The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean
Journal Title: Dynamic Econometric Models - Year 2010, Vol 10, Issue 1
Abstract
The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothesis. They have exhibited common stochastic trends, their spreads have had cointegrating properties as well as much predictive power. Of all interest rates considered it is only a 3 month rate that has asymmetrically been reverting to the mean.
Authors and Affiliations
Paweł Miłobędzki
Keywords
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