Explaining the Czech interbank market risk premium |
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| Institution: | 1. Joint Vienna Institute, Mariahilfer Strasse 97, A-1060 Vienna, Austria;2. Czech National Bank, Na P?íkopě 28, CZ-11503 Prague, Czech Republic;3. Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Opletalova 26, CZ-11000 Prague, Czech Republic;1. Eastern Mediterranean University, Cyprus;2. Southern Illinois University Edwardsville, United States;1. Department of Economics and Finance, Brunel University, Uxbridge UB8 3PH, United Kingdom;2. CERDI, University of Auvergne, France;3. Institute of Economic Studies, Charles University, Czech Republic;4. CESifo Munich, Germany;1. Department of Cardiology, Royal North Shore Hospital, Sydney, NSW, Australia;2. Sydney Nursing School, University of Sydney, Sydney, NSW, Australia;3. Sydney Medical School, University of Sydney, Sydney, NSW, Australia;1. Division of Gastroenterology, Perelman School of Medicine, University of Pennsylvania, Philadelphia, Pennsylvania;2. Leonard Davis Institute of Health Economics, University of Pennsylvania, Philadelphia, Pennsylvania;3. Center for Clinical Epidemiology and Biostatistics, Department of Biostatistics, Epidemiology and Informatics, Perelman School of Medicine, University of Pennsylvania, Philadelphia, Pennsylvania;4. Department of Medicine, Corporal Michael J. Crescenz VA Medical Center, Philadelphia, Pennsylvania |
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| Abstract: | This paper focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign 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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| Keywords: | Counterparty risk Interbank market Liquidity risk Risk premium |
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