Explaining the Czech Interbank Market Risk Premium
Adam Gersl and
Working Papers from Czech National Bank
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)
New Economics Papers: this item is included in nep-fmk and nep-tra
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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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