| Description |
1 online resource (19 pages) |
| Series |
IMF working paper ; WP/12/215 |
|
IMF working paper ; WP/12/215.
|
| 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 |
| Summary |
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 |
| Notes |
Title from PDF title page (IMF Web site, viewed Aug. 29, 2012) |
| Bibliography |
Includes bibliographical references |
| Notes |
"European Department." |
|
"August 2012." |
| Subject |
Monetary policy -- Poland
|
|
Monetary policy -- Poland -- Econometric models
|
|
Banks and banking, Central -- Poland
|
|
Banks and banking, Central -- Poland -- Econometric models
|
|
BUSINESS & ECONOMICS -- Finance.
|
|
Banks and banking, Central
|
|
Banks and banking, Central -- Econometric models
|
|
Monetary policy
|
|
Monetary policy -- Econometric models
|
|
Poland
|
| Form |
Electronic book
|
| Author |
International Monetary Fund. European Department.
|
| ISBN |
1475547110 |
|
9781475547115 |
|
9781475505658 |
|
1475505655 |
|
9781475571387 |
|
1475571380 |
|
