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Author
Miłobędzki Paweł (University of Gdansk, Poland)
Title
The Term Structure of LIBOR Sterling Rates
Struktura terminowa stóp LIBOR dla funta brytyjskiego
Source
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu. Nauki o Finansach (5), 2010, nr 138, s. 88-102, rys., tab., bibliogr. 33 poz.
Research Papers of Wrocław University of Economics. Financial Sciences
Keyword
Stopa procentowa, LIBOR (London Interbank Offered Rate), Model wektorowej autoregresji
Interest rate, LIBOR (London Interbank Offered Rate), Vector Autoregression Model (VAR)
Note
streszcz., summ.
Abstract
W artykule przedstawione są wyniki badania poświęconego strukturze terminowej stóp LIBOR (London Interbank Offered Rates) dla depozytów w funcie szterlingu. Badanie oparte jest o trójwymiarowy model VAR, którego poszczególne równania odzwierciedlają spred stóp procentowych (yield spraed), zmianę stopy zwrotu dla depozytu o krótszej zapadalności (change in the short rate) oraz nadwyżkową, okresową stopę zwrotu (excess holding period yield). W estymacji i weryfikacji modelu wykorzystano miesięczne szeregi czasowe stóp procentowych dla depozytów o zapadalnościach jednego, trzech, sześciu oraz dwunastu miesięcy z okresu od stycznia 1978 do czerwca 2009 roku, udostępnione przez Bank Anglii. Wyniki empiryczne dla rozważanych zapadalności wskazują na to, że spred stóp procentowych ma duże zdolności predykcyjne w odniesieniu do zmiany stopy zwrotu z depozytów jednomiesięcznych. Nie dają też podstaw do odrzucenia hipotezy głoszące stałość w czasie premii płynności. Pozwalają one także twierdzić, że niespodziewane zmiany bieżących, jednomiesięcznych zwrotów z depozytów dla wszystkich zapadalności są w całości spowodowane zmianą oczekiwań uczestników rynku w stosunku do przyszłych stóp jednomiesięcznych, nie są natomiast spowodowane zmianą ich oczekiwań odnoszących się do przyszłych premii płynności. (abstrakt oryginalny)

A three-variable VAR including the yield spread, the change in the short rate and the excess holding period yield is used to test for the validity of rational expectations hypothesis of the LIBOR sterling rates term structure. In doing so the monthly series of one, three, six and twelve month LIBORs from the period January 1978 - June 2009 are utilized, all supplied by the Bank of England. The main findings from the analysis include these that for all maturities considered the yield spread Granger causes future changes in the one month rate, the term premia are not time-varying, and variation in the unexpected returns is due to news about the future one month rates and not due to news about the future term premia. (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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Bibliography
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ISSN
1899-3192
2080-5993
Language
eng
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