Interbank Interest Rate Transmission in the V4 Countries

Integration process, harmonisation of bank legislation and mutual economic interdependence among European countries contribute to similar evolution of several financial indicators in the European Union. Current financial and economic crisis has revealed that some indicators evolved similarly only in...

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Bibliographic Details
Published in:Procedia economics and finance 2014, Vol.15, p.71-79
Main Authors: Siničáková, Marianna, Šuliková, Veronika, Árvayová, Stanislava
Format: Article
Language:English
Subjects:
interbank interest rate
the V4 countries
transmission
vector error correction model
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Summary:Integration process, harmonisation of bank legislation and mutual economic interdependence among European countries contribute to similar evolution of several financial indicators in the European Union. Current financial and economic crisis has revealed that some indicators evolved similarly only in short run and their symmetry among countries was not justified. This was the case of e.g. bond interest rates. However, we supposed that interbank interest rates reflected mutual transmission among the V4 countries and the European Union in long run and that this symmetry was not shattered by crisis. This assumption has not been completely confirmed. Nevertheless, we have confirmed transmission effect in pre-crisis period and significant impact of EURIBOR on local interbank rates. The paper was elaborated within the project VEGA 1/0973/11.
ISSN:2212-5671
2212-5671
DOI:10.1016/S2212-5671(14)00448-1