What drives the POLONIA spread in Poland? /

Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of t...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lu, Yinqiu (Autor)
Autor Corporativo: International Monetary Fund. European Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2012.
Colección:IMF working paper ; WP/12/215.
Temas:
Monetary policy > Poland.
Monetary policy > Poland > Econometric models.
Banks and banking, Central > Poland.
Banks and banking, Central > Poland > Econometric models.
Politique monétaire > Pologne.
Politique monétaire > Pologne > Modèles économétriques.
Banques centrales > Pologne.
Banques centrales > Pologne > Modèles économétriques.
BUSINESS & ECONOMICS > Finance.
Banks and banking, Central
Banks and banking, Central > Econometric models
Monetary policy
Monetary policy > Econometric models
Poland
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References.

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