Interpretace variability úrokových sazeb v rámci zprostředkovatelského modelu optimální úrokové marže
An Interpretation of Interest Rates Variability in Dealer´s Model of Optimal Interest Margin
Karel Brůna () and
Politická ekonomie, 2013, vol. 2013, issue 3, 299-320
The paper deals with interest rate volatility interpretation in the dealer's model of optimal interest margin. It defines main sources of interest rate volatility and studies how specific source of volatility influences optimal interest margin. Special attention is focused on unexpected shock in liquidity of banking system, actual central bank's decision on targeted level of interest rate, long-term deviation of inflation and output from central bank's targeted values and potential impact of these factors on term premium instability. Sources of interest rates are discussed in term of bank's refinancing/reinvestment risk with an attempt to formalize interest rate volatility for further empirical research. Our conclusion is that dealer's model of optimal interest margin is consistent with only permanent shocks to banking system liquidity and long-lasting central bank's surprises with its monetary policy that increase a level of refinancing/reinvestment risk faced up by banks. On the other hand it is not consistent with interest rate volatility caused by transitory liquidity shocks, expected current changes in central bank's targeted main policy rate and long run trends in main policy rate based on disinflation.
Keywords: monetary policy; interest margin; interest rate volatility (search for similar items in EconPapers)
JEL-codes: E43 E52 G21 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
free of charge
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:prg:jnlpol:v:2013:y:2013:i:3:id:899:p:299-320
Ordering information: This journal article can be ordered from
Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3
Access Statistics for this article
Politická ekonomie is currently edited by Jiřina Bulisová
More articles in Politická ekonomie from University of Economics, Prague Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().