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Author
Miłobędzki Paweł
Title
O regresyjnych sposobach weryfikacji hipotezy oczekiwań struktury terminowej stóp procentowych na rynkach depozytów międzybankowych w Polsce
Regression Tests of the Expectations Hypothesis of the Polish Interbank Term Structure
Source
Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego, 2008, nr 4, s. 67-84, bibliogr. 54 poz., Załącznik
Keyword
Rynek depozytów, Stopa procentowa, Szeregi czasowe, Testowanie hipotez, Analiza regresji, Struktura terminowa stóp procentowych
Deposit market, Interest rate, Time-series, Hypothesis testing, Regression analysis, Term structure of interest rates
Note
summ.
Abstract
Przedstawiono wyniki badań nad strukturą terminową rynku międzynarodowego prowadzonego w oparciu o podejście regresyjne. W modelowaniu wykorzystano zmiany stóp krótko- i długookresowych. Sformułowano hipotezę oczekiwań struktury terminowej stóp procentowych oraz zaprezentowano sposoby jej weryfikacji w oparciu o podejście regresyjne. Przedstawiono sprawozdanie wyników testowania hipotezy oczekiwań na polskim rynku depozytów międzybankowych.

The paper reports the results of testing for the expectations hypothesis of the term structure of interest rates at the Polish interbank market. Using weekly data on the whole spectrum of maturities from the period January 1999-December 2006 it is demonstrated that the null stating the slope equals unity in the regressions of the perfect foresight spread and the change in long rate on the actual spread is accepted for the shorter end of the term structure, and it is rejected for the longer end. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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ISSN
1732-1565
Language
pol
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