The Term Structure of Interest Rates in The Polish Interbank Market
Journal Title: Zarządzanie i Finanse - Year 2015, Vol 13, Issue 4
Abstract
The article presents the results of empirical research devoted to verify the expectation hypothesis of the term structure of interest rates on the Polish Interbank Market. The study was based on two-variable VAR models including the yield spread and the change in the short-term interest rates Time series of WIBORs of 3, 6, 9 and 12 months maturities from the period of 01.2003–12.2009 and provided by Thomson Reuters were used as the research data. The results show that the yield spread is Granger-causality for future changes short-term interest rates in all cases . The results of the analysis suggest that interest rates in the study period behave according to the expectation hypothesis.
Authors and Affiliations
Aneta Kłodzińska
Keywords
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