INPROFORUM 2013

Impact of Central Bank Interest Rates on Market Interest Rates
Radim Gottwald

Language: en
Last modified: 2013-10-31

Abstract


Changes to interest rates in an economy are affected by a variety of factors. Through changes to their internal rates, central banks indicate changes in the economy. The focus of the paper is the qualification of the impact of central bank interest rates on market interest rates. The empirical analysis works with data related to the USA, European Union and the Czech Republic. The investigation period is 2001-2012 and is split up into three four-year periods: 2001-2004, 2005-2008 and 2009-2012. Interbank interest rates, mortgage interest rates and interest rates for loans to non-financial businesses were adopted as market interest rates. Certain implementation delay is taken into account. Statistical indicators such as the Pearson correlation index and standard deviations are used and substantial, shared features and differences within selected territories are identified based on the indicators. The paper therefore classifies the impact of decisions by central banks on the economy. Results show that in the given regions we can see the biggest impact in central bank interest rates on interbank interest rates, interest rates to non-financial businesses and mortgage interest rates over the whole period.


Keywords


market interest rate;interbank interest rate;mortgage interest rate;central bank interest rate;central bank

Full Text: PDF