What drives the POLONIA spread in Poland?

Yinqiu Lu

Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of the POLONIA spread and explore several potential factors that could influence the spread. An empirical analysis confirms that the negative POLONIA spread is related to a few factors, which include the existence of the structural liquidity in the banking system; bank's unwillingness to lock up liquidity in

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Year of publication:	2012
Authors:	Lu, Yinqiu
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Geldpolitik \| Monetary policy \| Inflationsbekämpfung \| Anti-inflation policy \| Polen \| Poland

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Extent:	Online-Ressource (PDF-Datei: 18 S., 1,416 KB) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/215 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-0565-8 ; 978-1-4755-7138-7 ; 978-1-4755-0565-8
Source:	ECONIS - Online Catalogue of the ZBW

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