The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean

The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothesis. They have exhibited common stochastic trends, their spreads have had cointegrating properties as well as much predictive power. Of all interest rates considered it is only a 3 month rate that has asymmetrically been reverting to the mean.

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Year of publication:	2010
Authors:	Milobedzki, Pawel
Published in:	Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 10.2010, p. 81-95
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	term structure of interest rates \| expectations hypothesis \| asymmetric adjustment \| TVECM \| Polish interbank market \| Warsaw Interbank Offered Rates

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009001659