BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Przekota Grzegorz (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie), Waściński Tadeusz (Politechnika Warszawska), Sobczak Lidia (Politechnika Warszawska)
Tytuł
Reaction of the Interest Rates in Poland to the Interest Rates Changes in the USA and Euro Zone
Źródło
Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego, 2011, vol. 12(XII), nr 1, s. 125-133, tab., bibliogr. 8 poz.
Quantitative Methods in Economics
Słowa kluczowe
Stopa procentowa, Strefa euro, Kointegracja, Model korekty błędem
Interest rate, Eurozone, Cointegration, ECM model (Error-Correction Model)
Uwagi
summ.
Abstrakt
Behavior of interest rates is of key importance for understanding the functioning of an open economy. The simplest models usually assume equal interest rates in individual countries, while the international arbitrage serves as a mechanism of their equalization. In our study an attempt has been made to determine whether and to what extend the interest rates in the Polish market are linked to the USA and the euro zone exchange rates. The analyses have been carried out for rates of different maturity terms, using the integration and co-integration concept. The analyses indicate that differences between the Polish interest rates, and those in the USA and the euro zone have strongly diminished. Cointegration analyses show the existence of a long-term linkages between the domestic and foreign interest rates, in particular with those in the euro zone. The nature of co-integrating relationships was different in the period 2001-2004 as compared with that after 2004, when we see a stronger impact of the euro zone rates than those of the USA. It may be assumed that the Polish accession to the EU had certain influence in the change of the above mentioned relationships. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Beenstock M., Longbotom J. (1981) The term structure of interest rates in a small open economy. Journal of Money. Credit and Banking. 13.
  2. Ewing B.T., Payne J.E., Forbes S.M. (1998) Co-movements of the prime rate. cd rate. And the S&P financial stock index. Journal of Financial Research. 21.
  3. Kleimeier S., Sander H. (2000) Regionalisation versus globalisation in European financial market integration: evidence from cointegration analyses. Journal of Banking and Finance. 24.
  4. Mishkin F. (1984) Are real interest rates equal across countries? An empirical investigation of international parity conditions. Journal of Finance. 39.
  5. Moosa I.A., Bhatti R.H. (1994) Testing the effectiveness of arbitrage and speculation under flexibile exchange rates. Economica Internazionale. 47.
  6. Quiro-Romero G., Sosvilla-Rivero S. (1997) Do short-term rates influence long-term interest rates? Empirical evidence from some EMS countries. Applied Economics Letters. 4.
  7. Sasaki H., Yamaguchi S., Takamasa H. (2000) The globalisation of financial markets and monetary policy. BIS Conference Papers no.8.
  8. Waller E., Kiymaz H. (2004) Cointegration between international short-term interest rates. Journal of Accounting and Finance Research. 6.
Cytowane przez
Pokaż
ISSN
2082-792X
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu