PL EN


2011 | 12 | 1 | 125-134
Article title

Reaction of the interest rates in Poland to the interest rates changes in the USA and euro zone

Content
Title variants
Languages of publication
EN
Abstracts
EN
Behavior of interest rates is of key importance for understanding the functioning of an open economy. The simplest models usually assume equal interest rates in individual countries, while the international arbitrage serves as a mechanism of their equalization. In our study an attempt has been made to determine whether and to what extend the interest rates in the Polish market are linked to the USA and the euro zone exchange rates. The analyses have been carried out for rates of different maturity terms, using the integration and co-integration concept.The analyses indicate that differences between the Polish interest rates, and those in the USA and the euro zone have strongly diminished. Cointegration analyses show the existence of a long-term linkages between the domestic and foreign interest rates, in particular with those in the euro zone. The nature of co-integrating relationships was different in the period 2001-2004 as compared with that after 2004, when we see a stronger impact of the euro zone rates than those of the USA. It may be assumed that the Polish accession to the EU had certain influence in the change of the above mentioned relationships.
Year
Volume
12
Issue
1
Pages
125-134
Physical description
Dates
published
2011
Contributors
  • Warsaw University of Technology (Politechnika Warszawska – PW), The Faculty of Management , T.Wascinski@wz.pw.edu.pl
author
  • Warsaw University of Technology (Politechnika Warszawska – PW), The Faculty of Management , L.Sobczak@wz.pw.edu.pl
References
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  • Kleimeier S., Sander H. (2000) Regionalisation versus globalisation in European financial market integration: evidence from cointegration analyses. Journal of Banking and Finance. 24.
  • Mishkin F. (1984) Are real interest rates equal across countries? An empirical investigation of international parity conditions. Journal of Finance. 39.
  • Moosa I.A., Bhatti R.H. (1994) Testing the effectiveness of arbitrage and speculation under flexibile exchange rates. Economica Internazionale. 47.
  • Quiro-Romero G., Sosvilla-Rivero S. (1997) Do short-term rates influence long-term interest rates? Empirical evidence from some EMS countries. Applied Economics Letters. 4.
  • Sasaki H., Yamaguchi S., Takamasa H. (2000) The globalisation of financial markets and monetary policy. BIS Conference Papers no.8.
  • Waller E., Kiymaz H. (2004) Cointegration between international short-term interest rates. Journal of Accounting and Finance Research. 6.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-b33404b5-02f7-4110-bcf1-0552d23a5fbd
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