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The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances

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  • Veronika Kajurová
  • Dagmar Vágnerová Linnertová

Abstract

This paper investigates the interest rate pass-through in Czechia during different monetary policy stances from April 2005 to February 2020. The results suggest functioning pass-through in the initial stage of transmission, but responsiveness of the money market rate to the official rate differed during different monetary policy settings. The signaling role of the policy rate is important for loan pricing when policy is loosened, and the role of the money market is suppressed. Results also indicate a lowered responsiveness of PRIBOR to shocks in EURIBOR. When focusing on the exchange-rate interventions effect, we cannot confirm any significant impact on loan pricing.

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  • Veronika Kajurová & Dagmar Vágnerová Linnertová, 2022. "The Nexus between Monetary Policy and Commercial Lending Rates: Comprehensive Evidence from Czechia during Different Policy Stances," Eastern European Economics, Taylor & Francis Journals, vol. 60(4), pages 330-351, July.
    • Handle: RePEc:mes:eaeuec:v:60:y:2022:i:4:p:330-351
    DOI: 10.1080/00128775.2021.2019057
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