Uloga i razvoj referentnih kamatnih stopa u europodručju

master's thesis

• Title (english): Role and development of reference interest rates in euro area
• Author: Iva Kožul
• Mentor: Denis Dolinar (mentor)
• Committee member: Ena Pecina (predsjednik povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2023-01-31, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Economics of Entrepreneurship

Abstract

Referentne kamatne stope važne su i korisne u podržavanju financijske stabilnosti i funkcioniranju financijskih tržišta. Nakon otkrivenih manipulacija referentnim kamatnim stopama za vrijeme globalne financijske krize 2008. godine, uslijedile su duboke reforme metodologije. Prije reformi se izračun referentnih kamatnih stopa temeljio na procijenjenim ponudbenim kamatnim stopama panel banaka na neosigurane depozite na međubankovnom tržištu, dok se danas slijedi hibridna metodologija kojoj su temelj realizirane transakcije panel banaka. Međutim, zbog pada aktivnosti na europskom neosiguranom i međubankovnom tržištu novca i visoke ovisnosti o doprinosu panel banaka u metodologiji izračuna, pojavila se inicijativa za identifikacijom i preporukom alternativnih stopa gotovo bez rizika nerizičnih kamatnih stopa koje bi mogle poslužiti kao alternativa trenutnim referentnim vrijednostima u europodručju. Takve alternativne stope gotovo bez rizika bile bi usidrene na aktivnim i likvidnim tržištima. Iako se u Republici Hrvatskoj, zbog nedovoljne razvijenosti tržišta novca, još nije razvila takva inicijativa, potencijalan budući razvoj alternativnih kamatnih stopa doprinio bi porastu transparentnosti i standardizaciji financijskih tržišta.
U praktičnom dijelu se metodama deskripcije i kompilacije objašnjavaju uvjeti i izazovi na globalnim financijskim tržištima koji su doveli do bitnih reformi referentnih kamatnih stopa. Nakon toga se pregledavaju aktivnosti na hrvatskom i europskom tržištu novca i metodama deskripcije i komparacije objašnjava metodologija izračuna ključnih referentnih kamatnih stopa tih tržišta. Analizom statističkih podataka i publikacija važnih relevantnih institucija se iznose podaci o dosadašnjim kretanjima kamatnih stopa. U konačnici, induktivnim i deduktivnim metodama dolazi se do zaključaka o potrebi i pozitivnim učincima uvođenja alternativnih referentnih kamatnih stopa.

Abstract (english)

Reference interest rates play an important role in supporting financial stability and optimal functioning of financial markets. After manipulation scandal during the global financial crises in 2008., profound reforms of the methodology followed. Before reforms, calculation of reference interest rates was based on the offered interest rates on unsecured deposits in interbank market. Nowadays, hybrid calculation methodologies based on actual transactions of selected banks are used. However, due to decreased unsecured and interbank activity on euro money market and high sensitivity of the methodology on the contribution of panel banks, the need for additional improvement appeared. Near – Risk free interest rates that could serve as an alternative to current reference values in the euro area were identified and recommended. Those near – Risk Free Rates would be created on active and liquid money markets. Although such initiative has not yet been developed in Croatia, possibility of its development could positively affect transparency and market standardization.
In the practical part of the paper, the conditions and challenges in the global financial markets that led to important reforms of reference interest rates are explained using methods of description and compilation. An overview of Croatian and euro money markets follows. With comparative method, calculation methodologies of the key reference interest rates of those markets are be explained. Based on statistical data and publications of important relevant institutions, review and analysis of the past interest rates movements are given. In the end, inductive and deductive methods are used to reach conclusions about the need and positive effects of introducing alternative reference interest rates.

• Keywords: referentna kamatna stopa; tržište novca; EURIBOR; ESTR; NRS; alternativne referentne kamatne stope
• Keywords (english): reference interest rate; money market; EURIBOR; ESTR; NRS; alternative reference interest rates
• Language: croatian
• URN:NBN: urn:nbn:hr:148:501433
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Created on: 2023-02-01 17:40:49