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Author
Maciaszczyk Marcin (Szkoła Główna Handlowa w Warszawie, doktorant)
Title
Znikający rynek stawek WIBOR : efekt zmian regulacyjnych dla wyceny stóp rynku międzybankowego w Polsce
Shrinking Underlying Market of WIBOR Rates : the Effect of Regulatory Changes on the Interbank Rates Determination in Poland
Source
Bank i Kredyt, 2018, nr 3, s. 217-252, aneks, bibliogr. 48 poz.
Bank & Credit
Keyword
Stopa procentowa, Pożyczki bankowe, Rynek międzybankowy, Premia za ryzyko, Wyniki badań, Kryzys finansowy
Interest rate, Bank loans, Interbank market, Risk premium, Research results, Financial crisis
Note
JEL Classification: E43, G18, G21
streszcz., summ.
Abstract
Okres po kryzysie finansowym to czas zanikającej aktywności na rynku pożyczek międzybankowych w Polsce. Zjawisko to miało swoje odzwierciedlenie w obserwowanym zachowaniu stóp WIBOR, szczególnie w latach 2015-2017. Odnotowano wtedy niemal zerową zmienność i brak zróżnicowania między kwotowaniami, które uczestnicy panelu deklarują w procesie fixingu stawek. Przyczynę stanowiły zmiany w otoczeniu regulacyjnym, które zredukowały ekonomiczny sens zawierania transakcji na rynku międzybankowym i wpłynęły na model finansowania banków. W celu zbadania zmian we wzorcu wyceny stopy procentowej oszacowano modele efektów mieszanych dla dekompozycji spreadu stawek WIBOR 3M i stopy referencyjnej NBP, w dwóch okresach: 2010-2014 i 2015-2017. Wyniki dowiodły zaniku zróżnicowania reakcji stawek banków w latach 2015-2017. W przeciwieństwie do wcześniejszego okresu rozkłady parametrów wrażliwości spreadu na zmiany premii za ryzyko cechowało skupienie wokół wartości oczekiwanej. Uczestników panelu nie różnił sposób wyceny stawek na rynku pieniężnym, mimo niejednorodnej pozycji płynnościowej i kapitałowej. Z uwagi na brak faktycznie zawieranych transakcji kwotowania miały w dużej mierze charakter ekspercki. (abstrakt oryginalny)

After the financial crisis, the Polish interbank lending market experienced a gradual deterioration in activity. It was reflected in the observed behavior of WIBOR rates, particularly in the years 2015-2017. The quotations, submitted by the panel banks during the fixing, exhibited a near zero volatility and slight differentiation. It was mainly caused by the regulatory developments which reduced economic incentives to enter into transactions in the interbank market and affected banks' funding model. In order to examine possible changes in the interest rate determination process, mixed-effects models for the decomposition of the spread between WIBOR 3M rate and the NBP reference rate were estimated for two periods: 2010-2014 and 2015-2017. The results show that the bank rates reactions to market factors ceased to differ significantly in 2015-2017. Contrary to the previous period, the distribution of the parameter describing the spread sensitivity to changes in the risk premium was concentrated around its expected value. The contributing banks did not differ in terms of interest rate determination process in the money market despite the heterogeneous liquidity and regulatory capital position. Due to the lack of actual transactions, quotations were largely determined by expert judgment. (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
pol
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