O regresyjnych sposobach weryfikacji hipotezy oczekiwań struktury terminowej stóp procentowych na rynkach depozytów międzybankowych w Polsce

• Autorzy: Paweł Miłobędzki

Warianty tytułu

Regression Tests of the Expectations Hypothesis of the Polish Interbank Term Structure

• Języki publikacji: PL

Abstrakty

Przedstawiono wyniki badań nad strukturą terminową rynku międzynarodowego prowadzonego w oparciu o podejście regresyjne. W modelowaniu wykorzystano zmiany stóp krótko- i długookresowych. Sformułowano hipotezę oczekiwań struktury terminowej stóp procentowych oraz zaprezentowano sposoby jej weryfikacji w oparciu o podejście regresyjne. Przedstawiono sprawozdanie wyników testowania hipotezy oczekiwań na polskim rynku depozytów międzybankowych.

EN

The paper reports the results of testing for the expectations hypothesis of the term structure of interest rates at the Polish interbank market. Using weekly data on the whole spectrum of maturities from the period January 1999-December 2006 it is demonstrated that the null stating the slope equals unity in the regressions of the perfect foresight spread and the change in long rate on the actual spread is accepted for the shorter end of the term structure, and it is rejected for the longer end. (original abstract)

Słowa kluczowe

PL

Rynek depozytów; Stopa procentowa; Szeregi czasowe; Testowanie hipotez; Analiza regresji; Struktura terminowa stóp procentowych

EN

Deposit market; Interest rate; Time-series; Hypothesis testing; Regression analysis; Term structure of interest rates

• Czasopismo: Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego
• Rocznik: 2008
• Numer: nr 4
• Strony: 67--84

Twórcy

autor

Paweł Miłobędzki

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