Charakterystyka przenikania kryzysu na rynek międzybankowy w Polsce na podstawie analizy 3-miesięcznych spreadów wibor-ois oraz libor-ois dla dolara amerykańskiego i euro
The Characteristics of Crisis Transmission to Polish Interbank Market on the Basis of 3-month WIBOR-OIS and LIBOR-OIS Spreads for American Dollar and Euro
Author(s): Agata Kliber, Paweł Kliber, Piotr PłuciennikSubject(s): Economy, Supranational / Global Economy, Socio-Economic Research
Published by: Główny Urząd Statystyczny
Keywords: VAR models; BEKK models; impulse response function; LIBOR-OIS spread
Summary/Abstract: Spreads between the LIBOR rate and fixed rate of the OIS contract of the same maturity are good indicators of respective interbank markets condition. In this article their dynamics is used to determine directions of subprime and debt crises transmission among the interbank markets of the United States, the euro zone and Poland. In our analysis we used VAR-BEKK models and determined impulses response in conditional mean and conditional variance processes.
Journal: Przegląd Statystyczny
- Issue Year: 61/2014
- Issue No: 1
- Page Range: 43-64
- Page Count: 22
- Language: Polish