Measuring bank funding costs in the analysis of interest rate pass-through: Evidence from Poland

Kapuściński, Mariusz; Stanisławska, Ewa

doi:10.1016/j.econmod.2017.11.009

Cited by 8 publications

(5 citation statements)

References 25 publications

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“…Other co-determinants of the pass-through involve bank characteristics such as bank assets, the leverage ratio, capital buffer, and the liquidity ratio, among others (Horváth and Podpiera, 2012;Holton and d'Acri, 2015;Havránek et al, 2016;Kapuściński and Stanislawska, 2018). In the last decade, pass-through studies have emphasized the role of bank credit risk as a result of the GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

The pass-through of monetary policy rate to lending rates: The role of macro-financial factors

Gregora

Melecký

2018

Economic Modelling

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Section: Literature Reviewmentioning

confidence: 99%

The pass-through of monetary policy rate to lending rates: The role of macro-financial factors

Gregora

Melecký

2018

Economic Modelling

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“…The authors demonstrate that such a real cost indicator is a better starting point for assessing the effi ciency of the transmission. That WACL is a better proxy of the banks' funding costs in the case of the Polish market is also confi rmed by Kapuściński and Stanisławska (2018). However, the pass-through for lending rates is found to be strong even when using money market rates.…”

Section: Literature Reviewmentioning

confidence: 74%

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

Staniek¹

2020

Prague Economic Papers

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For successful monetary policy implementation, it is crucial to know the pricing behaviour of banks and the determinants of banks' lending rates. With the onset of the global financial crisis, markets in unsecured lending ceased to provide a reliable level of market costs, while markets in cross-currency products gained significance. The aim of this research is to gauge the extent to which the EUR-CZK cross-currency basis spread is reflected in the corporate lending rates provided by Czech banks. We discovered that just over 50% of the changes in the basis pass through to the lending rates. The greater part of this passthrough can be identified in EUR lending rates, which are, as a result, higher. In the case of CZK, the negative basis should tend to decrease the lending rates. However, the impact is fairly limited, and we were not able to confirm any significant long-run relationship.

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“…However, for Poland, the years 2015-2017 were exceptional in this respect-almost zero volatility and no differentiation of daily quotations of banks participating in fixing were observed. This period was also the time of maintaining constant interest rates by the Monetary Policy Council (Kapuściński and Stanisławska 2017).…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets

Dziwok

Karaś

2021

Risks

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The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson–Siegel–Svensson methodology in which we utilize the curve-fitting error as an indicator of financial system illiquidity. We empirically apply our method to a set of 10 divergent Central and Eastern Europe countries—Bulgaria, Croatia, Czechia, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Slovakia—in the period of 2006–2020. The results show three periods of increased risk in the sample period: the global financial crisis, the European public debt crisis, and the COVID-19 pandemic. They also allow us to identify three divergent sets of countries with different systemic liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity risk. The proposed methodology may be of consequence for financial system regulators and macroprudential bodies: it allows for contemporaneous monitoring of discussed risk at a minimal cost using well-known models and easily accessible data.

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Measuring bank funding costs in the analysis of interest rate pass-through: Evidence from Poland

Cited by 8 publications

References 25 publications

The pass-through of monetary policy rate to lending rates: The role of macro-financial factors

The pass-through of monetary policy rate to lending rates: The role of macro-financial factors

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets

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