COINTEGRATED CENSORED VARIABLES

• Authors: Grabowski W.
• Languages of publication: PL

Abstracts

EN

The paper analyses the use of stationarity tests and error correction models when the variables are censored. In the empirical part of the study the relative Warsaw Interbank Offer Rate (WIBOR) rate is explained by the relative deviation of the reserves level from the obligatory level. As the level of the of the interest rate has impact on the WIBOR rate one has to modify the WIBOR rate series and create a new variable (the relative WIBOR rate). It is shown that this relative WIBOR rate is a censored variable. It is also shown that an increase in the relative deviation of the reserves level from the obligatory level results in a decrease of relative WIBOR rate. When the relative deviation of the reserves level from the obligatory level decreases, relative WIBOR rate increases. This relationship is in accordance with the theory of financial markets

Keywords

EN

AUTOREGRESSIVE MODELS; CORRECTION MODELS; ORDINARY LEAST SQUARES

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2005
• Volume: 52
• Issue: 4
• Pages: 98-106
• Document type: ARTICLE

Contributors

author

Grabowski W.

• W. Grabowski, Uniwersytet Lódzki, Instytut Ekonometrii i Statystyki, ul. Rewolucji 1905r. 41, 90-214 Lódz, Poland

Identifiers

CEJSH db identifier

06PLAAAA01272889