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Open Economies Review

, Volume 26, Issue 3, pp 407–445 | Cite as

Monetary Conditions and Banks’ Behaviour in the Czech Republic

  • Adam Geršl
  • Petr Jakubik
  • Dorota Kowalczyk
  • Steven Ongena
  • José-Luis Peydró
Research Article

Abstract

This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At the same time, a lower interest rate during the life of a loan reduces its riskiness. While seeking to assess the association between banks’ appetite for risk and the short-term interest rate we answer a set of questions related to the difference between higher liquidity versus credit risk and the effect of the policy rate conditioned on bank and borrower characteristics.

Keywords

Business cycle Credit risk Financial stability Lending standards Monetary policy Risk-taking 

JEL Classification

E5 E44 G21 

Notes

Acknowledgments

This work was supported by the Czech National Bank (Research Project No. C4/2009) and the Grant Agency of the Czech Republic (projects GA CR No. 14-02108S and No. P402/12/G097). The authors thank Dana Hájková, Štěpán Jurajda, Xavier Freixas and two anonymous referees for useful comments, and Josef Brechler and Thomas Mitterling for excellent assistance. The opinions expressed in this article are only those of the authors and do not represent the official views of the institutions with which the authors are affiliated.

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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  • Adam Geršl
    • 1
    • 2
    • 3
  • Petr Jakubik
    • 2
    • 3
    • 4
  • Dorota Kowalczyk
    • 5
    • 6
  • Steven Ongena
    • 7
    • 8
    • 9
  • José-Luis Peydró
    • 9
    • 10
    • 11
    • 12
  1. 1.Joint Vienna InstituteViennaAustria
  2. 2.Czech National BankPragueCzech Republic
  3. 3.Institute of Economic StudiesCharles University in PraguePragueCzech Republic
  4. 4.European Insurance and Occupational Pensions Authority (EIOPA)Frankfurt am MainGermany
  5. 5.CERGE-EI, a joint workplace of Charles University and the Economics Institute of the Academy of Sciences of the Czech RepublicPragueCzech Republic
  6. 6.RANEPAMoscowRussia
  7. 7.University of ZurichZurichSwitzerland
  8. 8.Swiss Finance InstituteZurichSwitzerland
  9. 9.CEPRLondonUK
  10. 10.ICREA and CREIUniversitat Pompeu FabraBarcelonaSpain
  11. 11.Cass Business SchoolCity UniversityLondonUK
  12. 12.Barcelona Graduate School of EconomicsBarcelonaSpain

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