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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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Explaining the Czech Interbank Market Risk Premium
Geršl, Adam ; Lešanovská, Jitka
This paper focuses on the development of the in terbank market risk premium in the Czech Republic during the global financial crisis. We e xplain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, forei gn influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk.
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Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
Hausenblas, Václav ; Kubicová, Ivana ; Lešanovská, Jitka
This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures of domestic banks enriched by a liquidity channel and an asset price channel over the period March 2007 to June 2012. A computational model is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the size and structure of interbank exposures as well as balance sheet and regulatory characteristics of individual banks in the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was below 3.8% of the remaining banking sector assets, with the exception of the period from December 2007 to September 2008. Activation of the asset price channel further increases the losses due to interbank contagion, showing that liquidity of government bonds would be essential for the stability of Czech banks in stress situations. Finally, the simulation results for both idiosyncratic and multiple bank failure shocks suggest that the potential for contagion in the Czech banking system has decreased since the onset of the global financial crisis.
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Treasury within Commercial Banking
Neubauerová, Lucie ; Moravec, Lukáš (advisor)
This thesis focuses on internal aspects of the Treasury Department related to commercial banking. It includes analysis of total and various revenue types with a graphical illustration of developments in the monthly records from 2006-2010. The goal is to evaluate the function of the Treasury and comprehensively analyze the different types of revenue showing their contribution to total revenues. The work also includes a brief justification of the significant fluctuations of total and various types of revenue. The conclusion not only provides a comprehensive summary and assessment of the Treasury Department using the overall development of individual groups of revenue, but it tries to draw attention to the possibility of predicting Treasury fluctuations and the individual types of revenue in the future and tries to point to possible opportunities for analytical and practical methods.
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