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  1. 1 Przegląd Statystyczny

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  1. 1 Grabowski W.

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  1. 1 2005

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COINTEGRATED CENSORED VARIABLES

100%
Grabowski W.
Przegląd Statystyczny
|
2005
|
vol. 52
|
issue 4
98-106
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
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