How Related are Interbank and Lending Interest Rates? Evidence on Selected European Union Countries

Artikel

This paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: European Financial and Accounting Journal ; ISSN: 1805-4846 ; Volume: 5 ; Year: 2010 ; Issue: 3-4 ; Pages: 42-55 ; Prague: University of Economics, Faculty of Finance and Accounting

Klassifikation und Themen

• Klassifikation: Management ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Money and Interest Rates: General ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy ; Financial Aspects of Economic Integration
• Thema: Cointegration ; Granger Causality ; Interbank Interest Rates ; Lending Interest Rates ; European Union

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Heryán, Tomáš ; Stavárek, Daniel
• Ereignis: Veröffentlichung
• (wer): University of Economics, Faculty of Finance and Accounting
• (wo): Prague
• (wann): 2010

Weitere Informationen

• DOI: doi:10.18267/j.efaj.54
• Handle: http://hdl.handle.net/10419/109852
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ