Warianty tytułu
Volatility Transmission Along the Term Structure of Warsaw Interbbank Offered Rates
Języki publikacji
Abstrakty
Celem opracowania jest zidentyfikowanie wiodącej stopy międzybankowej na rynku polskim. (fragment tekstu)
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)
Rocznik
Numer
Strony
156--174
Opis fizyczny
Twórcy
autor
- Akademia Ekonomiczna w Poznaniu
Bibliografia
- Avouyi-Dovi, S., Jondeau, E. [1999], Interest Rate Transmission and Volatility Transmission along the Yield Curve, Working Paper from Banque the France.
- Dominguez, D., Novales, A. [2000], Testing the Expectation Hypothesis in Eurodeposits, Journal of International Money and Finance, 19(5), 713-736.
- Dungey, M., Fry, R., Gonzales-Hermosillo B., Martin V.L. [2003], Empirical Modelling of Contagion: A Review of Methodologies, IMF Working Paper, WP/04/78.
- Fama, E., Bliss, R. [1987], The Information in Long Maturity Forward Rates, American Economic Review, 77, 680-692.
- Forbes, K., Rigobon, R. [2002], No Contagion, only Interdependence: Measuring Stock Market Co-movements, Journal of Finance, 57(5), 2223-61.
- Gallo, G.M., Otranto, E. [2005], Volatility Transmission in Financial Markets: A new Approach, Working Paper.
- Greene, W.H. [2002], Econometric Analysis, 5th ed., Prentice Hall.
- Hamilton, J.D. [1994], Time Series Analysis, Princeton University Press.
- Kliber, A. [2006], Volatility Transmission along the Yield Curve in Polish Financial Market, Working Paper.
- Rigobon, R. [2001], Contagion: How to Measure it? NBER Working Paper no. 8118.
- Shiller, R.J., Campbell, J.Y., Schoenholtz, K.L. [1983], Forward Rates and Future Policy. Interpreting the Term Structure of Interest Rates, Brooking Papers on Economic Activity, 1, 173-217.
- Sola, M., Spagnolo, F., Spagnolo, N. [2002], A Test for Volatility Spillovers, Economic Letters 76, 77-84.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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