Australian Bank Mortgage Price-Setting Behaviour Pre- and Post-GFC: Does International Funding Cost Matter?

Holland, Quynh Pham; Liu, Benjamin; Roca, Eduardo

doi:10.2139/ssrn.2979069

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2020

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“…Such an assessment is very closely related to the funding possibilities the banks have in foreign currencies. The international funding factor is taken into consideration by Holland et al (2017) or by Cook and Steenkamp (2018). The authors use the cost of funds approach, where the level of international funding costs is represented by foreign currency interest rates.…”

Section: Literature Reviewmentioning

confidence: 99%

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

Staniek¹

2020

Prague Economic Papers

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For successful monetary policy implementation, it is crucial to know the pricing behaviour of banks and the determinants of banks' lending rates. With the onset of the global financial crisis, markets in unsecured lending ceased to provide a reliable level of market costs, while markets in cross-currency products gained significance. The aim of this research is to gauge the extent to which the EUR-CZK cross-currency basis spread is reflected in the corporate lending rates provided by Czech banks. We discovered that just over 50% of the changes in the basis pass through to the lending rates. The greater part of this passthrough can be identified in EUR lending rates, which are, as a result, higher. In the case of CZK, the negative basis should tend to decrease the lending rates. However, the impact is fairly limited, and we were not able to confirm any significant long-run relationship.

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Section: Literature Reviewmentioning

confidence: 99%

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

Staniek¹

2020

Prague Economic Papers

View full text Add to dashboard Cite

show abstract

Australian Bank Mortgage Price-Setting Behaviour Pre- and Post-GFC: Does International Funding Cost Matter?

Cited by 1 publication

References 40 publications

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector

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