Explaining the Czech Interbank Market Risk Premium

Adam Gersl and Jitka Lešanovská

Working Papers from Czech National Bank, Research and Statistics Department

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.

Keywords: counterparty risk; interbank market; liquidity risk; risk premium. (search for similar items in EconPapers)
JEL-codes: G19 G21 (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-fmk and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Explaining the Czech interbank market risk premium (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2013/01

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