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

• Authors: Grzegorz Przekota , Tadeusz Waściński , Lidia Sobczak
• 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.

Keywords

EN

interest rates; world markets; cointegration analysis; Error Correction Model (ECM)

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2011
• Volume: 12
• Issue: 1
• Pages: 125-134

Dates

published

2011

Contributors

author

Grzegorz Przekota

• Faculty of Production Engineering, Warsaw University of Life Sciences – SGGW

author

Tadeusz Waściński

• Warsaw University of Technology (Politechnika Warszawska – PW), The Faculty of Management

author

Lidia Sobczak

• Warsaw University of Technology (Politechnika Warszawska – PW), The Faculty of Management

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