Risk Premium on the Short Rate Market - Comparison of the Polish and European Markets Behaviour During the Crisis

• Autorzy: Agata Kliber , Piotr Płuciennik

Warianty tytułu

Premia za ryzyko na rynku krótkoterminowych stóp procentowych - porównanie zachowań na rynkach polskim i europejskim w okresie kryzysu

• Języki publikacji: EN

Abstrakty

EN

In the paper we investigate the risk premium on the Polish and European interbank markets based upon the LIBOR and OIS data. We compare the dynamics of the risk premia during the crisis period. The results of our analysis show that the risk premia on both markets reacted to the monetary policy movements. However, the results obtained for Poland clearly suggest the immaturity of the OIS market. (original abstract)

Artykuł przedstawia wyniki estymacji premii za ryzyko na rynkach międzybankowych: polskim i europejskim. Premia za ryzyko wyznaczana była na podstawie stóp międzybankowych i stóp kontraktów OIS. Badanie dotyczyło okresu kryzysu 2008-2009. Okazuje się, że premia za ryzyko na obu rynkach była wrażliwa na posunięcia polityki monetarnej banków centralnych. Wyniki badań dla rynku polskiego sugerują jednak, że rynek OIS w Polsce nie jest rynkiem dojrzałym. (abstrakt oryginalny)

Słowa kluczowe

EN

Interest rate; Swap contracts; Risk premium; GARCH model

PL

Stopa procentowa; Kontrakty swap; Premia za ryzyko; Model GARCH

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu. Ekonometria
• Rocznik: 2011
• Tom: 31
• Numer: nr 194
• Strony: 132--142

Twórcy

autor

Agata Kliber

• Poznań University of Economics, Poland; National Bank of Poland

autor

Piotr Płuciennik

• Adam Mickiewicz University in Poznań; National Bank of Poland

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