Monetary transmission and asset-liability management by financial institutions in transitional economies. Implications for the Czech monetary policy

0410365 20240103182208.720060210235959.9 Monetary transmission and asset-liability management by financial institutions in transitional economies. Implications for the Czech monetary policy 37 s. Focus on Transition30-66 cav_un_auth*0101079 Derviz Alexis UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. 05D 12B AV0Z1075907 The paper studies a model of portfolio optimization by a financial institution in discrete time under uncertainty, with explicit distinct preferences for liquidity at every date in the future. The solution of the model and the resulting equilibrium implies a particular relation of the lending rate to the zero-coupon yield curve. Further, equilibrium pricing rules for bonds, swaps and corporate claims explain ambiguous impacts on this economy, of the key rate changes by the central bank. AH E http://hdl.handle.net/11104/0130454 UTIA-B 20000081 2000 Focus on Transition č. 1 2000 30 66