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COMPARATIVE ANALYSIS OF THE TERM STRUCTURE OF INTEREST RATES (Analiza komparatywna koncepcji czasowej struktury stóp procentowych. Podejscie analityczne i krytyczne)

100%
Gemzik-Salwach A.
Finansowy Kwartalnik Internetowy e-Finanse
|
2010
|
vol. 6
|
issue 2
40-52
EN
The term structure of interest rates is one of the basic and the most important areas of interest to financial markets and the economies. Theories of interest-rate structure describe the factors determining the variation in interest rates and explain the mechanisms of their formation. The structure of the interest rate gives all information required to forecast term interest. This paper is an attempt to systematize and organize the knowledge. The first section of this article describes theories of the term structure of interest rates, determinants of the relationship between the interest rate and the time to maturity, and mechanisms shaping the level of interest rates. The article is focused on basic assumption of the theories. The next section shows the main methods of estimation of the yield curve. All concepts presented in the article have been compiled together and compared.
2

THE RATIONAL EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE AT THE POLISH INTERBANK MARKET

88%
Blangiewicz M., Milobedzki P.
Przegląd Statystyczny
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2009
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vol. 56
|
issue 1
23-39
EN
The authors use a three-variable VAR including the yield spread, the change in the short rate and the excess holding period yield to test for the validity of the rational expectations hypothesis (REH) at the Polish interbank market. In doing so they utilize the set of monthly sampled WIBORs (Warsaw Interbank Offered Rates) for maturities of 1, 3, 6, 9 and 12 months from the period January 1999-December 2007. Although the yield spread Granger-causes future changes in the short rate for all maturities the other testing results are somewhat ambiguous. They find the restrictions set on the VAR that the one-period excess holding period return is not time varying should be rejected for all maturities. So should be the restrictions stating the actual spread equals the theoretical spread, except for 12 month WIBOR. Nevertheless, the estimates of conventional VAR metrics such that correlation coefficients between the actual and the theoretical spread and their variance ratios to some extent support the REH in its pure form (PREH). The first are all very close to unity and the latter are less than two standard deviations from unity for 3 month maturity. The conclusions in favour of the PREH for 9 and 12 month maturities are reached upon the bootstrapping experiment in which we have estimated the 95 per cent confidence intervals for the variance ratios. The estimates of the other VAR metrics suggest that a relatively large piece of variation in the unexpected return is due to news about future short rates and not due to news about the future average term premium.
3

Oddziaływanie polityki monetarnej na stopy procentowe i inflacje

75%
Kawa P.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
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2012
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issue 877
25-35
EN
The aim of the article is to present the impact of monetary policy on chosen variables characterising the real and nominal side of the economy. The author first describes the idea of the natural rate of interest, which can be defined as the rate of real interest that stabilises inflation. This approach is extremely important for central banks seeking to implement a direct inflation targeting strategy. Using a money market equilibrium model and term structure of interest rates, the author establishes that if the real interest rate effect occurring in the short term is stronger than the effect of increased inflation expectations then the increase in money supply will reduce the level of the short-term nominal interest rate. However, in the long term the nominal interest rate will increase due to inflation expectations.
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