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1998 | nr 783 | 246
Tytuł artykułu

Makroekonomiczne uwarunkowania rynku pieniężnego w Polsce

Warianty tytułu
Macroeconomic Premises of the Polish Money Market
Języki publikacji
PL
Abstrakty
Jako cel pracy przyjęłam zbadanie mechanizmu oddziaływania czynników makroekonomicznych na rynek pieniężny w okresie transformacji. (...) Praca składa się z czterech rozdziałów. W pierwszym przedstawiono ogólną charakterystykę rynku pieniężnego oraz omówiono instrumenty finansowe występujące na polskim rynku pieniężnym. W drugim jest rozważana terminowa struktura stóp procentowych na rynku bonów skarbowych z punktu widzenia skuteczności polityki manipulowania poziomami oraz strukturą podaży bonów (polityki prowadzonej przez Ministerstwo Finansów). W trzecim rozdziale uwagę skupiono na znaczeniu międzybankowego rynku pieniężnego w realizacji strategii stóp procentowych. Ostatni rozdział poświęcony jest poszukiwaniu odpowiedzi na pytanie: czy rynek pieniężny wykorzystywał informacje makroekonomiczne o rzeczywistej i oczekiwanej sytuacji gospodarczej? Zanalizowano wpływ inflacji i oczekiwań inflacyjnych na stopy procentowe. Zaproponowano też ocenę oddziaływania prognoz sytuacji gospodarczej na popyt na bony skarbowe. Rozważania przedstawione w pracy kończy weryfikacja występowania efektu wypychania na rynku kredytowym. (fragment tekstu)
EN
Purpose of the research was to investigate how the mechanism of macroeconomic factors have affected the money in the transition period. It was supposed that levels of interest rates and sizes of supply and demand in the two segments of the money market, i.e. the Treasury bill (T-bill) market and the interbank money market, were influenced by: the macroeconomic policy conduct, the situation in the foreign exchange market, the current and expected inflation rate as well as the current and forcast levels of the economic activity. Therefore the factors included in the research were as follows:
- manipulating policy of T-bill supplies aimed at the public debt management tasks;
- intervention of the central bank in the interbank money market undertaken to achieve the targets of interest rate strategy;
- changes in the exchange rate influencing the money market;
- inflation rate and inflationary expectations affecting the interest rates;
- the current and expected changes in the values of the economic activity variables having the impact on the T-bill market.
To prove or reject the main thesis that there was an impact of the macroeconomic factors on the money market, the following detail hypotheses were tested:
• the expectations hypothesis and the market segmentation argument connected with the term structure of interest rates in the T-bill market;
• the hypothesis on the existence of the strong short-term influence of the Ministry of Finances' decisions on the T-bill interest rate dynamics;
• the hypothesis on the appearance of threats for the efficient conduct of the yield curve shaping policy in the T-bill market;
• the hypothesis on the existence of stable long-term relationships between the tools and the targets within the interest rate strategy;
• the hypothesis on the destabilizing impact of the T-bill market and the foreign exchange market on the interbank money market interest rates;
• the Fisher effect hypothesis which suggests that change in the expected inflation rate is fully reflected in change in the interest rate, the Phillips effect hypothesis which points out that apart from the inflationary expectations the interest rate is also influenced by the economic activity level;
• the hypothesis on the significant impact of the appreciation expectations on the demand for T-bills;
• the hypothesis on the crowding-out effect in the credit market.
Verification of the hypotheses, mentioned above, was carried out on the base of the cointegration analysis results (the cointegration method suggested by Johansen and Juselius) and the result of the simultanous equations model estimations (the models described dynamics of the interest rates in the T-bill market and the interbank money market). The weekly data (3.10.1994-24.06.1996) and the monthly data (January 1993 - June 1996) were used in the empirical analysis.
The book consists of four chapters. In the first of them the general description of the money market is presented as well as the discussion on the instruments existing in the Polish money market. The topic of the second one is the term structure of interest rates in the T-bill market. The hypotheses on the yield curve shaping are tested. The obtained results together with the estimation of the simultanous equations model, describing of the T-bill interest rate dynamics, let evaluate the efficiency of the T-bill supply manipulating policy, conducted by the Ministry of Finance. In the third chapter the attention is focused on the interbank money market and its weight in the interest rate strategy carried out by the National Bank of Poland. The analysis of the factors influencing this market gives the arguments for the discussion on the causes of the giving up the interest rate strategy. The last part of the book presents the findings which can be helpful in giving the answer to the question whether the macroeconomic information about the current and expected economic situation was used by the Polish money market. A subject of the research is the impact of inflation and inflationary expectations on the interest rate as well as the effect of the economic activity forcasts on demand for T-bills. The discussions on the influence of the money market on the credit market, or so-called the crowding-out effect, puts an end to the book. (original abstract)
Twórcy
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