Linkages among Polish and Eurocurrency short- and long-term interest rates
Journal Title: Zarządzanie i Finanse - Year 2015, Vol 13, Issue 4
Abstract
The main objective of this paper is to study long-run linkages and causal links among Polish and Eurocurrency short- and long-term interest rates. The paper employs the three-month and ten-year interest rates of Poland and Eurocurrency markets and tests the monthly versions of these series in the period 01.2000–12.2009. There is utilized Johansen’s cointegration technique as the main method. Thus UIP and EHT imply that three cointegration vectors should exist in the system of four analyzed rates. The findings indicate no evidence of EHT and UIP to hold jointly. It is found only a long-run linkage between the Polish spread and the Eurocurrency spread. Further the Eurocurrency spread is the Granger cause of the Polish spread and not vice versa.
Authors and Affiliations
Ewa Czapla
Keywords
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