potential changes occurred as a result of the current financial crisis. Using Ordinary Least Squares, Recursive Coefficients estimates and Impulse Response analysis we explore that bank retail rates reflect Pribor rate changes more strongly than changes in Euribor rates. We reveal that interest rate pass-through is rather incomplete and sluggish in the majority of cases and the adjustment level decreases noticeably during the period influenced by the financial crises.
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Asset price bubbles and monetary policy reactions
Kazaziová, Gledis ; Dědek, Oldřich (advisor) ; Vošvrda, Miloslav (referee)
This thesis' intent is to analyze stock market bubbles - to bring forward their causes, characteristics and possible aftermath. Hereinafter is this work aimed at presentation of possible monetary policy reactions, its influence on bubble development and impact. I will also present arguments in relation to central bank interventions. The principal point of this thesis is an application of theoretical framework onto actual examples. Therefore have I selected 17th century Tulipmania, Black Monday (October 1987) and Japanese Bubble in the '80s? Closing part is focusing on Black Monday and Japanese Bubble comparison, which are considered to be typical benign and malign crash examples, and on evaluation of relevant monetary policy reactions. Powered by TCPDF (www.tcpdf.org)
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Interest rate pass-through : Does it change with financial distress? : the Czech experience
Kazaziová, Gledis ; Krištoufek, Ladislav (referee) ; Horváth, Roman (advisor)
The aim of this thesis is to investigate the behavior of the interest rate transmission from money market rates to bank retail rates on the Czech banking market during the period from January 2004 to January 2010, and to detect potential changes occurred as a result of current financial crisis. Using Ordinary Least Squares, Recursive Coefficients estimates and Impulse Response analysis we explore that bank retail rates reflect Pribor rate changes more strongly than changes in Euribor rates. We reveal that interest rate pass-through is rather incomplete and sluggish in the majority of cases and the adjustment level decreases noticeably during the period influenced by the financial crises.
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