- Author
- Czapla Ewa (Politechnika Koszalińska)
- Title
- Testowanie przyczynowości pomiędzy krótkoterminowymi stopami procentowymi w Polsce, USA i strefie euro
Causality Analysis between Polish, U.S. and Eurocurrency Short-Term Interest Rates - Source
- Acta Universitatis Nicolai Copernici. Nauki Humanistyczno-Społeczne. Ekonomia, 2009, t. 39, s. 227-236, tab., wykr., bibliogr. 15 poz.
- Issue title
- Dynamiczne modele ekonometryczne
- Keyword
- Stopa procentowa, Przyczynowość, Strefa euro
Interest rate, Causality, Eurozone - Country
- Stany Zjednoczone Ameryki, Polska
United States of America (USA), Poland - Abstract
- W artykule podjęto próbę zbadania przyczynowości w sensie Grangera dla jedno-, trzy- i sześciomiesięcznych stóp procentowych Polski, USA i strefy euro. Wykorzystano metodę Toda-Yamamoto, pozwalającą badać przyczynowość dla szeregów skointegrowanych. W badaniach integracji i kointegracji zmiennych zastosowano rozszerzony test Dickey'a-Fullera i test Phillipsa-Perrona oraz metodę Johansena. Uzyskane wyniki sugerują, że polski rynek stóp procentowych wykazuje długookresowy związek z rynkiem strefy euro; nie stwierdzono natomiast zależności przyczynowej od rynku USA. (abstrakt oryginalny)
The main objective for this paper is to study the causal link between Polish, U.S. and Eurocurrency short-term interest rates. The paper studies the direction of causality between two variables, based on Toda and Yamamoto's Granger test which allows Granger test in an integrated system. The paper employes the one-, three- and six-month interest rates of Poland, U.S. and Eurocurrency market and tests the weekly versions of these series. The studied period is 01.01.2003-22.07.2008. The findings indicate that the eurocurrency interest rate is the Granger cause of the Polish interest rate and not vice versa. Further the eurocurrency interest rate is the Granger cause of the U.S. interest rate; there is the causal interaction between three-month rates only. (original abstract) - Full text
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- Bibliography
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- Cited by
- ISSN
- 2080-0339
- Language
- pol