Since 2014
The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
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| Creator |
Miłobędzki, Paweł; University of Gdańsk
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| Subject |
term structure of interest rates, expectations hypothesis, asymmetric adjustment, TVECM, Polish interbank market, Warsaw Interbank Offered Rates
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| Description |
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.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2010-07-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.007
10.12775/DEM.2010.007 |
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| Source |
Dynamic Econometric Models; Vol 10 (2010); 83-95
Dynamic Econometric Models; Vol 10 (2010); 83-95 2450-7067 1234-3862 |
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