BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Kapuściński Mariusz (Narodowy Bank Polski; Warsaw School of Economics)
Tytuł
Monetary Policy and Financial Asset Prices in Poland
Źródło
Bank i Kredyt, 2017, nr 3, s. 263-294, aneks, bibliogr. 32 poz.
Bank & Credit
Słowa kluczowe
Polityka pieniężna, Aktywa finansowe, Ceny, Stopa procentowa, Analiza regresji
Monetary policy, Financial assets, Prices, Interest rate, Regression analysis
Uwagi
Klasyfikacja JEL: E51, G12
summ.
Firma/Organizacja

Abstrakt
The aim of this study is to investigate the effects of monetary policy on financial asset prices in Poland. Following Gürkaynak et al. (2005), I test how many factors adequately explain the variability of short- -term interest rates around meetings of the Monetary Policy Council, finding that there are two such factors. The first one has a structural interpretation as a "current interest rate change" factor and the second one as a "future interest rate changes" factor, with the latter related to monetary policy communication. Regression analysis shows that not only changes in the current interest rate but also monetary policy communication matters for government bond yields, stock prices and the exchange rate in Poland. It has important implications for the conduct of monetary policy, especially in a low inflation and low interest rate environment. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Bagliano F.C., Favero C.A. (1999), Information from financial markets and VAR measures of monetary policy, European Economic Review, 43(4-6), 825-837.
  2. Bai J., Perron P. (1998), Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47-78.
  3. Barakchian S.M., Crowe C. (2013), Monetary policy matters: evidence from new shocks data, Journal of Monetary Economics, 60(8), 950-966.
  4. Belsley D.A., Kuh E., Welsh R.E. (1980), Regression Diagnostics: Identifying Influential Data and Sources of Collinearity, John Wiley & Sons.
  5. Brzoza-Brzezina M., Kolasa M., Szetela M. (2016), Is Poland at risk of the zero lower bound?, Bank i Kredyt, 47(3), 195-226.
  6. Campbell J., Evans C., Fisher J., Justiniano A. (2012), Macroeconomic effects of Federal Reserve forward guidance, Brookings Papers on Economic Activity, 43(1), 1-80.
  7. Cenedese G., Payne R., Sarno L., Valente G. (2015), What do stock markets tell us about exchange rates?, Discussion Paper, 10685, CEPR.
  8. Cook T., Hahn T. (1988), The effect of changes in the federal funds rate target on market interest rates in the 1970s, Working Paper, 88-4, Federal Reserve Bank of Richmond.
  9. Eggertsson G., Woodford M. (2003), The zero bound on interest rates and optimal monetary policy, Brookings Papers on Economic Activity, 34(1), 139-235.
  10. Gertler M., Karadi P. (2015), Monetary policy surprises, credit costs, and economic activity, American Economic Journal: Macroeconomics, 7(1), 44-76.
  11. Gürkaynak R., Sack B., Swanson E. (2005), Do actions speak louder than words? The response of asset prices to monetary policy actions and statements, International Journal of Central Banking, 1(1), 55-93.
  12. Hansen S., McMahon M. (2016), Shocking language: understanding the macroeconomic effects of central bank communication, Journal of International Economics, 99(S1), S114-S133.
  13. Ippolito F., Ozdagli A.K., Perez-Orive A. (2013), The transmission of monetary policy through bank lending: the floating rate channel, Discussion Paper, 9696, CEPR.
  14. Janecki J. (2012), Reakcja rynkowych stóp procentowych na zmiany stopy procentowej banku centralnego w Polsce w latach 2001-2011, Materiały i Studia, 272, Narodowy Bank Polski.
  15. Krugman P. (1998), It's Baaack: Japan's slump and the return of the liquidity trap, Brookings Papers on Economic Activity, 29(2), 137-206.
  16. Kuttner K. (2000), Monetary policy surprises and interest rates: evidence from the Fed funds futures market, Journal of Monetary Economics, 47(3), 523-544.
  17. Lavoie M. (2014), Post-Keynesian Economics: New Foundations, Edward Elgar.
  18. Mishkin F.S. (2013), The Economics of Money, Banking and Financial Markets, Pearson.
  19. NBP (2014), Inflation Report - November 2014, Narodowy Bank Polski, https://www.nbp.pl/en/ publikacje/raport_inflacja/iraport_november2014.pdf.
  20. Rembeza J., Przekota G. (2008), Wpływ stóp procentowych na wartość indeksu giełdowego WIG, Bank i Kredyt, 39(8), 62-69.
  21. Rozkrut M. (2008), It's not only WHAT is said, it's also WHO the speaker is. Evaluating the effectiveness of central bank communication, Working Paper, 47, Narodowy Bank Polski.
  22. Serwa D. (2006), Do emerging financial markets react to monetary policy announcements? Evidence from Poland, Applied Financial Economics, 16(7), 513-523.
  23. Serwa D., Smolińska-Skarżyńska A. (2004), Reakcje kursu walutowego na zmiany poziomu stóp procentowych. Analiza zdarzeń dla danych dziennych, Bank i Kredyt, 35(1), 80-91.
  24. Serwa D., Szymańska M. (2004), Reakcje rynków finansowych na szoki w polityce pieniężnej, Bank i Kredyt, 35(6), 16-31.
  25. Svirydzenka K. (2016), Introducing a new broad-based index of financial development, IMF Working Paper, 16/5, International Monetary Fund.
  26. Velicer W. (1976), Determining the number of components from the matrix of partial correlations, Psychometrika, 41(3), 321-327.
  27. Wesołowski G. (2016), Do long term interest rates drive GDP and inflation in small open economies? Evidence from Poland, Working Paper, 242, Narodowy Bank Polski.
  28. Włodarczyk T. (2008), Wpływ wypowiedzi i komentarzy członków Rady Polityki Pieniężnej na krzywą dochodowości. Badanie półsilnej efektywności informacyjnej rynku kontraktów FRA i swapów procentowych, Bank i Kredyt, 39(2), 43-59.
  29. Woodford M. (2012), Methods of policy accommodation at the interest-rate lower bound, Economic Policy Symposium Proceedings, Federal Reserve Bank of Kansas City, Jackson Hole.
  30. Wooldridge J.M. (2009), Introductory Econometrics. A Modern Approach, South-Western.
  31. Zachłod-Jelec M. (2010), Interrelations between consumption and wealth in Poland, Central European Journal of Economic Modelling and Econometrics, 2(1), 37-58.
  32. Zwick W., Velicer W. (1986), Factors influencing five rules for determining the number of components to retain, Psychological Bulletin, 99(3), 432-442.
Cytowane przez
Pokaż
ISSN
0137-5520
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu