|Fidrmuc, Jarko and Horváth, Roman and Horváthová, Eva (5. November 2008): Corporate Interest Rates and the Financial Accelerator in the Czech Republic. Discussion Papers in Economics 2008-23|
We analyze the determinants of the corporate interest rates and the financial accelerator in the Czech Republic. Using a unique panel of 448 Czech firms from 1996 to 2002, we find that selected balance sheet indicators influence significantly the firm-specific interest rates. In particular, debt structure and cash flow have significant effects on interest rates, while indicators on collateral play no significant role. We find evidence that monetary policy has stronger effects on smaller firms than on medium and larger firms. Finally, we find no asymmetric effects in the monetary policy over the business cycle.
|Item Type:||Paper (Discussion Paper)|
|Keywords:||Monetary policy transmission; balance sheet channel; financial accelerator; corporate interest rates.|
Economics > Munich Discussion Papers in Economics
Economics > Munich Discussion Papers in Economics > Macro-Economics
Economics > Munich Discussion Papers in Economics > Financial Markets
Economics > Munich Discussion Papers in Economics > Transition Economics
|Subjects:||300 Social sciences > 300 Social sciences, sociology and anthropology|
300 Social sciences > 330 Economics
|JEL Classification:||E43, E32, G32|
|Deposited On:||07. Nov 2008 19:56|
|Last Modified:||11. Feb 2015 21:44|
Angeloni, I.; A. Kashyap; and B. Mojon. 2003. Monetary Policy Transmission in the Euro Area, Cambridge University Press, Cambridge. Ball, L.; and G. Mankiw. 1994. “Asymmetric Price Adjustment and Economic Fluctuations.” Economic Journal 104: 247–61. Benito, A.; and J. Whitley. 2003. “Implicit Interest Rates and Corporate Balance Sheets: An Analysis Using Aggregate and Disaggregated UK Data.” Working Paper No. 193, Bank of England, London. Berg, C.; J. Hansen; and P. Sellin. 2004. “The Financial Accelerator and Corporate Investment.” Sveriges Riksbank Economic Review 2: 23-46. Bernanke, B.S.; and M. Gertler. 1989. “Agency Cost, Net Worth and Business Fluctuations.” American Economic Review 79: 14–31. Bernanke, B.S.; M. Gertler, and S. Gilchrist. 1999. “The Financial Accelerator in a Quantitative Business Cycle Framework.” in Handbook of Macroeconomics, Volume 1 (Eds.) J. Taylor and M. Woodford, North Holland, Amsterdam. Boissay, F. 2001. “Credit Rationing, Output Gap and Business Cycles.” Working Paper No. 87, European Central Bank, Frankfurt am Main. Bougheas, S.; P. Mizen; and C. Yalcin. 2006. “Access to External Finance: Theory and Evidence on the Impact of Firm-Specific Characteristics.” Journal of Banking and Finance 30: 199-227. Calstrom, C.; and T. Fuerst. 1997. “Agency Costs, Net Worth and Business Fluctuations: A Computable General Equilibrium Analysis.” American Economic Review 87: 893–910. Coricelli, F.; B. Égert; and R. MacDonald. 2006. “Monetary Transmission Mechanism: Gliding on a Wind of Change.” Discussion Paper No. 8/2006, Bank of Finland, BOFIT, Helsinki. CNB. 2005. Financial Stability Report 2005, Czech National Bank, Prague. Dhyne, E.; L. Alvarez; H. Le Bihan; G. Veronese; D. Dias; J. Hoffmann; N. Jonker; P. Lunnemann; F. Rumler; and J. Vilmunen. 2006. “Price Setting in the Euro Area: Some Stylized Facts from Individual Consumer Data.” Journal of Economic Perspectives 20: 171-192. EBRD. 2005. Transition Report 2005, Business in Transition, EBRD, London. Elbourne, A.; J. de Haan. 2006. “Financial Structure and Monetary Policy Transmission in Transition Countries.” Journal of Comparative Economics 34: 1-23. Fidrmuc, J. 2008. “Money Demand and Disinflation in Selected CEECs.” Applied Economics, forthcoming. Fidrmuc, J.; C. Hainz; and A. Malesich. 2006. “Default Rates in the Loan market for SMEs: Evidence from Slovakia.” Working Paper No. 854, William Davidson Institute, University of Michigan. Fidrmuc, J.; and I. Korhonen. 2006. “Meta-Analysis of the Business Cycle Correlation between the Euro Area and the CEECs.” Journal of Comparative Economics 34: 518-537. Gazioglu, S.; W. D. McCausland. 2008. “Interest Rates and Monetary Policy.” Applied Economics, forthcoming. Gertler, M.; and S. Gilchrist. 1993. “The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence.” Scandinavian Journal of Economics 95: 43–64. Gertler, M.; and S. Gilchrist. 1994. “Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms.” Quarterly Journal of Economics 109: 309–40. Hanousek, J.; and R. Filler. 2004. “Investment, Credit Rationing, and the Soft Budget Constraint: What Would a Well-Functioning Credit Market Look Like? Economics Letters 82: 385–90. Hampl, M.; and R. Matousek. 2000. “Credit Contraction in the Czech Republic: The Causes and Consequences.” Working Paper No. 19, Czech National Bank, Prague. Kashyap, A.; O. Lamont; and J. Stein. 1994. “Credit Conditions and the Cyclical Behavior of Inventories.” Quarterly Journal of Economics 109: 565–592. Kaufmann, S. 2002. “Is there an Asymmetric Effect of Monetary Policy over Time? A Bayesian Analysis Using Austrian Data.” Empirical Economics 27: 277–97. Kiyotaki, N.; and J. Moore. 1997. “Credit cycles.” Journal of Political Economy 105: 211–248. Konings, J.; M. Rizov; and H. Vandenbusche. 2003. “Investment and Financial Constraints in Transition Economies: Micro Evidence from Poland, the Czech Republic, Bulgaria and Romania.” Economics Letters 78: 253–8. Kotlan, V.; and D. Navratil. 2003. “Inflation Targeting as a Stabilization Tool: Its Design and Performance in the Czech Republic.” Finance a úvěr – Czech Journal of Economics and Finance 53: 220-242. Lizal, L. 1999. “Depreciation Rates in Transition Economy: Evidence from Czech Panel Data.” Prague Economic Papers 8: 261–76. Lizal, L.; and J. Svejnar. 2002. “Investment, Credit Rationing and the Soft Budget Constraint: Evidence from Czech Panel Data” Review of Economics and Statistics 84: 353–70. Mojon, B.; F. Smets; and P. Vermeulen. 2002. “Investment and Monetary Policy in the Euro Area.” Journal of Banking and Finance 26: 2111–29. Moons, C.; and A. Van Poeck. 2008. “Does One Size Fit All? A Taylor-Rule Based Analysis of Monetary Policy for Current and Future EMU Members.” Applied Economics 40: 193-199. Nerlove, M. 2002. “Properties of Alternative Estimators of Dynamic Panel Models: An Empirical Analysis of Cross-Country Data for the Study of Economic Growth.” in Essays in Panel Data Econometrics (Ed.) M. Nerlove, Cambridge University Press, Cambridge. Oliner, S.; G. Rudebush. 1996. “Is there a Broad Credit Channel of Monetary Policy?” Federal Reserve Board of San Francisco Economic Review 1: 3-13. Peersman, G.; and F. Smets. 2005. “The Industry Effects of Monetary Policy in Euro Area.” Economic Journal 115: 319–42. Pruteanu, A. 2004. “Was there Evidence for Credit Rationing in the Czech Republic?” Eastern European Economics 42: 58–72. Pruteanu-Podpiera, A. 2007. “The Role of Banks in the Czech Monetary Policy Transmission Mechanism.” Economics of Transition 15: 393-428. Roland, G.; T. Verdier. 2003. “Law Enforcement and Transition.” European Economic Review 47: 669–85. Schmitz, B. 2004. “What Role do the Banks Play in Monetary Policy Transmission in EU New Member Countries?” University of Bonn. Mimeo. Vermeulen, P. 2002. “Business Fixed Investment: Evidence of a Financial Accelerator in Europe.” Oxford Bulletin of Economics and Statistics 64: 213–31.