Institute of Information Theory and Automation

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Bibliography

Journal Article

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

Derviz Alexis

: Focus on Transition, p. 30-66

: AV0Z1075907

(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.

: 05D, 12B

: AH

2019-01-07 08:39