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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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Term structure of interest rates
Boháčková, Jana ; Hurt, Jan (advisor) ; Rusý, Tomáš (referee)
Bachelor thesis deals with interest rates and yield curves. Terms spot interest rate, forward interest rate and discount factor are established. Three models for describing yield curves are used, two parametric models: Nelson-Siegel model and Svensson model and one nonparametric model: kernel estimator. Function of a yield curve is decribed for all models and for parametric models and the parameters in parametric models are also described. Eventually, all models are used on real data. 1
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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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Efficiency of regulation models in financial markets in environment of monetary policy changes.
Stehlík, Jan ; Štekláč, Jiří (advisor) ; Titze, Miroslav (referee)
This paper examines models of supervision and regulation over the financial market and their impact on volatility of interest rates according to monetary policy changes. Its goal is to judge if some of these models aren't less effective and cause higher volatility and if the assumption of market stability is provided. It looks into monetary policy changes and their impact on financial market, interest rates and their development in time of these changes. It analyzes correlation of monetary policy and financial market and gives characteristics of each of regulation models. Using the method of graphical analysis, this paper compares reactions of short- and longterm interest rates (Treasury bills and 10years government yields) in relevant countries during monetary change applications. It examines also official offered rate and real interbank rate and its' spreads. As indicator of financial market stress is used Libor-OIS spread. It evaluates the influence of models used in different countries in each given situation.
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The evolution of Spanish Real Estate Market
Forejtová, Tereza ; Stuchlíková, Zuzana (advisor) ; Procházková Ilinitchi, Cristina (referee)
This work describes the evolution of Spanish Real Estate Market between the years 2000 and 2010. The construction sector contributed significantly on the GDP, it created new jobs and it was even called the engine of whole Spanish economy. Initially, the work focuses on main causes of the market growth. Further, there is an analysis of the evolution of interest rates which partially explains the evolution of mortgage market. Following part concerns construction itself and the growth of the prices on this market. The conclusion describes the formation of the speculative bubble on Spanish Real Estate Market and the situation emerged after its explosion.
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