An Empirical Analysis of Liquidity Situation and Interbank Rates in the CR during Global Crisis
|Author:||Mgr. Jitka Lešanovská|
|Year:||2011 - winter|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis.|
|Abstract:||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
|Downloadable:|| Abstract Master´s Thesis Lešanovská