KALOUDA, František. The hysteresis erosion of the discount rate control potential in CR conditions – behavioral solution. In Ing. Miroslav Čulík, Ph.D. Managing and Modelling of Financial Risks (Řízení a modelování finančních rizik). Ostrava, ČR: VŠB - Technická universita Ostrava, 2014. p. 329-335. ISBN 978-80-248-3631-7.
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Basic information
Original name The hysteresis erosion of the discount rate control potential in CR conditions – behavioral solution
Name in Czech Hysterezní eroze regulačního potenciálu diskontní sazby v podmínkách ČR - behaviorální řešení
Name (in English) The hysteresis erosion of the discount rate control potential in CR conditions – behavioral solution
Authors KALOUDA, František (203 Czech Republic, guarantor, belonging to the institution).
Edition Ostrava, ČR, Managing and Modelling of Financial Risks (Řízení a modelování finančních rizik), p. 329-335, 7 pp. 2014.
Publisher VŠB - Technická universita Ostrava
Other information
Original language Czech
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/14:00077131
Organization unit Faculty of Economics and Administration
ISBN 978-80-248-3631-7
Keywords (in Czech) Modelování - diskontní sazba - hysterezní eroze - regulační potenciál - behaviorální finance
Keywords in English Modeling-discount rate-hysteresis erosion-regulating potential-behavioral finance.
Tags International impact, Reviewed
Changed by Changed by: Ing. František Kalouda, CSc., MBA, učo 2461. Changed: 11. 5. 2015 15:37.
Abstract
The paper of interdisciplinary nature is focused to the modeling of interest rate risk at the strategic level of the banking system of the Czech Republic, taking into account the relations between the central bank (discount rate) and commercial banks (market interest rates). The aim of this paper is to present and explain the loss mechanism of control potential of the discount rate as the manipulated variable (u(t)) in process of the market interest rate regulation. The cause of the discussed loss is hysteresis-type nonlinearity, which the Czech banking system has exhibited, while the commercial banks themselves act as linear subsystem (static characteristics). The novelty of the paper consist mainly in the fact, that primarily cybernetic problem (failure of feedback control system) is solved by using the methodology of the behavioral finance.
Abstract (in English)
The paper of interdisciplinary nature is focused to the modeling of interest rate risk at the strategic level of the banking system of the Czech Republic, taking into account the relations between the central bank (discount rate) and commercial banks (market interest rates). The aim of this paper is to present and explain the loss mechanism of control potential of the discount rate as the manipulated variable (u(t)) in process of the market interest rate regulation. The cause of the discussed loss is hysteresis-type nonlinearity, which the Czech banking system has exhibited, while the commercial banks themselves act as linear subsystem (static characteristics). The novelty of the paper consist mainly in the fact, that primarily cybernetic problem (failure of feedback control system) is solved by using the methodology of the behavioral finance.
Links
ROZV/24/ESF/2014, interní kód MUName: Stimulace VaV výkonu Ekonomicko-správní fakulty v rámci IRP 2014
Investor: Ministry of Education, Youth and Sports of the CR
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