The hysteresis erosion of the discount rate control potential in CR conditions – behavioral solution

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.příspěvek interdisciplinární povahy je věnován modelování úrokových rizik na strategické úrovni bankovního systému ČR. Model bere v úvahu vazby mnezi centrální bankou (diskontní sazba) a komerčními bankami (tržní úroková míra). Cílem příspěvku je presentovat a vysvětlit mechanismus ztráty diskontní sazby jako akční veličiny v procesu regulace tržní úrokové míry. Příčinou diskutované ztráty je nelinearita typu hystereze, kterou trpí bankovní bankovní systém ČR jako celek. Naproti tomu soustava komerčních bank sama o sobě funguje jako lineární systém (statická charakteristika). Originalita příspěvku spočívá hlavně ve skutečnosti, že primárně kybernetický problém (selhání zpětnovazebního systému) je řešen s využitím metodologie behaviorálních financí.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