- Autor
- Miłobędzki Paweł (University of Gdansk, Poland)
- Tytuł
- The Term Structure of the Polish Interbank Rates : a Note on the Symmetry of their Reversion to the Mean
Struktura terminowa stóp procentowych na rynku depozytów międzybankowych w Polsce : uwagi o symetrii powrotu stóp do średniej - Źródło
- Dynamic Econometric Models, 2010, vol. 10, s. 83-95, rys., tab., bibliogr. 37 poz.
- Słowa kluczowe
- Rozliczenia międzybankowe, Stopa procentowa, Testowanie hipotez, Depozyt bankowy
Interbank settlements, Interest rate, Hypothesis testing, Bank deposit - Uwagi
- summ., streszcz.
- Abstrakt
- Wyniki empiryczne badania nad strukturą terminową stóp procentowych na rynku międzybankowym w Polsce upoważniają do stwierdzenia, że stopy krótka i długa dla wszystkich rozważanych par stóp WIBOR zmieniały się w zasadzie zgodnie z przewidywaniami wynikającymi z hipotezy (teorii) oczekiwań struktury terminowej. Stopy te znajdowały się w długookresowej równowadze, a ich spredy wykazywały własności kointegrujące i prognostyczne. Spośród rozważanych stóp procentowych tylko 3-miesięczna stopa WIBOR odchylała się asymetrycznie od relacji równowagi długookresowej ze stopą miesięczną. (abstrakt oryginalny)
The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothesis. They have exhibited common stochastic trends, their spreads have had cointegrating properties as well as much predictive power. Of all interest rates considered it is only a 3 month rate that has asymmetrically been reverting to the mean. (original abstract) - Dostępne w
- Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
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- Cytowane przez
- ISSN
- 1234-3862
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.12775/DEM.2010.007