Analiza przenoszenia zmienności pomiędzy stopami procentowymi o różnym terminie do wykupu na polskim rynku międzybankowym

• Autorzy: Agata Kliber

Warianty tytułu

Volatility Transmission Along the Term Structure of Warsaw Interbbank Offered Rates

• Języki publikacji: PL

Abstrakty

Celem opracowania jest zidentyfikowanie wiodącej stopy międzybankowej na rynku polskim. (fragment tekstu)

EN

In the article the author analyses the transmission of volatility along the yield curve constructed from interbank rates. The data taken into the research consist of WIBOR (Warsaw InterBank Offered Rates) of the following maturity: T/N, S/W, 1, 3, 6, 9 and 12 months. The data are taken daily. The author verifies the hypothesis whether the deviation of a given interest rate from trend, in plus, or in minus, can cause the analogous deviation of some other interest rate. (original abstract)

Słowa kluczowe

PL

Stopa procentowa; Rynek międzybankowy; Inflacja

EN

Interest rate; Interbank market; Inflation

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2007
• Numer: nr 92
• Strony: 156--174

Twórcy

autor

Agata Kliber

• Akademia Ekonomiczna w Poznaniu

Bibliografia

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