MUTUAL ADAPTATION OF INTEREST RATES ON THE MONEY MARKET

MUTUAL ADAPTATION OF INTEREST RATES ON THE MONEY MARKET

 

Abstract: Along with the process of globalization, interest rates have become a significant benchmark for the effectiveness of banking policies in the money market. In this regard, the focus of the research is the interdependence of central bank interest rates and interest rates on the interbank money market (EONIA, EURIBOR, LIBOR SONIA and OIS). The paper analyzes the movement of reference interest rates and their variability over time, depending on the effect that the monetary authorities want to achieve. Interest rates on interbank money market and interdependence in the movements of interest rates in the period from 2006 till 2016 have been examined and a positive correlation between them was found. In contrast, the reference interest rates of the leading central banks were moving in line with the monetary authorities’ objectives, so the movements had different directions.

During the observed period, the Central Bank of Bosnia and Herzegovina adjusted the interest rates on the financial markets of euro denominated instruments and yields. The correlation between the interest rates of the European Central Bank for the main refinancing operations and the average weighted interest rate of the Central Bank of Bosnia and Herzegovina is justified by the use of the currency board in Bosnia and Herzegovina.

Keywords: interest rates, money market, LIBOR, EURIBOR, EONIA.

Apstrakt: Sa procesom globalizacije kamata postaje značajan referentni pokazatelj djelotvornosti politike banaka na tržištu novca. Stim u vezi fokus istraživanja su međuzavisnost kamatne stope centralne banke i kamatnih stopa međubankarskog tržišta novca (EONIA, EURIBOR, LIBOR SONIA i OIS). Rad analizira kretanje referentnih kamatnih stopa i njihovu promjenjivost kroz vrijeme u zavisnosti od efekta koji monetarne vlasti žele postići. Na bazi istraženih rezultata proučena je i međuzavisnost u kretanju kamatnih stopa međubankarskog tržišta novca u period od 2006-2016. godine I utvrđena njihova pozitivna korelacija. Na suprot tome, referentne kamatne stope vodećih centralnih banaka su se kretale u skladu sa ciljevima monetrnih vlasti, tako da su i kretanja imala različite smjerove.

Centralna banka BiH se tokom posmatranog perioda prilagođavala izmjenjenim kamatnim stopama na finansijskim tržištima instrumenata denominovanih u evro i stopama prinosima. Korelacija između kamatne stope Evropske centralne banke za glavne operacije refinansiranja i prosječne ponderisane kamatne stope centralne banke BIH se opravdava prisustvom valutnog odbora.

Ključne riječi: kamatnestope, tržišta novca, LIBOR, EURIBOR, EONIA.