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Author
Kapuściński Mariusz (Narodowy Bank Polski; Warsaw School of Economics)
Title
Monetary Policy and Financial Asset Prices in Poland
Source
Bank i Kredyt, 2017, nr 3, s. 263-294, aneks, bibliogr. 32 poz.
Bank & Credit
Keyword
Polityka pieniężna, Aktywa finansowe, Ceny, Stopa procentowa, Analiza regresji
Monetary policy, Financial assets, Prices, Interest rate, Regression analysis
Note
JEL Classification: E51, G12
summ.
Abstract
The aim of this study is to investigate the effects of monetary policy on financial asset prices in Poland. Following Gürkaynak et al. (2005), I test how many factors adequately explain the variability of short- -term interest rates around meetings of the Monetary Policy Council, finding that there are two such factors. The first one has a structural interpretation as a "current interest rate change" factor and the second one as a "future interest rate changes" factor, with the latter related to monetary policy communication. Regression analysis shows that not only changes in the current interest rate but also monetary policy communication matters for government bond yields, stock prices and the exchange rate in Poland. It has important implications for the conduct of monetary policy, especially in a low inflation and low interest rate environment. (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
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ISSN
0137-5520
Language
eng
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