Prague Economic Papers 1998, 7(4) | DOI: 10.18267/j.pep.158

Monetary transmission mechanism (lending channel)

Vratislav Izák

The Czech National Bank (CNB) has influenced the money market rates (Pribor) through repo rates effectively. The strong cointegration has been valid for the further step, too - the impact of Pribor rates on the interest rates of newly granted credits.
The expected negative correlation between interest rates on the one side end both investment and newly granted credits have been found, however, the results are not statistically significant.
Industrial production and credits in domestic currency into industry have not been cointegrated. The causality tests say that credits Granger cause industrial production with a time lag of 5 months. Another tool of vector autoregressions - variance decomposition reveals that in forecasting these two variables the variance is influenced by their own dynamics first of all.
More detailed analysis of the credit structure in industry in 1997 shows the increasing ratio of credits in foreign currencies for credits in CZK to avoid the impacts of tight domestic monetary policy.

Zveřejněno: 1. leden 1998  Zobrazit citaci