What drives the POLONIA spread in Poland? / prepared by Yinqiu Lu.

By:

Lu, Yinqiu [author.]

Contributor(s):

International Monetary Fund. European Department

Material type: Text

text

Media type:

computer

Carrier type:

online resource

ISBN:

1475547110
9781475547115
9781475505658
1475505655
9781475571387
1475571380

Subject(s): Genre/Form:

DDC classification:

332.152 23

LOC classification:

HG3881.5.I58 W67 No. 12/215eb

Online resources:

Click here to access online

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.

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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."

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