| bibtype |
J -
Journal Article
|
| ARLID |
0410365 |
| utime |
20240103182208.7 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Monetary transmission and asset-liability management by financial institutions in transitional economies. Implications for the Czech monetary policy |
| specification |
|
| serial |
| title
|
Focus on Transition |
| page_num |
30-66 |
|
| author
(primary) |
| ARLID |
cav_un_auth*0101079 |
| name1 |
Derviz |
| name2 |
Alexis |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
05D |
| COSATI |
12B |
| cas_special |
| research |
AV0Z1075907 |
| abstract
(eng) |
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. |
| RIV |
AH |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0130454 |
| ID_orig |
UTIA-B 20000081 |
| arlyear |
2000 |
| mrcbU63 |
Focus on Transition č. 1 2000 30 66 |
|