BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Dziwok Ewa (University of Economics in Katowice, Poland)
The Impact of Non-Conventional Monetary Policy of NBP on Short Term Money Market
Journal of Economics & Management / University of Economics in Katowice, 2015, nr 21, s. 102-109, tab., bibliogr. 20 poz.
Słowa kluczowe
Banki centralne, Polityka pieniężna NBP, Rynek pieniężny
Central banks, NBP monetary policy, Money market
In the situation of financial crisis large numbers of central banks have started to ease monetary conditions. The National Bank of Poland, following central banks of biggest economies, started to offer unconventional methods to increase liquidity: foreign exchange swaps. The aim of the paper is twofold: to calculate the risk premium understood as a difference between an implied forward rate and a reference rate. The second is to show the sensitivity of the risk premium (a difference between) to market disturbances and than to monetary policy easing.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
  1. Allen W.A. (2014): International Liquidity and the Financial Crisis. Cambridge University Press, Cambridge.
  2. Bernanke B.S., Laubach T., Mishkin F.S., Posen A.S. (1999): Inflation Targeting: Lessons from the International Experience. Princeton. Princeton University Press, New York.
  3. Bernanke B.S., Woodford M. (2005): The Inflation-Targeting Debate. National Bureau of Economic Research Studies in Business Cycles, Chicago.
  4. Choudhry M. (2002): An Introductory Guide to Analyzing and Interpreting the Yield Curve. In: Interest Rate, Term Structure and Valuation Modelling. Ed. F.J. Fabozzi. John Wiley & Sons, Hoboken, p. 73-92.
  5. Cox, J., Ingersoll, J., Ross S. (1985): A Theory of the Term Structure of Interest Rates. "Econometrica", No. 53, p. 385-407.
  6. ECB (2006): The Predictability of the ECB's Monetary Policy. "Monthly Bulletin", No. 1.
  7. Fama E. (1984): The Information in the Term Structure. "Journal of Financial Economics", 13, p. 509-528.
  8. Fisher M., Nychka D., Zervos D. (1995): Fitting the Term Structure of Interest Rates with Smoothing Splines. Federal Reserve Board Finance and Economics Discussion Series, Working Paper, p. 95-1.
  9. Goodfriend M. (1998): Using the Term Structure of Interest Rates for Monetary Policy. "Federal Reserve Bank of Richmond Economic Quarterly", Vol. 84/3.
  10. James J., Webber N. (2000): Interest Rate Modelling. John Wiley & Sons, Chichester.
  11. Martellini L., Priaulet P., Priaulet S. (2003): Fixed-income Securities. John Wiley & Sons Ltd, Chichester.
  12. McCulloch J.H. (1975): The Tax-adjusted Yield Curve. "Journal of Finance", Vol. 30, p. 811.
  13. Mishkin F.S. (2007): Monetary Policy Strategy. MIT Press Books.
  14. Modigliani F., Sutch R. (1966): Innovation in Interest Rate Policy. "American Economic Review" Vol. 56, p. 178-197.
  15. Monetary Policy Committee, Bank of England (1999): The Transmission Mechanism of Monetary Policy. "Quarterly Bulletin", May, p. 3-4.
  16. Nawalkha S.K., Soto G.M., Beliaeva N.A. (2005): Interest Rate Risk Modeling. John Wiley & Sons, Hoboken.
  17. Nelson C.R., Siegel A.F. (1987): Parsimonious Modelling of Yield Curves. "Journal of Business", Vol. 60, No. 4, p. 473-489.
  18. Svensson L.E.O. (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994. NBER Working Paper Series, No. 4871.
  19. Tuckman B. (2002): Fixed Income Securities. 2nd ed., John Wiley & Sons, Hoboken.
  20. Waggoner D. (1997): Spline Methods for Extracting Interest Rates from Coupon Bond Prices. Federal Reserve Bank of Atlanta Working Paper, p. 97-10
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu