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2012 | Mathematical, econometrical and computer methods In finance and insurance 2010 | 35--49
Tytuł artykułu

Estimation of the implied forward rate in Polish market : strength and sensitivity during financial crisis

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In countries with well-developed interbank market the parsimonious models play an important role in the monetary policy. For several years central banks have focused on an extraction of market expectations from term structures, which helps to judge their influence on. real economy. With the assumption of rational expectation (Schiller. McCulloch 1981),. the implied forward rates arc particularly interesting for central banks, especially if the length of calculated implied forward rate matches with the maturity of the central bank's key interest rate. The lower is the difference between an implied forward rate and a reference rate (ex post analysis), the more clear and transparent was* monetary policy before a decision-making meeting, If the difference is high, there is a question about the circumstances - sometimes it is inefficiency of the market (illiquidity), sometimes the biases: risk premium caused by lack of trust or a surprising decision of the central bank, The aim of the paper is twofold: to derive the implied forward rates from the assets' prices with three types of the parametric Svensson model and to show their sensitivityMo market disturbances (through ex post analysis of a risk premium - a difference between an implied forward rate and a reference rate).
  • University of Economics in Katowice, Poland
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