POLONIA dynamics during the years 2006–2012 and the effectiveness of the monetary Policy of the National Bank of Poland
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- 作者：Agata Kliber ; Paweł Kliber ; Piotr Płuciennik ; Małgorzata Piwnicka
- 关键词：Monetary policy ; Central bank ; Financial crisis ; Interest rates ; POLONIA ; Stochastic volatility ; Interbank market ; E43 ; E52 ; E58 ; C22 ; C11
- 刊名：Documenta Opthalmologica
- 出版年：2016
- 出版时间：February 2016
- 年：2016
- 卷：43
- 期：1
- 页码：37-59
- 全文大小：700 KB
- 参考文献：Abbassi P, Nautz D (2010) Monetary transmission right from the start: the (dis)connection between the money market and the ECB’s main refinancing rates. SFB 649 discussion paper 2010-019
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Paweł Kliber (2)
Piotr Płuciennik (3)
Małgorzata Piwnicka (4)
1. Department of Applied Mathematics, Poznań University of Economics, Poznan, Poland
2. Department of Mathematical Economics, Poznań University of Economics, Poznan, Poland
3. Department of Mathematics and Computer Science, Adam Mickiewicz University, Poznan, Poland
4. Department of Statistics and Foreign Currencies, National Bank of Poland, Regional Branch in Poznan, Poznan, Poland - 刊物类别：Business and Economics
- 刊物主题：Economics
Industrial Organization
International Economics
Political Science
Economic Growth - 出版者：Springer Netherlands
- ISSN：1573-6911
文摘
In the study we investigate the effectiveness of the National Bank of Poland in counteracting the negative results of the financial crisis in the Polish interbank market. The situation was exceptional in a sense, that during the period of the financial crisis the Polish interbank market experienced liquidity surplus, and the main problem of the central bank was to regain confidence among commercial banks and stimulate interbank transactions. We concentrate on the spread between the rate of overnight interbank loans and the reference rate and based upon its dynamics we assess the monetary policy of the Polish central bank. Using econometric techniques we study how the central bank influenced the spread, when its control over it weakened and when was it strengthened. The study is supported by the results of the survey directed to the headquarters of commercial banks. We conclude that the ability of the central bank to control overnight rate was temporarily lost during the first phases of the financial crisis, but gradually regained after implementation of the confidence pact. Keywords Monetary policy Central bank Financial crisis Interest rates POLONIA Stochastic volatility Interbank market