What drives the POLONIA spread in Poland? /:
Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of t...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/215. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of the POLONIA spread and explore several potential factors that could influence the spread. An empirical analysis confirms that the negative POLONIA spread is related to a few factors, which include the existence of the structural liquidity in the banking system; bank's unwillingness to lock up liquidity in the NBP bills; the frontloading of banks' fulfillment of the reserve requirements; and external market sentiment. The analysis also shows the effectiveness of the NBP's responses to the financial crisis and structural liquidity surplus. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Aug. 29, 2012). "European Department." "August 2012." |
| Beschreibung: | 1 online resource (19 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 1475547110 9781475547115 9781475505658 1475505655 9781475571387 1475571380 |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Aug. 29, 2012). | ||
| 520 | |a Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of the POLONIA spread and explore several potential factors that could influence the spread. An empirical analysis confirms that the negative POLONIA spread is related to a few factors, which include the existence of the structural liquidity in the banking system; bank's unwillingness to lock up liquidity in the NBP bills; the frontloading of banks' fulfillment of the reserve requirements; and external market sentiment. The analysis also shows the effectiveness of the NBP's responses to the financial crisis and structural liquidity surplus. | ||
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| 500 | |a "European Department." | ||
| 500 | |a "August 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References. | |
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| author | Lu, Yinqiu |
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| contents | Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References. |
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| spelling | Lu, Yinqiu, author. http://id.loc.gov/authorities/names/no2005121873 What drives the POLONIA spread in Poland? / prepared by Yinqiu Lu. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (19 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/12/215 Title from PDF title page (IMF Web site, viewed Aug. 29, 2012). Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP's open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of the POLONIA spread and explore several potential factors that could influence the spread. An empirical analysis confirms that the negative POLONIA spread is related to a few factors, which include the existence of the structural liquidity in the banking system; bank's unwillingness to lock up liquidity in the NBP bills; the frontloading of banks' fulfillment of the reserve requirements; and external market sentiment. The analysis also shows the effectiveness of the NBP's responses to the financial crisis and structural liquidity surplus. Includes bibliographical references. "European Department." "August 2012." Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References. Monetary policy Poland. Monetary policy Poland Econometric models. Banks and banking, Central Poland. Banks and banking, Central Poland Econometric models. Politique monétaire Pologne. Politique monétaire Pologne Modèles économétriques. Banques centrales Pologne. Banques centrales Pologne Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking, Central fast Banks and banking, Central Econometric models fast Monetary policy fast Monetary policy Econometric models fast Poland fast https://id.oclc.org/worldcat/entity/E39QbtfRgyP3qcDKmj68x7FVbM International Monetary Fund. European Department. http://id.loc.gov/authorities/names/n86100166 IMF working paper ; WP/12/215. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568209 Volltext |
| spellingShingle | Lu, Yinqiu What drives the POLONIA spread in Poland? / IMF working paper ; Cover; Contents; I. Introduction; II. POLONIA and its Deviation From the Policy Rate; III. Determinants of the POLONIA Spread: Predictions; A. Liquidity Supply; B. Liquidity Demand; C. External Factors; D. Structure of the Interbank Market; IV. Empirical Analysis; A. The Empirical Model; Tables; 1. Predictions of the Impact of the Determinants; B. Empirical Results; 2. Variables in the Mean and Volatility Equations; V. Conclusion and Policy Implications; 3. Estimated GARCH Parameters; Appendix: I. Structural Liquidity; References. Monetary policy Poland. Monetary policy Poland Econometric models. Banks and banking, Central Poland. Banks and banking, Central Poland Econometric models. Politique monétaire Pologne. Politique monétaire Pologne Modèles économétriques. Banques centrales Pologne. Banques centrales Pologne Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking, Central fast Banks and banking, Central Econometric models fast Monetary policy fast Monetary policy Econometric models fast |
| title | What drives the POLONIA spread in Poland? / |
| title_auth | What drives the POLONIA spread in Poland? / |
| title_exact_search | What drives the POLONIA spread in Poland? / |
| title_full | What drives the POLONIA spread in Poland? / prepared by Yinqiu Lu. |
| title_fullStr | What drives the POLONIA spread in Poland? / prepared by Yinqiu Lu. |
| title_full_unstemmed | What drives the POLONIA spread in Poland? / prepared by Yinqiu Lu. |
| title_short | What drives the POLONIA spread in Poland? / |
| title_sort | what drives the polonia spread in poland |
| topic | Monetary policy Poland. Monetary policy Poland Econometric models. Banks and banking, Central Poland. Banks and banking, Central Poland Econometric models. Politique monétaire Pologne. Politique monétaire Pologne Modèles économétriques. Banques centrales Pologne. Banques centrales Pologne Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking, Central fast Banks and banking, Central Econometric models fast Monetary policy fast Monetary policy Econometric models fast |
| topic_facet | Monetary policy Poland. Monetary policy Poland Econometric models. Banks and banking, Central Poland. Banks and banking, Central Poland Econometric models. Politique monétaire Pologne. Politique monétaire Pologne Modèles économétriques. Banques centrales Pologne. Banques centrales Pologne Modèles économétriques. BUSINESS & ECONOMICS Finance. Banks and banking, Central Banks and banking, Central Econometric models Monetary policy Monetary policy Econometric models Poland |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568209 |
| work_keys_str_mv | AT luyinqiu whatdrivesthepoloniaspreadinpoland AT internationalmonetaryfundeuropeandepartment whatdrivesthepoloniaspreadinpoland |