Meziměnová úroková báze a její transmise do klientských úrokových sazeb

The cross-currency interest rate basis, together with the effects of foreign interest rates, are new factors in the channels of monetary policy that deserve our attention. The basis has an impact via trading in currency swaps, which remain the only liquid instruments on the Czech crown interbank market which can be used for trades with longer maturities too. During the first stage of the pass-through analysis, we evaluated what impact the key central bank interest rate has on the level of market rates. As far as conventional rates are concerned, i.e. the reference rates (PRIBOR) and rates of interest swaps (IRS), the level of pass-through is very satisfactory throughout the period analyzed. The cross-currency basis appears to be independent of the setting of the repo rate, and thus the pass-through of the repo rate to the implied rates of currency swaps is in all cases weaker than it is in the case of conventional rates. However, as far as market yields of government bonds are concerned, the cross-currency basis provides substantial additional information which, together with the development of the repo rate, can, to a large extent, explain the changes in the bond yields. During the second stage, we examined the linkage between the rates on products provided by local banks and the interbank market rates. The best coherence with the market rates was identified in the case of mortgage loans and loans provided to non-financial corporations. However, the impact of the cross-currency basis can be observed only for the latter category of loans. In the case of smaller corporate loans in Czech crowns, the basis contributes to an overall lower final client rate, while in the case of larger loans, the basis impacts on loans in both currencies (euro and crown). However, the impact on euro rates, which are, as a result, higher, is more apparent. It seems that larger corporations are actively trying to achieve the most competitive financing, and to do so they make use of the option of drawing loans in euro and swapping them into Czech crowns using currency swaps. As a result, demand for euro loans is growing, which could, in the end, weaken the influence the central bank has on developments in the domestic economy, as both factors involved (euro rates and the value of the cross-currency basis) are autonomous in nature.