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Premietanie medzibankových úrokových sadzieb do klientskych sadzieb na Slovensku (20042016)

Interbank Interest Rate Pass-Through into Client Interest Rates in the Condition of Slovak Republic (2004-2016)

Valéria Halamová and Kristína Kočišová

Politická ekonomie, 2018, vol. 2018, issue 4, 473-490

Abstract: The paper deals with the issue of interbank interest rate pass-through into client interest rates offered by banks in the condition of Slovak Republic between 2004 and 2016. We provide an overview of studies of the interest rate relationship analysis in the bank and interbank market. We investigate the interest pass-through from money market rates to various loan and deposit rates. The analysis is carried out using the methodology of cointegration error-correction model, which take into account both the long-term and the short-term aspect of interest rate development. Our results point to considerable differences in the size of the pass-through with respect to either different loan and deposit rates. It has also shown a low rate of immediate transmission, the incompleteness of the pass-through, higher efficiency in the process of interbank interest rates pass-through into the interest rates on loans, and we can conclude that the process of interest rates pass-through in our conditions is relatively stable.

Keywords: bank market; interbank market; interest rate pass-through (search for similar items in EconPapers)
JEL-codes: E43 E52 G21 (search for similar items in EconPapers)
Date: 2018
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Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3

DOI: 10.18267/j.polek.1203

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Handle: RePEc:prg:jnlpol:v:2018:y:2018:i:4:id:1203:p:473-490