An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
| Název práce v češtině: | x |
|---|---|
| Název v anglickém jazyce: | An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis |
| Klíčová slova: | mezibankovní trh, likvidita, úrokové míry, krize, riziková prémie, kreditní riziko, likviditní riziko, riziko protistrany |
| Klíčová slova anglicky: | interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk |
| Akademický rok vypsání: | 2010/2011 |
| Typ práce: | rigorózní práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | doc. PhDr. Adam Geršl, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 19.09.2011 |
| Datum zadání: | 19.09.2011 |
| Datum a čas obhajoby: | 19.10.2011 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 23.09.2011 |
| Datum proběhlé obhajoby: | 19.10.2011 |
| Oponenti: | Ing. Martina von Terzi, Ph.D. |
| Seznam odborné literatury |
| Geršl, A., Komárková, Z. (2009): Liquidity Risk and Bank´s Bidding Behaviour: Evidence from Global Financial Crisis, Journal of Economic and Finance, Volume 59, Issue 6
Heider, F., Hoerova, M., Holthausen, C. (2009): Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk?, EBC, Discussion paper No. 2009-11S Michaud, F.L., Upper, Ch. (2008): What drives interbank rates? Evidence from the Libor panel, BIS Quarterly Review Nikolau, K. (2009): Liquidity (Risk) Concepts Definitions and Interactions, ECB, WP No. 1008 Taylor, J.B., Williams, J.C. (2008): A Black Swan in the Money Market?, National Bureau of Economic Research, WP No. 13943 |
| Předběžná náplň práce |
| The concern of this diploma thesis is to analyse the determinants of the development of rates on the interbank market. Banks use this market for a short term borrowing or lending which ensures the liquidity flows where needed. Its importance increases for the potential borrower when a liquidity shock occurs, e.g. in the case of significant deposits withdrawal. For the lending side, it is advantageous to use this market and gain return in the form of interest rather than hold cash without being rewarded. Moreover, the interbank market is of high importance from the point of view of monetary policy conducted by a central bank. The central bank’s target rate should be followed by the interbank rates that are further determinants for the interest on loans that are provided by commercial banks to real economy. This function is called transmission mechanism. In this regard, it is also important to take into account the nature of the central bank operations in the interbank market.
During current global crises, it has been observed that the role of monetary policy was rather limited in almost all countries affected by the recession. The spreads between central bank´s target rate and interbank rates rose sharply and still remain high. There are two basic factors that are claimed to affect risk premium on the interbank lending: the counterparty risk and liquidity risk. In our empirical analysis, we would like to analyze banks’ behaviour in the area of interbank market (incl. quoting of reference rates) and assess the contribution of the alternative factors to explaining the behaviour of rates and relevant spreads. Recently published papers, i.e. Geršl, A., Komárková, Z. (2009), Heider, F., Hoerova, M., Holthausen, C. (2009), Michaud, F.L., Upper, Ch. (2008), Nikolau, K. (2009), Taylor, J.B., Williams, J.C. (2008), provide a possible explanation of evolution of interbank rates as well as empirical analysis of related topics. This thesis will contribute to this area of literature. |