Analýza transmise monetární politiky České národní banky prostřednictvím dynamiky úrokových sazeb

Abstract

The aim of the thesis is to analyze short-run and long-run dynamics of interest rates pass-through in the Czech Republic during period from 2004 to 2012 in its individual stages and evalute the influence of the financial crisis on it’s efficiency. Using error correction model, impulse response function and variance decomposition of individual variables we find out that long-run dynamics of interest rates on the money market can be regarded as complete, but not short-run. The process of interest rate pass-through is incomplete and sluggish in the majority of cases in the retail market. Impact of the financial crisis was reflected notably on distortions in the transmission of deposit interest rates.