The Czech Crown Money Market as the Source for Pricing Customer Cash Products

Staniek, Dušan

doi:10.18267/j.efaj.168

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Origins Of Cross-currency Basis (Ccb) and Its Implications F1

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2020

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“…Baba et al (2008) explain the mechanism of the FX swaps and cross-currency swaps and how they can be used to overcome funding shortages in a given currency. For smaller markets (such as the CZK) cross-currency products can be the only alternative available to gain liquidity in local currency for periods over 3 months (Staniek, 2016).…”

Section: Origins Of Cross-currency Basis (Ccb) and Its Implications Fmentioning

confidence: 99%

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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Section: Origins Of Cross-currency Basis (Ccb) and Its Implications Fmentioning

confidence: 99%