Time-Varying Risk Premium in the Polish Interest Rate Market

• Autorzy: Agata Kliber , Piotr Płuciennik

Warianty tytułu

Modelowanie zmiennej w czasie premii za ryzyko na polskim rynku międzybankowym

• Języki publikacji: EN

Abstrakty

EN

In the article, the authors present problems connected with estimating risk pre¬mium in the interest rate market. Several approximations of the risk premium of one-week interest rates are presented. Eventually, the authors propose a method of risk premium eval¬uation based upon the Capital Asset Pricing Model. The analysis of the time-varying risk premium is a starting point to the discussion of the effectiveness of the central bank policy. (original abstract)

W artykule autorzy badają zmiany premii za ryzyko na polskim rynku międzybankowym, korzystając ze zmodyfikowanego warunkowego modelu CAPM. Jako miary rynkowych oczekiwań używają oni stopy kontraktów wymiany na stopę POLONIA (0IS swap), jako stopy wolnej od ryzyka zaś - stopy referencyjnej NBP. Autorzy omawiają problemy związane z estymacją premii za ryzyko oraz kontrowersje związane z wyborem stóp procentowych odpowiednich do przybliżenia oczekiwań oraz stopy wolnej od ryzyka. Zbadanie zmiennej w czasie premii za ryzyko pozwala autorom na ocenę działań NBP mających na celu stabilizację sektora bankowego w okresie kryzysu. (abstrakt oryginalny)

Słowa kluczowe

EN

Risk premium; Risk; Interest rate; Capital Asset Pricing Model (CAPM); Interbank market; Banking sector

PL

Premia za ryzyko; Ryzyko; Stopa procentowa; Model wyceny aktywów kapitałowych; Rynek międzybankowy; Sektor bankowy

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Poznaniu
• Rocznik: 2012
• Numer: nr 222
• Strony: 63--79

Twórcy

autor

Agata Kliber

• Poznań University of Economics, Poland

autor

Piotr Płuciennik

• Adam Mickiewicz University in Poznań, Poland

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