The Impact of Central Bank Reference Rates on Market Interest Rates in Poland
The Impact of Central Bank Reference Rates on Market Interest Rates in Poland

Summary/Abstract: This study aims to determine the influence of the Nation-al Bank of Poland’s (NBP) reference interest rate on the 3M and 6MWIBOR levels. The research hypothesis posits that the base interestrates are a primary determinant of WIBOR levels. The article employsGranger causality tests and an ARDL model to identify which macro-economic variable most significantly affects the WIBOR 3M and 6Mrates. ARDL model results unequivocally suggest that the WIBORlevel is primarily influenced by the NBP’s reference interest rate, show-ing a positive and statistically significant impact. Conversely, Grangercausality tests indicate that historical reference interest rate cannot beused to forecast the 3M and 6M WIBOR levels. This could be attrib-uted to the possibility that expectations regarding future interest ratesmight influence the WIBOR level rather than historical data.

• Details
• Contents